Publications des institutions partenaires
State Space Geometry of Asset Pricing: An Introduction
This note is aimed at familiarizing the reader with state space geometry, a useful tool in teaching asset pricing concepts. Building on the analogy between expectation and dot product, I visualize basic notions using Euclidean geometry in 2D and 3D. Numerical examples are given such that the reader could easily follow the explanations.
Institution partenaire
English / 01/01/2015
Testing Competing Factor Pricing Models
A GMM-based system for two different linear factor pricing models is used to test if the pricing errors are the same. Simulations demonstrate the small sample properties. As an illustration, the test is applied to the Fama-French (1996, 2015) models.
Institution partenaire
English / 01/01/2015
Media Freedom and Democracy in the Fight against Corruption
Institution partenaire
English / 01/01/2015
Asset Pricing of Financial Institutions: The Cross-Section of Expected Stock Returns in the Property/Liability Insurance Industry
Insurance companies are important financial institutions exposed to natural and man-made disasters. We conduct a comprehensive examination of existing asset pricing models in the US insurance universe (1988-2013) and propose an insurance-specific asset pricing model. We find that extant asset pricing models fail to explain the cross-section of insurance stock returns. Instead, we…
Institution partenaire
English / 01/01/2015
pvsR: An Open Source Interface to Big Data on the American Political Sphere
Digital data from the political sphere is abundant, omnipresent, and more and more directly accessible through the Internet. Project Vote Smart (PVS) is a prominent example of this big public data and covers various aspects of U.S. politics in astonishing detail. Despite the vast potential of PVS’ data for political science, economics, and sociology, it is hardly used in empirical…
Institution partenaire
English / 01/01/2015
Granting Birthright Citizenship - A Door Opener to Educational Particiation and Success?
Does birthright citizenship boost immigrant children's participation
and success in the host country's educational system? We address this
question using a reform of the German naturalization law in 1999 that
entitled children born after January 1, 2000 to birthright citizenship.
We use a difference-in-difference design that compares children born…
Institution partenaire
English / 11/12/2014
The euroization of bank deposits in Eastern Europe
In Central, Eastern and Southeastern Europe a substantial share of bank deposits
are denominated in foreign currency. Deposit euroization poses key challenges for
monetary policy and financial sector supervision. On the one hand, it limits the effectiveness of monetary policy interventions. On the other hand, it increases financial sector fragility by exposing banks to…
Institution partenaire
English / 03/12/2014
The Global Trade Disorder. The 16th GTA Report
Based on a massive data collection effort since the St. Petersburg G20 summit last September, in which a further 2,001 trade-related state initiatives have been documented, this report demonstrates that the resort to protectionism has been substantially higher than previously thought.
Institution partenaire
English / 01/11/2014
Can't Buy Mommy's Love? Universal Childcare and Children's Long-Term Cognitive Development
What happens to children's long-run cognitive development when introducing universal high-quality childcare for 3-year-olds mainly crowds out family care? To answer this question, we take advantage of a sizeable expansion of publicly subsidized full-time high-quality childcare for 3-year-olds in Spain in the early 1990s. Identification relies on variation in the initial speed of…
Institution partenaire
English / 29/10/2014
When Does Time Matter? Maternal Employment, Children's Time With Parents, and Child Development
This study tests the two assumptions underlying popularly held notions that
maternal employment negatively affects children because it reduces time spent with parents: (1) that maternal employment reduces children's time with parents, and (2) that time with parents affects child outcomes. We analyze children's time-diary data from the Child Development Supplement of…
Institution partenaire
English / 29/10/2014
Bank Funding, Securitization, and Loan Terms: Evidence from Foreign Currency Lending
We examine how bank funding structure and securitization activities affect the currency denomination of business loans. We analyze a unique data set that includes information on the requested and granted loan currency for 99,490 loans granted to 57,464 firms by a Bulgarian bank. Our findings document that foreign currency lending is at least partially driven by bank eagerness to…
Institution partenaire
English / 01/10/2014
After-School Care and Children's Cognitive and Non-Cognitive Skills
What is the impact of after-school center-based care on the development of primary school-aged children? Answering this question is challenging due to non-random selection of children into after-school center-based care. We tackle this challenge using detailed data of the German Child Panel and employing a value-added method. While we do not find significant effects on average, our…
Institution partenaire
English / 01/10/2014
Non-Interest Income and Bank Performance
The optimum scope of bank activities is central to many proposals for banking system reform. For example, a core component of the Dodd-Frank Act (2010) and regulatory proposals in the UK and the EU has been the concept of “ring-fencing” – i.e., restricting banks’ activities to their core retail and wholesale financial intermediation functions. It is argued that limiting the scope of…
Institution partenaire
English / 01/10/2014
Non-Core Banking, Performance, and Risk
One of the most dramatic trends in banking since 2000 has been the secular movement away from core banking and interest generating activities towards enhanced reliance on non-interest-generating activities that focus largely on fees and trading profits. This has changed the banking model from traditional asset formation, such as deposit taking and lending, towards a model built on…
Institution partenaire
English / 01/10/2014
Does Early Child Care Help or Hurt Children's Development?
More children than ever attend center-based care early in life. We study whether children who attend center-based care before age 3 have better or worse language and motor skills, socio-emotional maturity, and school readiness just before entering primary school. In data covering about 36,000 children in one West German state, we use a marginal treatment effects framework to show how…
Institution partenaire
English / 30/09/2014
A test of the conditional independence assumption in sample selection models
Identification in most sample selection models depends on the independence of the regressors and the error terms conditional on the selection probability. All quantile and mean functions are parallel in these models; this implies that quantile estimators cannot reveal any - per assumption non-existing - heterogeneity. Quantile estimators are nevertheless useful for testing the…
Institution partenaire
English / 10/09/2014
Do Newspaper Articles Predict Aggregate Stock Returns?
We analyze whether newspaper content can predict aggregate future stock returns. Our study is based on articles published in the Handelsblatt, a leading German Financial newspaper, from July 1989 to March 2011. We summarize newspaper content in a systematic way by constructing word-count indices for a large number of words. Wordcount indices are instantly available and therefore…
Institution partenaire
English / 01/09/2014
Hysteresis in Potential Ourtput and Monetary Policy
We show that actively stabilizing economic activity plays a more prominent role in the conduct of monetary policy when potential output is subject to hysteresis. We augment a basic New Keynesian model by hysteresis in potential output and contrast simulation outcomes of this extended model to the standard model. We find that considering hysteresis allows for a more realistic…
Institution partenaire
English / 01/09/2014
The macroeconomics of Model T
We study a model of growth and mass production. Firms undertake either product innovations that introduce new luxury goods for the rich; or process innovations that transform existing luxuries into mass products for the poor. A prototypical example for such a product cycle is the automobile. Initially, an exclusive product for the very rich, the automobile became affordable to the…
Institution partenaire
English / 01/09/2014
Volatile top income shares in Switzerland? Reassessing the evolution between 1981 and 2009
Institution partenaire
English / 31/08/2014
Seiten
Le portail de l'information économique suisse
© 2016 Infonet Economy