Implements a joint cointegration testing approach that combines Engle-Granger, Johansen maximum eigenvalue, Boswijk, and Banerjee tests into a unified test-statistic for the null of non-cointegration.

Energy efficiency and renewable energy are key pillars of the energy transition that is high on the political agenda of governments in face of the climate crisis. Germany, however, is underperforming in its emissions reduction goals. There is still room for improvement, especially in the building sector – but this is often associated with high upfront investments. There is evidence that the market for energy efficiency in the German rental housing market is inefficient, resulting in underinvestment. To investigate these inefficiencies, this study estimates a hedonic pricing model combined with a total-cost-of-use perspective based on the observation of warm rents for a sample of 3,903,473 rental offers from 2014 to 2021. In a “perfect world”, the effect of the energy performance score given in energy performance certificates as an indicator of energy consumption or demand, respectively, is expected to be zero, as corresponding costs are already included in the warm rent. If the coefficient is significantly different from zero, it can be interpreted as measure for inefficiencies. The study further investigates whether disclosing heating costs in real estate advertisements could lead to a better appreciation of energy efficiency in the rental market and thus contribute to closing the information gap. Results show that the market for energy efficiency is indeed inefficient; however, the disclosure of full information can help to overcome these inefficiencies. These results lead to several important policy implications.

Exploiting regional heterogeneity in population dynamics across more than 10,000 municipalities in Germany, we provide robust empirical evidence that population aging depresses real estate prices and rents. Using millions of individual real estate listings and detailed demographic data at the municipality level, we estimate that average sales prices in 2020 would have been up to 12% higher if the population age distribution had been the same as in 2008. We show that population aging not only reduces prices but also increases the availability of real estate. In addition, we document substantial heterogeneity in price responses across dwelling type, property characteristics, and urban-rural status, suggesting that lower housing demand and life-cycle dissaving are driving our results. We predict that population aging will continue to exert downward pressure on house prices and exacerbate regional disparities in Germany.

No-claim refunds are cost-control instruments which stipulate a payback agreement contingent on one or more claim-free years. We study how such no-claim refunds affect claiming behavior using claims data from a large German health insurer and a policy that increased the refund size for certain plans. We propose a method to decompose the effect on claims into behavioral and non-behavioral components, and show that individuals responded to the refund policy by reducing claims by eight percent on average. The effect persisted for several years; behavioral responses were stronger for clients with more to gain from the policy; and reductions in claims were not restricted to treatments of questionable medical value.

This paper presents a new method for combining (or aggregating or ensembling) multivariate probabilistic forecasts, considering dependencies between quantiles and marginals through a smoothing procedure that allows for online learning. We discuss two smoothing methods: dimensionality reduction using Basis matrices and penalized smoothing. The new online learning algorithm generalizes the standard CRPS learning framework into multivariate dimensions. It is based on Bernstein Online Aggregation (BOA) and yields optimal asymptotic learning properties. The procedure uses horizontal aggregation, i.e., aggregation across quantiles. We provide an in-depth discussion on possible extensions of the algorithm and several nested cases related to the existing literature on online forecast combination. We apply the proposed methodology to forecasting day-ahead electricity prices, which are 24-dimensional distributional forecasts. The proposed method yields significant improvements over uniform combination in terms of continuous ranked probability score (CRPS). We discuss the temporal evolution of the weights and hyperparameters and present the results of reduced versions of the preferred model. A fast C＋＋implementation of the proposed algorithm is provided in the open-source R-Package profoc on CRAN.

We analyse how the Nordic contribution to health economics has evolved over the past three decades -- in quantitative and qualitative terms. Using a dataset of publications from five prominent field journals for health economics, we combine different empirical methods to analyse the general trends in terms of number of distinct publications, topics covered, and co-authorship relationships between countries and individuals. We find that the Nordic countries are responsible for a stable share of international publications in health economics. The topics that Nordic health economists publish on are relatively similar to those most prevalent in the international community, even though health insurance is remarkably absent as a research topic in Nordic countries. In terms of links between countries and co-authors, we see that Nordic researchers are well embedded in the international community, and that the Nordic research community has moved toward less hierarchical relationships.

On the market where prospective renters meet dwelling offers, competitive forces and rational behavior on both sides would imply that the monthly basic rent should reflect differences in expected monthly heating costs – other things being equal. We test this hypothesis by specifying a hedonic price model reflecting a total-cost-of-renting perspective. Drawing on 844,229 apartment listings for rent from 2014 to 2020 on a small spatial scale, we find a premium for more energy-efficient apartments; however, it is rather small. If the energy performance score decreases by 10 kWh/m2a, the monthly basic rent increases, on average, by roughly €0.01 per square meter living area. The expected energy cost savings thereby exceed the premium by a factor of three to seven. Rather, we find discounts of up to 9.2 % if apartments use heating technologies that are known to be inefficient. We explore various explanations for these outcomes, considering both landlord and renter behavior.

Heckmann, Jens; Jacobs, Heiko; Schwarz, Patrick: Synthesizing Information-driven Insider Trade Signals. 2023. doi:10.2139/ssrn.4537187KurzfassungDetailsVolltextBIB Download

Abstract

We propose a simple approach to synthesize presumably information-driven insider trading signals for the cross-section of stocks. We find that the resulting composite strategy can predict returns, predominantly in equal-weighted portfolios, in our global sample. The results indicate that the benefits of our composite strategy reflect a short-term informational advantage of insiders. Finally, cross-country analysis reveals that varying insider trading restrictions between countries have limited explanatory power for the benefits of the composite strategy.

Distribution grids are more and more penetrated by decentralized, flexible units. For this reason, aspects of active system operation become increasingly relevant there. The management of many active units on the lower voltage network levels is a challenge that requires improved data communication and multi-energy-system operation management. In this work, we propose a common data layer for different generic technology models that can be used in a standardized manner to depict energy consumption, generation, and conversion. The technology models allow to compute system operation points or dispatch schedules for different stakeholders related to distribution grids e.g., system operators.

Huber, Daniel; Jacobs, Heiko; Müller, Sebastian; Preissler, Fabian: International factor models. In: Journal of Banking and Finance, Jg.2023 (2023), Nr. 150. doi:10.1016/j.jbankfin.2023.106819KurzfassungDetailsVolltextBIB Download

Abstract

We evaluate the relative and absolute performance of competing factor-based asset pricing models in international regions and globally. Our holistic analysis controls for model transaction costs and incorporates both right-hand-side tests (based on maximum squared Sharpe ratios) and left-hand-side tests (individual return predictors, composite mispricing proxies). The overall view of the tests shows that recently proposed models tend to perform better than classical models, but otherwise perform comparably. This finding, the performance of the models in some of the LHS tests as well as further results collectively suggest the need for new powerful asset pricing models for global equity markets.

Boustanifar, Hamid; Schwarz, Patrick: Measuring Business Social Irresponsibility: The Case of Sin Stocks. 2023. doi:10.2139/ssrn.4395028KurzfassungDetailsVolltextBIB Download

Abstract

Negative screening (of "sin" stocks) is the most common strategy used by socially responsible investors. There is no consensus in the literature whether these exclusions result in higher cost of capital (and hence higher expected returns) for targeted firms. The existing literature identifies sin companies using industry classification codes (IC). We propose an alternative measure of firms' exposure to sin activities (sinfulness) based on textual analysis (TA). Sinfulness captures both cross-sectional and time-series variation in firms' exposure to sin activities. The correlation between the IC and TA sin indicators is only 0.69, with twice as many sin stocks in TA than in IC. TA reveals several important false positive and numerous false negative sin stocks in IC. While the number of publicly listed sin-related stocks has declined by 43% between 1997 and 2021, their total market capitalization has increased almost threefold from about $200bn to $600bn during the same period. A sin-weighted portfolio of sin stocks earns an annualized Fama-French 6-factor alpha of 4%. Overall, our study highlights important shortcomings of using IC to identify sinful firms and resurrects the sin premium, that is, more sinful stocks have higher expected returns.

This survey article reviews the current state of literature on how structural models of credit risk are employed to model the impact of climate risk on financial markets. We discuss how the two prominent types of climate risk, physical and transition risk, are captured by the seminal Merton model and its well-known extensions. Theoretical and practical advantages and drawbacks are worked out and an outlook on possible model improvements is provided.

Market-based congestion management has been proposed as a more efficient means of coping with congestion issues in zonal market designs. However, strategic behaviour has been identified as a fundamental problem of market-based approaches. This paper focuses on strategic behaviour in the setting of a local flexibility market. In this type of market, trading occurs in parallel with the intraday market and flexibility is verified by reporting baselines through a verification platform. Under these conditions, market monitoring based on statistical tests is presented as a countermeasure. By implementing tests that are robust against autocorrelation and based on the illustrative example, it is shown that the identification of strategic behaviour is possible. In combination with appropriate regulatory sanctioning, strategic behaviour can become less attractive and, in the best case, be prevented leading to a reduction in congestion management costs. The simplified example presented in this paper can serve as a basis for more complex use cases where additional factors need to be considered.

{Despite the relatively uncontested importance of promoting school attendance in the policy arena, little evidence exists on the causal effect of school absence on long-run outcomes. We address this question by combining historical and administrative records for cohorts of Swedish individuals born in the 1930s. We find that elementary school absence significantly reduces contemporaneous academic performance, final educational attainment and labour income throughout the life cycle. The findings are consistent with a dynamic model of human capital formation, whereby absence causes small immediate learning losses, which cumulate to larger human capital losses over time and lead to worse labour market performance.}

Combination and aggregation techniques can significantly improve forecast accuracy. This also holds for probabilistic forecasting methods where predictive distributions are combined. There are several time-varying and adaptive weighting schemes such as Bayesian model averaging (BMA). However, the quality of different forecasts may vary not only over time but also within the distribution. For example, some distribution forecasts may be more accurate in the center of the distributions, while others are better at predicting the tails. Therefore, we introduce a new weighting method that considers the differences in performance over time and within the distribution. We discuss pointwise combination algorithms based on aggregation across quantiles that optimize with respect to the continuous ranked probability score (CRPS). After analyzing the theoretical properties of pointwise CRPS learning, we discuss B- and P-Spline-based estimation techniques for batch and online learning, based on quantile regression and prediction with expert advice. We prove that the proposed fully adaptive Bernstein online aggregation (BOA) method for pointwise CRPS online learning has optimal convergence properties. They are confirmed in simulations and a probabilistic forecasting study for European emission allowance (EUA) prices.

In this paper, we develop an overlapping generations model with endogenous fertility and calibrate it to the Swedish historical data in order to estimate the economic cost of the 1918–19 influenza pandemic. The model identifies survivors from younger cohorts as main benefactors of the windfall bequests following the influenza mortality shock. We also show that the general equilibrium effects of the pandemic reveal themselves over the wage channel rather than the interest rate, fertility or labor supply channels. Finally, we demonstrate that the influenza mortality shock becomes persistent, driving the aggregate variables to lower steady states which costs the economy 1.819% of the output loss over the next century.

With energy generation becoming increasingly decentralized, the need for congestion management across grid voltage levels is also increasing. To enable fair sharing of congestion costs among grid operators, these costs must be allocated to congested grid elements. We propose using the Shapley value for this purpose. The Shapley value is a cooperative game theory concept that was developed to share a total surplus generated by a coalition of players between the players based on their marginal contributions to the coalition. We apply this concept to share the costs of congestion management between grid elements based on their contributions to overall congestion management costs. To reduce the computational complexity of the Shapley value, we introduce two novel simplification approaches and compare them to existing methods using a numerical example based on CIGRE benchmark grids. The first method exploits the fact that the characteristic function for the congestion costs is obtained from an optimal power flow computation (i.e., a constrained optimization problem). It utilizes knowledge about which constraints are non-binding in the optimization to derive the values of related coalitions without calculating them. The second method takes advantage of the fact that the congestion management cost-allocation game is monotone and derives the values of coalitions based on this property. Both methods are implemented and compared to sampling. Using the first method, we are able to reduce computational complexity to less than 20% of that of the original problem while maintaining exact results. Our second approach is not dependent on detailed knowledge of the underlying optimization problem and can reduce the computational time by almost half with exact results and much further when compromising precision. While the methods are presented through an application example, they can be applied to other games with similar properties.

 

The future transformation of the European electricity system will be strongly influenced by both an ongoing
integration of variable renewable energy sources (VREs) and an increased proliferation of electric vehicles (EVs).
This combination will cause considerable uncertainty, especially since EV diffusion may greatly vary regarding
both the spatio-temporal penetration pattern and the achievable flexibility level. Notably, power plant investment
in the long run and dispatch in the short run will be affected. Hence, this paper assesses the impact of EV
penetration on the integration of VREs and the costs of CO2 emission reduction as well as the necessary investments
in controllable plant capacities under the consideration of frequency reserve and backup capacity
requirements. Applying an extended European energy system model, we found that EVs with a high flexibility
level may contribute tremendously to improved VRE integration, alleviating the number of necessary VRE investments
to achieve emission-reduction goals. Simultaneously, overall system costs are reduced even though
necessary investments in controllable plants, ensuring the abovementioned system stability needs, significantly
increase. Policy makers should hence ensure sufficient incentives to both exploit the EVs’ potential and safeguard
corresponding investments in controllable plants, which need to remain attractive even though full-load hours
are decreasing.

The German government is aiming for a climate-neutral building stock before 2050 to meet the defined goals of the Climate Action Plan 2050. Increasing the building stock's energy efficiency is therefore a high priority, and investments by private homeowners will greatly influence this, as around 46.5% of German homes are owner-occupied. To identify the possible monetary benefits of investments in energy retrofits, we investigate whether energy efficiency is reflected in the property values of German single-family homes. Therefore, we examine potential heterogeneous effects across regions. With 422,242 individual observations on a 1 km2-grid level from 2014 to 2018, this study adds to the extant literature by 1) examining the energy efficiency effect on housing values for the entire country and specifically investigating regional disparities in this context, and 2) estimating an energy efficiency value-to-cost ratio to compare housing values' increase with initial investment costs and future energy cost savings. Applying hedonic analysis, we find a positive relationship between energy efficiency and asking prices. If energy efficiency increases by 100 kWh/m2a, prices increase by 6.9% on average. We also find evidence for regional disparities. The effects are significantly weaker in large cities than in other urban areas, whereas the impact in rural regions is much stronger. According to this, housing shortage and higher purchasing power per capita were identified as drivers for low energy efficiency premiums. Finally, there is evidence that about 98% of future energy cost savings are already reflected in a higher housing value under myopic expectations regarding future energy prices.
 

Erstellt durch die FindHIV-Projektgruppe

• Lehrstuhl für Medizinmanagement, Universität Duisburg-Essen (vertreten durch: Prof. Dr. Jürgen Wasem, Prof. Dr. Dr. Anja Neumann, Frederik Valbert, Katharina Schwarze),
• Deutsche Arbeitsgemeinschaft niedergelassener Ärzte in der Versorgung HIV-Infizierter e. V. (vertreten durch: Dr. Sven Schellberg, Dr. Knud Schewe, Robin Rüsenberg, Nikola Hanhoff),
• MUC Research GmbH (vertreten durch: Dr. Eva Wolf, Dr. Birgit Mück, Dr. Christine Kögl, Paul Lauscher),
• ClinovateNET GmbH & Co KG (vertreten durch: Dr. Stefan Preis)

und Experten der Fokusgruppengespräche:

• PD Dr. Markus Bickel,
• Prof. Dr. Norbert Brockmeyer,
• Prof. Dr. Sebastian Dolff,
• Silke Eggers,
• PD Dr. Stefan Esser,
• Stephan Gellrich,
• Dr. Frank Gilger,
• Binod Mahanty,
• Dirk Meyer,
• Stefan Miller,
• Dr. Gerhard Schillinger,
• Dr. Hartmut Stocker,
• Dr. Armin Wunder.

Schwarz, Patrick: On the performance of volatility-managed equity factors - international and further evidence. 2021. doi:10.2139/ssrn.3951115KurzfassungDetailsVolltextBIB Download

Abstract

Motivated by the mixed evidence on the performance of (downside) volatility-managed equity factor portfolios in the U.S., I study the performance of nine (downside) volatility-managed equity factors before and after considering transaction costs in a set of 45 international equity markets. My results suggest that volatility management is most promising for market, value, profitability, and momentum portfolios and that the performance can be enhanced by applying downside volatility instead of total volatility (variance) as a scaling factor. Nevertheless, a marginal trader would find it difficult to profit from these strategies as only the managed market and momentum strategies are partially robust to my transaction cost estimations. Collectively, my results suggest that the persistence of abnormal returns of (downside) volatility-managed equity factors can largely be explained by the associated transaction costs. Finally, my cross-country analysis suggests that the slow trading hypothesis is partially able to explain cross-country performance differences of volatility-managed value and momentum portfolios.

Dorlöchter, Jonas; Amann, Erwin: Risk preferences and economic shocks: Experimental evidence. 2021. KurzfassungPDFDetailsVolltextBIB Download

Abstract

We demonstrate in our experiment that an exogenous shock does not lead to increasing risk aversion, and has ultimately no significant impact on investors’ risk preference in general. To do so, we keep subjects’ risk and return expectations fixed and focus solely on loss in wealth. As a theoretical framework, we use the expected utility approach and take the class of HARA-utility functions to analyse subjects’ preferences. Particularly, our methodical approach affords insights into the impact of economic fluctuations on investors’ risk-taking and the measurement of risk preferences per se. We conclude that cautious investment behavior after an economic crisis might rather be due to changes in the perception of risk and return. Moreover, we give evidence that, in general, it is not sufficient to explain investors’ risk-taking solely by preferences.

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms’ credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises where and which sectors are better positioned for a transition to a low-carbon economy. Moreover, lenders demand more credit protection for those borrowers perceived to be more exposed to carbon risk when market-wide concern about climate change risk is elevated. Finally, lenders expect that adjustments in carbon regulations in Europe will cause relatively larger policy-related costs in the near future.

We examine if the trading activity on the German intraday electricity market is linked to fundamental as well as market-induced factors. Thus, we propose a novel point process model in which the intensity process of order arrivals consists of a self-exciting term and additional exogenous factors, such as the production of renewable en- ergy or the activated volume on the balancing market. The model parameters are estimated by a maximum like- lihood approach that explicitly accounts for such factor processes. By comparing the proposed model to several nested models, we investigate whether adding the exogenous factors significantly increases the accuracy of the model fit. We find that intensity processes that only take into account exogenous factors are improved if we add a self-exciting term. On the other hand, to capture the market dynamics correctly, pure self-exciting models need to be extended such that they additionally account for exogenous impacts.

We use point processes to analyze market order arrivals on the intraday market for hourly electricity deliveries in Germany in the second quarter of 2015. As we distinguish between buys and sells, we work in a multivariate setting. We model the arrivals with a Hawkes process whose baseline intensity comprises either only an exponentially increasing component or a constant in addition to the exponentially increasing component, and whose excitation decays exponentially. Our goodness-of-fit tests indicate that the models where the intensity of each market order type is excited at least by events of the same type are the most promising ones. Based on the Akaike information criterion, the model without a constant in the baseline intensity and only self-excitation is selected in almost 50% of the cases on both market sides. The typical jump size of intensities in case of the arrival of a market order of the same type is quite large, yet rather short lived. Diurnal patterns in the parameters of the baseline intensity and the branching ratio of self-excitation are observable. Contemporaneous relationships between different parameters such as the jump size and decay rate of self and cross-excitation are found.

Spanier, C.; Schröder, H.: Schreiben an der Schnittstelle von Theorie und Praxis in "Marketing und Handel" - Die sprachliche Darstellung fachlicher Probleme. In: Lahm, S.; Meyhöfer, F.; Neumann, F. (Hrsg.): Schreiblehrkonzepte an Hochschulen – Fallstudien und Reflexionen zum fachspezifischen Schreibenlehren und -lernen. 1. Auflage. wbv Publikationen, Bielefeld, 2021, S. 135-148. doi:10.3278/6004807w135KurzfassungPDFDetailsVolltextBIB Download

Gemäß dem Motto "Eine Theorie ist nur so gut, wie sie praktisch anwendbar ist" verbindet der Lehrstuhl für Marketing und Handel wissenschaftliche Forschung mit praktischer Anwendung, was auch Studierende beim Verfassen einer Fallstudie leisten sollen. Doch die daraus abzuleitenden Anforderungen stellen Studierende offensichtlich vor Probleme, die sie ohne Unterstützung nicht selbstständig lösen können. Es fehlen Schreibanlässe, um grundlegende Kompetenzen zu entwickeln, die sie - zur Vorbereitung auf das Verfassen der Bachelor-Arbeit - in die Lage versetzen, ein Thema fachlich angemessen sowohl schriftlich darzulegen als auch mündlich zu präsentieren, denn in wirtschaftswissenschaftlichen Studiengängen dominiert die Prüfungsform Klausur.

Seit 2014 unterstützt daher der Lehrstuhl Studierende mit einem kooperativen Lehrkonzept, das gezielt die Entwicklung wissenschaftlicher Textkompetenz fördert. In diesem Beitrag wird anhand von Studierendentexten veranschaulicht, wie sich die Entwicklung von Schreibkompetenz am Schreibprodukt nachvollziehen lässt. Eine Besonderheit des Lehrkonzepts ist der Wechsel von Seminarformen, Individual- und Plenarfeedback, dem in Bezug auf die Wirksamkeit des Lehrkonzepts zentrale Bedeutung zukommt. Im sogenannten "student life circle" befinden sich Studierende eher fern des Fachdiskurses; hier ermöglicht der interaktive Charakter des Seminars mit diskursiver Erkenntnisproduktion Verständnis für wissenschaftliches Arbeiten im Fach. Rückblickend konnte seither nicht nur eine Verbesserung des methodischen Vorgehens der Studierenden beobachtet werden, sondern vor allem eine Steigerung der Aussagekraft der Texte, die das Ankommen in der Fachkultur dokumentiert.

\\{Intervening on modifiable risk factors to prevent dementia is of key importance, since progress-modifying treatments are not currently available. Education is inversely associated with dementia risk, but causality and mechanistic pathways remain unclear. We aimed to examine the causality of this relationship in Sweden using, as a natural experiment, data on a compulsory schooling reform that extended primary education by 1 year for 70\% of the population between 1936 and 1949. The reform introduced substantial exogenous variation in education that was unrelated to pupils’ characteristics. We followed 18 birth cohorts (n = 1,341,842) from 1985 to 2016 (up to ages 79–96 years) for a dementia diagnosis in the National Inpatient and Cause of Death registers and fitted Cox survival models with stratified baseline hazards at the school-district level, chronological age as the time scale, and cohort indicators. Analyses indicated very small or negligible causal effects of education on dementia risk (main hazard ratio = 1.01, 95\% confidence interval: 0.98, 1.04). Multiple sensitivity checks considering only compliers, the pre-/post- design, differences in health-care-seeking behavior, and the impact of exposure misclassification left the results essentially unaltered. The reform had limited effects on further adult socioeconomic outcomes, such as income. Our findings suggest that without mediation through adult socioeconomic position, education cannot be uncritically considered a modifiable risk factor for dementia.}

https://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=9221982

Jacobs, Heiko: Help or Hype? Journalists' Perceptions of Mispriced Stocks. In: Journal of Economic Behavior & Organization, Jg.2020 (2020), Nr. 178, S. 550-565. doi:10.1016/j.jebo.2020.07.029KurzfassungDetailsVolltextBIB Download

Abstract

The business press is a key information intermediary in stock markets, but little is known about how journalists themselves process information. To test competing hypotheses, I combine composite mispricing scores constructed from about 200 cross-sectional anomalies with the content of about two million firm-specific newspaper articles. I find that journalists tend to write positively (negatively) about stocks likely to be undervalued (overvalued). The effect is strongest for national newspapers and overvalued stocks. These and further findings collectively lend more, though not unambiguous, support to the bright side of financial journalism. In most cases, journalists act as “watchdogs”, not as “cheerleaders”.

Will be published after the CIRED 2020 in Berlin.

currently under review

working paper can be found here

We investigate two parallel school reforms in Sweden to assess the long-run health effects of education. One reform only increased years of schooling, while the other increased years of schooling but also removed tracking leading to a more mixed socioeconomic peer group. By differencing the effects of the parallel reforms, we can separate the effect of de-tracking and peers from that of more schooling. We find that the pure years of schooling reform reduced mortality and improved current health. Differencing the effects of the reforms shows significant differences in the estimated impacts, suggesting that de-tracking and subsequent peer effects resulted in worse health.

• Die Corona-Krise verursachte einen jähen Einbruch oder „Sudden Stop“ internationaler Kapitalflüsse in Schwellen- und Entwicklungsländern. Auf frühere solcher „Sudden Stop“ Episoden folgten meist schwerwiegende Rezessionen, Finanzkrisen, sowie Staatsbankrotte.
• Das Ausmaß der Kapitalflucht ist heute jedoch wesentlich dramatischer als in früheren Krisen. Innerhalb von nur drei Monaten beliefen sich die kumulierten Kapitalabflüsse auf 100 Milliarden US-Dollar. Das ist ein historisch einzigartiger Abfluss von Kapital aus der Peripherie.
• Viele Schwellen- und Entwicklungsländer stehen daher aller Voraussicht nach vor großen wirtschaftlichen und finanziellen Turbulenzen, mit weitreichenden Konsequenzen für die Weltwirtschaft und Europa. Denn Schwellenländer machen mittlerweile mehr als 50 Prozent der globalen Wirtschaftskraft aus und haben sich zu wichtigen Handelspartnern für Europa und Deutschland entwickelt.
• Schuldenerlässe und finanzielle Rettungspakete, insbesondere vom IWF, sind als Antwort auf die aktuelle Krise gerechtfertigt. Erste Initiativen der G20, wie das geplante Moratorium auf Staatsschulden, gehen in die richtige Richtung.

Das Paper kann wie folgt zitiert werden: “This article can already be cited using the year of online availability and the DOI as follows: Author(s), Article Title, Journal (Year), DOI.”

Jacobs, Heiko; Müller, Sebastian: Anomalies Across the Globe: Once Public, No Longer Existent?. In: Journal of Financial Economics, Jg.2020 (2020), Nr. 135, S. 213-230. doi:10.1016/j.jfineco.2019.06.004KurzfassungDetailsVolltextBIB Download

Abstract

Motivated by McLean and Pontiff (2016), we study the pre- and post-publication return predictability of 241 cross-sectional anomalies in 39 stock markets. Based on more than two million anomaly country-months, we nd that the United States is the only country with a reliable post-publication decline in long/short returns. Collectively, our meta-analysis of return predictors suggests that barriers to arbitrage trading may create segmented markets and that anomalies tend to represent mispricing rather than data mining.

As many developed countries enact policies that allow children to begin universal childcare earlier, understanding how starting universal childcare earlier affects children’s cognitive and noncognitive skills is an important policy question. We provide comprehensive evidence on the multidimensional short- and longer-run effects of starting universal childcare earlier using a fuzzy discontinuity in the age at starting childcare in Germany. Combining rich survey and administrative data, we follow one cohort from age 6 to 15 and examine standardized cognitive test scores, noncognitive skill measures, and school track choice in a unified framework. Children who start universal childcare four months earlier around age 3 do not perform differently in terms of standardized cognitive test scores, measures of noncognitive skills, school track choice, or school entrance examinations. We also find no evidence of skill improvements for children with low socioeconomic status, although we provide suggestive evidence that they may benefit from high-quality care. Our estimates refer to children who start childcare before they become legally entitled, for whom the literature would predict low gains to starting childcare earlier. We provide further evidence on this relationship between parental resistance to and children’s potential gains from childcare. Simply allowing children to start universal childcare earlier is hence not sufficient to improve children’s skill development, particularly for children with low socioeconomic status.

Existing research indicates that on the intraday market for power deliveries in Germany market orders tend to arrive in clusters. To capture such clustering, point processes with an intensity depending on past events, so-called Hawkes processes, appear to be promising. We consider the question whether there is a temporal structure prevalent in the parameters of Hawkes processes estimated for adjacent delivery hours. First we model a diurnal seasonality pattern found in the data and provide an economic intepretation for it. For the remaining decomposed series, we then propose simple (vector) autoregressive models to describe the serial structure. To evaluate our model we conduct a forecasting study. Testing against a benchmark model and a model without any serial structure, we find evidence for our proposed model. Our study reveals that capturing the serial structure in the parameters proves to be useful in understanding the underlying market microstructure.

We evaluate the impact on earnings, pensions, and further labor market outcomes of two parallel educational reforms increasing instructional time in Swedish primary school. The reforms extended the annual term length and compulsory schooling by comparable amounts. We find striking differences in the effects of the two reforms: at 5%, the returns to the term length extension were at least half as high as OLS returns to education and benefited broad ranges of the population. The compulsory schooling extension had small (2%) albeit significant effects, which were possibly driven by an increase in post-compulsory schooling. Both reforms led to increased sorting into occupations with heavy reliance on basic skills.

Using generalised variance decompositions from vector autoregressions, we analyse cross-country, cross-category spillovers of economic policy uncertainty (EPU) and financial market volatility between the US and Japan. Our model includes indices of monetary, fiscal and trade policy uncertainty for each country, as well as three measures of option-implied stock market and exchange rate volatility, respectively. We find that the financial market volatility indices are usually substantial net spillover transmitters towards the total group of EPU measures. However, the Japanese equity and especially the FX volatility index are typically more affected by EPU spillovers than the US VXO. Our results also reveal that, compared to within-country spillovers, cross-country spillovers of EPU are relatively small and less volatile. Finally, we show that the direction of net EPU spillovers between the US and Japan is both time- and category-dependent with different EPU categories acting as strong sources of uncertainty spillovers throughout the sample period.

Conference Paper:

16th International Conference on the European Energy Market (EEM), Ljubljana 2019

This paper examines the effects of substantial changes in paid parental leave on child development and socio-economic development gaps. We analyse a German reform that replaced a means-tested with an earnings-related benefit scheme. Higher-income households benefited relatively more from the reform than low-income households. The reform expanded paid leave in the first year, while it removed paid leave in the second year after childbirth. We compare children born around the eligibility cut-off on January 1st 2007 and contrast them with children from the preceding, unaffected cohort within a difference-in-differences approach. The analysis is based on administrative data from mandatory school entrance examinations containing detailed child development assessments at age six. Our precise and robust estimates reveal no effects of the changes in parental leave benefits on child development across various socio-economic groups, and consequently no effects on socio-economic development gaps. However, based on administrative employment data, we document substantial effects on maternal employment and family income. The paper concludes that reform effects on today’s mothers are not sacrificed by increases in SES gaps of the future workforce.

Studies examining the introduction of pictorial warnings on cigarette packages provide inconclusive evidence due to small samples and methodological issues. We use individual-level panel data from Australia to examine the association between pictorial warnings and smoking behaviour – prevalence, quitting, initiating and relapsing. The pictorial warnings were accompanied by a reference to a smoking cessation helpline and supportive television commercials. Applying an event study framework, we show that the reform reduced smoking rates by around 4% within the first year of the policy. The effect decreases with age, is similar for men and women, and is slightly larger for low-educated compared to high-educated individuals. The reform permanently lowered smoking rates primarily due to increased quitting in the year of the reform. Thus, pictorial warnings combined with a reference to a smoking cessation helpline and supportive media campaigns are an important tobacco control measure to reduce the social costs of smoking.

, forthcoming

There is an ongoing debate on the introduction of capacity markets in most European countries while a few of them have already established capacity markets. Since the implementation of independent national capacity markets is not in line with the target of a pan-European internal electricity market we investigate the impacts of uncoordinated capacity markets compared with coordinated capacity markets. A probabilistic approach for the determination of capacity requirements is proposed and a European electricity market model (E2M2s) is applied for evaluation. The model simultaneously optimizes investments and dispatch of power plants. Besides the impact on generation investments, market prices and system costs we analyze effects on production and security of supply. While coordinated capacity markets reveal high potentials for cross-border synergies and cost savings, uncoordinated and unilateral implementations can lead to inefficiencies, in particular free riding effects and endanger security of supply due to adverse allocation of generation capacity.

This note argues that basically all strands of available empirical and quantitative evidence on the economic effects of Brexit arrive at the conclusion that the economic burden for Britain will be substantial. Furthermore, there are good reasons to expect that these costs are currently even underestimated as dynamic effects of Brexit are insufficiently captured by existing methods. Furthermore, all scenarios assume an orderly Brexit which looks increasingly unlikely. The best way forward is an exit from Brexit and to call for a second referendum on the concrete two policy alternatives which are now on the table.

Brexit, the exit of Britain from the EU, is scheduled to happen on March 29, 2019. At present, the Brexit train seems almost unstoppable. While most earlier economic and political discussions centered around the concrete design of Brexit and the impact of different arrangements of economic integration in the post-Brexit period (“soft” versus “hard” Brexit), the most pressing question now is whether an orderly Brexit can still be accomplished.

In March 2014 Crimea unilaterally declared its independence from Ukraine and joined the Russian Federation. The separation of a part of a state's territory and economy is an interesting matter to examine. The economy of Ukraine has not only shrunk, but also changed its structure as Crimea had a quite distinct production pattern compared to the rest of Ukraine. Moreover, policy measures initialized before the separation may have different effects once applied only to a part of the former economy. This paper proposes a strategy to model the separation of part of an economy and its inclusion into another country and applies this strategy to the case of Crimea, Ukraine, and Russia. Having constructed a model for the new geographical and economic situation, we reinvestigate the possible effects of a Deep and Comprehensive Free Trade Agreement between Ukraine and the EU and compare the results for the situation with Crimea as part of Ukraine. We find that the annexation of Crimea leads to severe economic losses for Ukraine which are partly overproportional compared to Crimea's economic size. These negative effects can be compensated by implementing the DCFTA with the EU as we also show in our model results.

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There has been a rise in recent research regarding the economics on the consequences of population ageing for health care expenditure. The focus of this research is on expenditures in the last years of life and the implications for the age profile of health care spending. One open issue in the literature is whether health care expenditure is so concentrated in the last years before death that the age profiles in spending will change when longevity increases. The previous literature also finds that the age profile of health expenditures, after controlling for time to death, is dependent on the type of health care expenditure that is being predicted. Some studies find that the age is more powerful in predicting long-term care compared to health care expenditures. However, this result appears to depend on the empirical model used.

There are conflicting findings that can be reconciled by carefully reviewing and validating the methods that have been used in the literature. In particular, there are advantages of using a two-part model for health care expenditure, in which health care utilization is allowed to have different determinants on the extensive and the intensive margin. This can be seen when this standard modeling approach is compared to alternatives that require weaker assumptions at the cost of possibly inferior fit to the data. Different proxies are evaluated for morbidity affect the estimated end-of-life costs and age profiles in spending. Using a high-quality health insurance dataset from Germany, which includes all relevant determinants of health and long-term care expenditure, the accuracy of popular methods in predictions of future health and long-term care spending are assessed. The basis for this validation exercise is the prediction accuracy within the same dataset. The endogeneity of death is an issue that has not been addressed satisfactorily in the literature, and there is a solution to the problem based on standard approaches to causal inference.

This study assesses the short and medium-term impact of extreme temperatures on population health and health-related costs in Germany. For 1999 to 2008, we link the universe of 170 million hospital admissions and all 8 million deaths with weather and pollution data at the day-county level. Extreme heat significantly and immediately increases hospitalizations and deaths. This finding holds irrespective of whether we employ econometric models that are standard in economics or models that are standard in epidemiology; we compare and discuss both approaches. We find evidence for partial “harvesting.” At the end of a 30-day window, the immediate health effects are, on average, one quarter lower, but this reduction is primarily evident for cardiovascular and neoplastic diseases. Moreover, aggregating at the yearly level reduces the effect size by more than 90 percent. The health-related economic costs accumulate up to €5 million per 10 million population per hot day with maximum temperatures above 30 °C (86 °F).

We examine how a paid parental leave reform causally affected families’ living arrangements. The German reform we examine replaced a means-tested benefit with a universal transfer paid out for a shorter period. Combining a regression discontinuity with a difference-in-differences design, we find that the reform increased the probability that a newborn lives with non-married cohabiting parents. This effect results from a reduced risk of single parenthood among women who gained from the reform. We reject the economic independence hypothesis and argue that the reform effects for those who benefited from the reform are consistent with hypotheses related to the improved financial situation of new mothers after the reform and increased paternal involvement in childcare.

Jacobs, Heiko; Hillert, Alexander; Müller, Sebastian: Journalist Disagreement. In: Journal of Financial Markets, Jg.2018 (2018), Nr. 41, S. 57-76. doi:10.1016/j.finmar.2018.09.002KurzfassungDetailsVolltextBIB Download

Abstract

By quantifying the tone of firm-specific articles in leading national newspapers between 1989 and 2010, we propose a bottom-up measure of aggregate journalist disagreement. In line with theoretical considerations, our novel high-frequency proxy for differences of opinion negatively forecasts the market return, in particular during recessions. Moreover, it has predictive power for the cross-section of stock returns. Collectively, our insights support asset pricing theories incorporating belief dispersion and highlight the role of the media in this context.

Here is the RCode.

This paper analyses the interdependence of policy uncertainty from 1985 to 2017 across six different categories of US economic policy: Monetary, fiscal, healthcare, national security, regulatory, and trade policy. To this end, we apply the Diebold and Yilmaz (2012, 2014) connectedness index methodology to the newspaper-based uncertainty indices developed by Baker et al. (2016). We find that, in total, the category-specific uncertainties are indeed closely interrelated. However, some policy categories are strong net transmitters of uncertainty spillovers (e.g. fiscal policy), while others show only a low degree of average connectedness and are predominantly net receivers (e.g. trade policy). A modified rolling-window approach further reveals that the intensity and direction of spillovers change significantly over time. The total connectedness index not only shows strong bursts related to certain events, but also exhibits a positive long-run trend. The latter is particularly driven by an increasing average connectedness of both healthcare and regulatory policy uncertainty. Finally, we highlight the different characteristics of the uncertainty network across presidential administrations, as well as before and after the most recent election.

Mit Hilfe von generalisierten Varianzdekompositionen aus Vektorautoregressionen untersuchen wir länder- und kategorieübergreifende Unsicherheits-Spillover-Effekte zwischen den USA und Japan. Dabei betrachten wir sowohl wirtschaftspolitische Unsicherheit (WPU) als auch Finanzmarktvolatilität. Unser Modell beinhaltet für jedes Land drei Maße geld-, fiskal- und handelspolitischer Unsicherheit sowie insgesamt drei Indizes für implizite Aktienmarkt- und Wechselkursvolatilität. Wir stellen zunächst fest, dass die Volatilitätsindizes in der Regel starke Netto-Sender von Spillover-Effekten gegenüber der Gruppe von WPU-Indikatoren sind. Gleichzeitig sind jedoch der japanische Aktien- und Devisenmarktvolatilitätsindex beide stärker von WPU-Spillovern betroffen als der US-amerikanische VXO. Unsere Ergebnisse zeigen zudem, dass länderübergreifende WPU-Spillover im Vergleich zu inländischen Spillover-Effekten relativ klein und weniger volatil sind. Zuletzt zeigen wir, dass die Richtung der Netto-WPU-Spillover zwischen den USA und Japan sowohl zeit- als auch kategorieabhängig ist. Dabei fungieren im Laufe des Untersuchungszeitraums verschiedene WPU-Kategorien als starke Quellen von Unsicherheitsspillovern.

Few papers examine the pecuniary and non-pecuniary determinants of doctors' labour supply despite substantial predicted shortages in many OECD countries. We contribute to the literature by applying both a structural discrete choice and a reduced-form approach. Using detailed survey data for Australian physicians, we examine how these different modelling approaches affect estimated wage elasticities at the intensive margin. We show that all modelling approaches predict small negative wage elasticities for male and female General Practitioners (GPs) and specialists. Our detailed subgroup analysis does not reveal particularly strong responses to wage increases by any specific group. We show that the translog and Box-Cox utility functions outperform the quadratic utility function. Exploiting the advantages of the structural discrete choice model, we examine short-term effects at the intensive margin by calculating labour supply changes in response to 5 and 10% wage increases. The results show that such wage increases substantially reduce the full-time equivalent supply of male GPs, and to a lesser extent of male specialists and female GPs, but not of female specialists.

Aus der Einleitung der Herausgeber: 

Mark Heitfeldt und Ute Schmiel erörtern in ihrem Beitrag die vom deutschen Bundesverfassungsgericht auf Art. 3 Abs. 1 GG zurückgeführte Gleichmäßigkeit der Besteuerung nach dem Maßstab wirtschaftlicher Leistungsfähigkeit. Gleichmäßige Besteuerung nach der wirtschaftlichen Leistungsfähigkeit ist das Gegenteil einer umverteilenden Steuer. Allerdings schließt Gleichmäßigkeit der Besteuerung eine progressive Besteuerung nicht aus. Bevor jedoch nicht geklärt ist, unter welchen Bedingungen die Besteuerung gleichmäßig ist, kann auch nicht gesagt werden, ob es sich bei einer Besteuerungsnorm um eine Umverteilungsnorm handelt oder nicht. Der Beitrag thematisiert jedoch nur ansatzweise die Frage, unter welchen Bedingungen die Besteuerung gleichmäßig ist. Er fokussiert vielmehr darauf, ob eine gleichmäßige Besteuerung überhaupt durch Argumente gestützt werden kann. Die VerfasserInnen bejahen dies, weil Gleichmäßigkeit der Besteuerung mit Handlungsfreiheit und Rechtsgleichheit vereinbar ist, die ihrerseits konstitutive Prinzipien und zugleich intrinsische Werte einer Marktwirtschaftsordnung sind.

Quelle: Metropolis.

Jüngste Ereignisse wie die Finanz- und Staatsschuldenkrise in Europa gingen mit einem Anstieg der wirtschaftspolitischen Unsicherheit (EPU) einher. Um die Effekte von EPU auf neun makroökonomische Variablen für elf Länder der Europäischen Währungsunion zu quantifizieren, verwenden wir ein TVP-FAVAR Modell mit hierarchischen Prioren. Unsere Studie zeigt erstens, dass EPU über verschiedene Kanäle, wie dem realen Options-, dem vorsorglichen Spar- und dem Finanzkanal, übertragen wird. Zweitens, basierend auf den Impuls-Antwort-Folgen (IAF) können wir zwischen den GIIPS-Ländern und den nördlichen Ländern unterscheiden, wobei erstgenannte stärker von EPU-Schocks beeinflusst werden. Drittens, während sich die IAF für acht Variablen lediglich in der Stärke und nicht im Vorzeichen unterscheiden, gibt es in jenen der langfristigen Zinsen auf Staatsanleihen Unterschiede im Vorzeichen. Viertens zeigt unsere Studie, dass Investoren stärker auf EPU-Schocks reagieren als Konsumenten. Fünftens, wir zeigen, dass EPU die gemeinsame europäische Geldpolitik beeinflusst. Sechstens liefert unsere Studie empirische Belege dafür, dass der Transmissionsmechanismus von EPU-Schocks über die Zeit konstant ist. Schlussendlich geht aus unserer Studie hervor, dass der Anstieg von EPU teilweise durch die aktuelle wirtschaftliche Lage der europäischen Volkswirtschaften erklärt werden kann, weshalb EPU als endogene Variable behandelt werden sollte.

Although end-of-life medical spending is often viewed as a major component of aggregate medical expenditure, accurate measures of this type of medical spending are scarce. We used detailed health care data for the period 2009–11 from Denmark, England, France, Germany, Japan, the Netherlands, Taiwan, the United States, and the Canadian province of Quebec to measure the composition and magnitude of medical spending in the three years before death. In all nine countries, medical spending at the end of life was high relative to spending at other ages. Spending during the last twelve months of life made up a modest share of aggregate spending, ranging from 8.5 percent in the United States to 11.2 percent in Taiwan, but spending in the last three calendar years of life reached 24.5 percent in Taiwan. This suggests that high aggregate medical spending is due not to last-ditch efforts to save lives but to spending on people with chronic conditions, which are associated with shorter life expectancies.

We present a stochastic modelling approach to describe the dynamics of hourly electricity prices. The suggested methodology is a stepwise combination of several mathematical operations to adequately characterize the distribution of electricity spot prices. The basic idea is to analyze day-ahead prices as panel of 24 cross-sectional hours and to identify principal components of hourly prices to account for the cross correlation between hours. Moreover, non-normality of residuals is addressed by performing a normal quantile transformation and specifying appropriate stochastic processes for time series before fit. We highlight the importance of adequate distributional forecasts and present a framework to evaluate the distribution forecast accuracy. The application for German electricity prices 2015 reveal that: (i) An autoregressive specification of the stochastic component delivers the best distribution but not always the best point forecasting results. (ii) Only a complete evaluation of point, interval and density forecast, including formal statistical tests, can ensure a correct model choice.

We study theoretically and empirically how consumers in an individual private longterm health insurance market with front-loaded contracts respond to newly mandated portability requirements of their old-age provisions. To foster competition, effective 2009, the German legislature made the portability of standardized old-age provisions mandatory. Our theoretical model predicts that the portability reform will increase internal plan switching. However, under plausible assumptions, it will not increase external insurer switching. Moreover, the portability reform will enable unhealthier enrollees to reoptimize their plans. We find confirmatory evidence for the theoretical predictions using claims panel data from a big private insurer.

An important, yet unsettled, question in public health policy is the extent to which unemployment causally impacts mental health. The recent literature yields varying findings, which are likely due to differences in data, methods, samples, and institutional settings. Taking a more general approach, we provide comparable evidence for four countries with different institutional settings—Australia, Germany, the UK, and the United States—using a nonparametric bounds analysis. Relying on fairly weak and partially testable assumptions, our paper shows that unemployment has a significant negative effect on mental health in all countries. Our results rule out effects larger than a quarter of a standard deviation for Germany and half a standard deviation for the Anglo‐Saxon countries. The effect is significant for both men and women and materialises already for short periods of unemployment. Public policy should hence focus on early prevention of mental health problems among the unemployed.

This paper investigates the potential of an infant intervention to improve life expectancy, contributing to emerging interest in the early life origins of chronic disease. We track individuals from birth to death, and are able to identify age and cause of death. The intervention was pioneered in Sweden in 1931–1933, and appears to have been pivotal in the emergence of universal infant care programmes in the Scandinavian countries during the creation of the Welfare State. It provided information and support to mothers, with an emphasis on nutrition and sanitation, while monitoring infant care through home visits and clinics. We estimate that the average duration of programme exposure in infancy led to a 1.56% point decline in the risk of infant death (24% of baseline risk) and a 2.56% point decline in the risk of dying by age 75 (7.0% of baseline risk), and these impacts are much larger for children born out of wedlock. Intervention-led declines in the risk of dying after the age of 50 are dominated by reductions in cancer and cardiovascular mortality. We find no evidence of selective utilisation, and the estimates are similar when we exploit within-mother variation in outcomes. (JEL: I15; I18; H41)

Providing mothers with access to paid parental leave may be an important public policy to improve child and maternal health. Using extensive information from the Longitudinal Study of Australian Children, we estimate how paid parental leave entitlements influence children's health up to age 7. Exploiting detailed information on children's health, family background, mothers’ pre‐birth work histories and mothers’ health behaviours during pregnancy, we show that paid parental leave entitlements go together with a reduced probability of a child having multiple ongoing health conditions, but show no significant correlation with any single condition. We find that the reduction in multiple conditions is strongest for children from lower socioeconomic backgrounds. Our study implies that the provision of paid parental leave for short periods is unlikely to substantially improve child health on average, but may potentially benefit the health of more disadvantaged children.

Jacobs, Heiko: Market Maturity and Mispricing. In: Journal of Financial Economics, Jg.2016 (2016), Nr. 122, S. 270-287. doi:10.1016/j.jfineco.2016.01.030KurzfassungDetailsVolltextBIB Download

Abstract

Relying on the Stambaugh, Yu, and Yuan (2015) mispricing score and on 45 countries between 1994 and 2013, I document economically meaningful and statistically significant cross-sectional stock return predictability around the globe. In contrast to the widely held belief, mispricing associated with the 11 long/short anomalies underlying the composite ranking measure appears to be at least as prevalent in developed markets as in emerging markets. Additional support for this conjecture is obtained, among others, from tests for biased expectations based on the behavior of anomaly spreads surrounding earnings announcements as well as from within-country variation in development.

Macroeconomic downturns can have an important impact on the receipt of informal and formal long-term care, because recessions increase the number of unemployed and affect net wealth. This paper investigates how the market for informal care changed during and after the Great Recession in Europe, with particular focus on the determinants of care receipt. We use data from the Survey of Health, Ageing and Retirement in Europe, which includes a rich set of variables covering waves before and after the Great Recession. We find evidence of an increase in the availability of informal care after the economic downturn when controlling for year and country fixed effects. This trend is mainly driven by changes in care provision of individuals not cohabiting with the care recipient. We also find evidence of several determinants of informal care receipt changing during the crisis – such as physical needs, personal wealth, and household structures. Copyright © 2016 John Wiley & Sons, Ltd.

Emissions Trading Systems (ETSs) with fixed caps lack provisions to address systematic imbalances in the supply and demand of permits due to changes in the state of the regulated economy. We propose a mechanism which adjusts the allocation of permits based on the current bank of permits. The mechanism spans the spectrum between a pure quantity instrument and a pure price instrument. We solve the firms' emissions control problem and obtain an explicit dependency between the key policy stringency parameter – the adjustment rate – and the firms' abatement and trading strategies. We present an analytical tool for selecting the optimal adjustment rate under both risk-neutrality and risk-aversion, which provides an analytical basis for the regulator's choice of a responsive ETS policy.

We examine the size and determinants of the family earnings gap for Australian general practitioners (GPs). Female GPs with children earn more than $30,000 less than comparable female GPs without children, while male GPs with children earn more than $45,000 more than comparable male GPs without children. The main determinants of the family gap are differences in observable characteristics such as working hours, labor‐force attachment, and demographics, and additionally, for men, entrepreneurship and practice size. A fixed‐effects extension of the analysis confirms both the carer effect of children on female GPs and the breadwinner effect of children on male GPs.

Jacobs, Heiko; Hillert, Alexander: Alphabetic Bias, Investor Recognition, and Trading Behavior. In: Review of Finance, Jg.2016 (2016), Nr. 20, S. 693-723. doi:10.1093/rof/rfv060KurzfassungDetailsVolltextBIB Download

Abstract

Extensive research has revealed that alphabetical name ordering tends to provide an advantage to those positioned in the beginning of an alphabetical listing. This paper is the first to explore the implications of this alphabetic bias in financial markets. We find that U.S. stocks that appear near the top of an alphabetical listing have about 5% to 15% higher trading activity and liquidity than stocks that appear towards the bottom. The magnitude of these results is negatively related to firm visibility and investor sophistication. International evidence and fund flows further indicate that ordering effects can affect trading activity and liquidity.

We discuss some issues associated with the empirical analysis of the relationship between socioeconomic status and health. We point out that, in addition to elaborate empirical modeling and good data, a conceptual framework is helpful both for making sense of one's own results and for the purpose of reconciling results across studies. We find that when we align the empirical specification with the Grossman model, a negative effect of income on health emerges. Even though this unexpected finding can be rationalized, we think that some caution regarding standard dynamic panel data techniques is warranted in this context.

We use claims panel data from a big German private health insurer to provide detailed individual-level evidence on medical spending between 2005 and 2011. This includes evidence on the distribution of medical spending, the dependence of medical spending on age and other demographic characteristics, its persistence, and how medical spending evolves in the years before death. Our main findings are that health care spending more than doubles between ages 50 and 80 and that spending is very concentrated: the top 10 per cent of all spenders are responsible for 53 per cent of all medical spending in a given year. There is a 50 per cent probability that individual expenditures lie in the same quintile of the distribution after five years, for both very-high- and very-low-cost individuals. Medical spending in the year of death is six times higher for the deceased than for everybody else in that year and accounts for 7.9 per cent of lifetime spending. Females use more office-based care and have higher spending at younger ages, whereas males have higher spending at older ages, particularly for hospital care, and die younger. The presentation of these empirical facts is framed by an institutional discussion of the German health care system, a comparison between publicly- and privately-insured individuals, and a discussion of medical spending trends in aggregate-level data.

We examine the effects of smoking bans on self‐assessed health in Germany taking into account heterogeneities by smoking status, gender and age. We exploit regional variation in the dates of enactment and dates of enforcement across German federal states. Using data from the German Socio‐Economic Panel, our difference‐in‐differences estimates show that non‐smokers' health improves, whereas smokers report no or even adverse health effects in response to bans. We find statistically significant health improvements especially for non‐smokers living in households with at least one smoker. Non smokers' health improvements materialise largely with the enactment of smoking bans. Copyright © 2016 John Wiley & Sons, Ltd.

Jacobs, Heiko: What Explains the Dynamics of 100 Anomalies?. In: Journal of Banking and Finance, Jg.2015 (2015), Nr. 57, S. 65-85. doi:10.1016/j.jbankfin.2015.03.006KurzfassungDetailsVolltextBIB Download

Abstract

Are anomalies strongest when investor sentiment or limits of arbitrage are considered to be greatest? We empirically explore these theoretically deducted predictions. We first identify, categorize, and replicate 100 long-short anomalies in the cross-section of expected equity returns. We then comprehensively study their interaction with popular proxies for time-varying market-level sentiment and arbitrage conditions. We find a powerful (relatively weak) role of the variation in proxies for sentiment (arbitrage constraints). In this context, the predictive power of sentiment is mostly restricted to the short leg of strategy returns. Our insights collectively suggest that the dynamics of sentiment combined with the base level (and not primarily the variations) of limits to arbitrage provide at least a partial explanation for inefficiencies.

Daylight savings time represents a public good with costs and benefits. We provide the first comprehensive examination of the welfare effects of the spring and autumn transitions for the UK and Germany. Using individual-level data and a regression discontinuity design, we estimate the effect of the transitions on life satisfaction. Our results show that individuals in both the UK and Germany experience deteriorations in life satisfaction in the first week after the spring transition. We find no effect of the autumn transition. We attribute the negative effect of the spring transition to the reduction in the time endowment and the process of adjusting to the disruption in circadian rhythms. The effects are particularly strong for individuals with young children in the household. We conclude that the higher the shadow price of time, the more difficult is adjustment. Presumably, an increase in flexibility to reallocate time could reduce the welfare loss for individuals with binding time constraints.

Mit dem weiteren Ausbau fluktuierender erneuerbarer Energien (EE) steigen in Zukunft die Anforderungen an die Aufrechterhaltung der Systembilanz. Aufgrund der Variabilität und Unvorhersehbarkeit der EE-Einspeisung wird sich der Regelleistungsbedarf in Zukunft erhöhen. Um dem entgegenzuwirken, sind adäquate Reservebemessungsverfahren von großer Bedeutung. Während in der Praxis in der Regel einfache deterministische oder probabilistische Modelle angewendet werden, entwickeln wir in diesem Beitrag ein verbessertes dynamisches Verfahren zur Reservebemessung unter Verwendung nichtparametrischer Verteilungen zur Beschreibung der Prognosefehler. Ein weiterer Mehrwert des vorgestellten Ansatzes besteht in der Berücksichtigung zeitabhängiger Wahrscheinlichkeitsverteilungen für Kraftwerksausfälle und einer anschließenden Faltung von konditionalen Wahrscheinlichkeitsverteilungen für Last-, Wind- und Solarprognosefehler. Das dynamische Verfahren wird mit einem statischen Ansatz zur Reservebemessung mit unkonditionalen Wahrscheinlichkeitsverteilungen verglichen. Basierend auf historischen Daten quantifizieren wir den Regelleistungsbedarf und analysieren die ökonomischen Auswirkungen dynamischer Reservebedarfe mit Hilfe einer Fallstudie für Deutschland und die Betrachtungsjahre 2013 und 2030.

In this study, we estimate the effect of the HIV epidemic on demographic outcomes in three countries in Sub-Saharan Africa. We apply the synthetic control group method and estimate the consequences for life expectancy, mortality, and birth rates. According to standard measures of fit, the method seems to perform well for all countries and outcomes. Our results show a large effect on life expectancy and mortality in two countries, and a small and insignificant effect on birth rates. The impact of the pandemic is very heterogeneous. In Mozambique, the impact of HIV on life expectancy and mortality appears to have been surprisingly small. This heterogeneity is not due to AIDS causing fewer deaths in Mozambique than in the two other countries. Instead, the net effect of HIV in Mozambique appears to be diminished by reduced mortality for other causes—in particular child mortality, respiratory infections, and injuries.

Hillert, Alexander; Jacobs, Heiko; Müller, Sebastian: Media Makes Momentum. In: Review of Financial Studies, Jg.2014 (2014), Nr. 27, S. 3467-3501. doi:10.1093/rfs/hhu061KurzfassungDetailsVolltextBIB Download

Abstract

Relying on 2.2 million articles from 45 national and local U.S. newspapers between 1989 and 2010, we find that firms particularly covered by the media exhibit ceteris paribus significantly stronger momentum. The effect depends on article tone, reverses in the long-run, is more pronounced for stocks with high uncertainty, and stronger in states with high investor individualism. Our findings suggest that media coverage can exacerbate investor biases, leading return predictability to be strongest for firms in the spotlight of public attention. These results collectively lend credibility to an overreaction-based explanation for the momentum effect.

We study the impact of the 1918 influenza pandemic on short- and medium-term economic performance in Sweden. The pandemic was one of the severest and deadliest pandemics in human history, but it has hitherto received only scant attention in the economic literature – despite representing an unparalleled labour supply shock. In this paper, we exploit seemingly exogenous variation in incidence rates between Swedish regions to estimate the impact of the pandemic. The pandemic led to a significant increase in poorhouse rates. There is also evidence that capital returns were negatively affected by the pandemic. However, contrary to predictions, we find no discernible effect on earnings.

Jacobs, Heiko; Müller, Sebastian; Weber, Martin: How should individual investors diversify? An empirical evaluation of alternative asset allocation policies. In: Journal of Financial Markets, Jg.2014 (2014), Nr. 19, S. 62-85. doi:10.1016/j.finmar.2013.07.004KurzfassungDetailsVolltextBIB Download

Abstract

This paper evaluates numerous diversification strategies as a possible remedy against widespread costly investment mistakes of individual investors. Our results reveal that a very broad range of simple heuristic allocation schemes offers similar diversification gains as well-established or recently developed portfolio optimization approaches. This holds true for both international diversification in the stock market and diversification over different asset classes. We thus suggest easy-to-implement allocation guidelines for individual investors.

Given the scarce resources for public investment in developing countries, policy analysis should include a detailed perspective on the effects of infrastructure. This article develops a modelling framework for analysing the effects of improved road infrastructure on the economy of African countries. The theoretical framework is tested empirically and used for simulations in a Computable General Equilibrium (CGE) model, and the effects on production and welfare are analysed. The model also serves to investigate the effect of roads on the economic participation of rural households.

Recent studies examining the effect of family income on child health have been unable to account for the endogeneity of income. Using data from a British cohort study, we address this gap by exploiting exogenous variation in local labour market characteristics to instrument for family income. We estimate the causal effect of family income on different measures of child health and explore the role of potential transmission mechanisms. We find that income has a very small but significant causal effect on subjective child health and no significant effect on chronic health conditions, apart from respiratory illnesses. Using the panel structure, we show that the timing of income does not matter for young children. Moreover, our results provide further evidence that parental health does not drive a spurious relationship between family income and child health. Our study implies that financial transfers are unlikely to deliver substantial improvements in child health.

In 1999, in Germany, the statutory sick pay level was increased from 80 to 100 percent of foregone earnings for sickness episodes of up to six weeks. We show that this reform has led to an increase in average absence days of about 10 percent or one additional day per employee, per year. The estimates are based on SOEP survey data and parametric, nonparametric, and combined matching-regression difference-in-differences methods. Extended calculations suggest that the reform might have increased labor costs by about e 1.8 billion per year and might have led to the loss of around 50,000 jobs.

http://ideas.repec.org/p/rwi/repape/0254.html (Working Paper Version)

The establishment of an Association Agreement/Deep and Comprehensive Free Trade Agreement (AA/DCFTA) with the European Union (EU) would be the next significant step towards Ukraine’s deeper integration into the world economy. Despite widely expected additional welfare gains, the signing of the AA/DCFTA at the Third Eastern Partnership summit in November 2013 in Vilnius was suspended by the Ukrainian government due to geopolitical concerns and a severe economic and financial crisis in Ukraine coming along with high external debt and a substantial public budget deficit. This puts the fiscal consequences of Ukraine’s continued liberalization into focus, as transition and developing countries face higher fiscal costs associated with trade integration. Accordingly, this paper contributes to the literature by analyzing the part of the potential EU-Ukraine DCFTA which leads to a loss of tariff revenues, namely the tariff elimination. In particular, we apply a static Computable General Equilibrium (CGE) model for the single small open economy of Ukraine and focus on the effects of Ukraine’s unilateral tariff elimination by simulating three scenarios reflecting different means to compensate for the loss of tariff revenues. It turns out to be important to take these costs into consideration while modeling trade liberalization, as the results vary significantly across the scenarios.

http://ideas.repec.org/p/rwi/repape/0396.html (Working paper Version)

Traditionell basiert das Engpassmanagement in Deutschland auf bilateralen Verträgen. Jedoch setzt eine Vergütung basierend auf bilateralen Verträgen nur begrenzt Anreize. So haben die Kraftwerksbetreiber keine Anreize, ihre Grenzkosten offenzulegen. Zudem ist die Teilnahme am Redispatch nicht verpflichtend, wodurch ein mögliches hohes Potential nicht genutzt wird. Aus diesen Gründen ist es wichtig, das Engpassmanagement in Deutschland neu zu gestaltet. In diesem Artikel werden daher verschiedene Redispatch-Vergütungsmodelle, wie sie in der Literatur diskutiert werden (Inderst, Wambach (2007), Hakvoort et al. (2009)), miteinander verglichen und hinsichtlich ihrer Anreize für Produzenten, Übertragungsnetzbetreiber und Konsumenten bewertet. Des Weiteren wird ein nachträglich zonales Modell als eine kurzfristige, effiziente Engpassmanagementmethode entwickelt. Der Fokus dieser Analyse liegt auf Deutschland als eines der größten Strommärkte in Europa.

Paper available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2114177

In this paper we test the ‘red herring’ hypothesis for expenditures on long-term care (LTC). The main contribution of this paper is to assess the ‘red herring’ hypothesis by using the probability of dying as a measure for time-to-death (TTD). In addition, we implement models that allow for age-specific TTD effects on LTC utilization as well as sex-specific effects. We also focus on total, institutional and domiciliary LTC separately. For our analysis we use high quality administrative data from Sweden. Our analysis is based on fixed effects estimates. We use our findings to project future LTC expenditures and show that, although TTD is a relevant predictor, age itself remains the main driver of LTC expenditures.

Erstmals für den deutschen Markt sind mit dem neuen Branchenreport die Anbieterstrukturen im Food Online-Handel (Lebensmitteln inkl. Drogerieartikel) untersucht worden. Über 60 Online-Shops von Einzelhändlern, Filialisten, Herstellern und Pure Playern hat der Lehrstuhl für Marketing & Handel an der Universität Duisburg-Essen dafür detailliert unter die Lupe genommen. Analysiert wurde in dem aktuellen Marktüberblick u. a., mit welchen Logistik- und Bezahlkonzepten die einzelnen Shop-Betreiber arbeiten, wie sie Frische- und Tiefkühlprodukte vermarkten und welche Kooperationspartner sie einbinden. Die Ergebnisse sind jeweils in einem Shop-spezifischen Übersichtstableau zusammengefasst. Ob und welche Food Online-Shops sich in Zukunft behaupten, wie sich also die Spreu vom Weizen trennt, machen die Autoren Univ.-Prof. Dr. Hendrik Schröder und Sophie König zuallererst daran fest, wie groß der Grad der Professionalität eines E-Commerce-Konzeptes ist und welchen Mehrwert ein Shop seinen Kunden bietet.

Erwerben können Sie den Branchenreport hier.

Paper available at: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2114196

Economists concentrate usually on equilibria. For the case of the electricity market the long term equilibrium is given by the peak-load pricing model. In contrast control theory has focuses on system dynamics, that is how systems are affected by disturbances and shocks and how such situations may be controlled. Therefore rather deviations from system equilibria and ways to counteract those effects are analysed. Concerning uncertain impacts as input factor price changes and load pattern variations the dynamic perspective of control theory might provide a suitable tool for the analysis of electricity markets. Therefore in this paper the peak-load pricing model is translated to a control theoretic problem so that the impact of disturbances and the dynamics of investment activities can be examined.