infonet-economy

Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant factor for corporate CDS pricing models. We also find that this impact increases throughout...

We evaluate a wage subsidy program that is targeted at long-term unemployed
workers in Germany. We use an alternative identification procedure compared to
empirical studies conducted so far. Exploiting the particular program regulations and
large administrative data we estimate the impact of program availability using a regression discontinuity framework. Our...

This article deals with the civil liability issues that arise when self-driving vehicles are admitted to our streets. Firstly, it is explained why strict liability regimes for the vehicle holder, which are in place in several jurisdictions across Europe, are a workable foundation for ensuring compensation of the victim. However, accidents caused by highly automated vehicles will...

This paper introduces multivariate dynamic copula models to account for the time-varying dependence structure in asset portfolios. We firstly enhance the fexibility of this structure by modeling regimes with multivariate mixture copulas. In our second approach, we derive dynamic elliptical copulas by applying the dynamic conditional correlation model (DCC) to multivariate elliptical...

This paper investigates the average effects of (firm-provided) workplace health promotion measures in form of the analysis of sickness absenteeism and health circles/courses on labour market outcomes of the firms' employees. Exploiting linked employer-employee panel data that consist of rich survey-based and administrative information on firms, workers and regions, we apply a...

This paper proposes an empirical framework that is based on pre-trade transparency to test for information-based return co-movements among international commercial real estate markets. We introduce a benchmark portfolio that includes property markets with a higher pre-trade transparency to assess expected returns in less transparent markets. Investors can earn abnormal returns in...

In electricity markets globally, market participants and policymakers increasingly focus on integrating adjacent, yet separate market areas via cross-border trade in electricity. Based on a discussion of the institutional framework for organizing cross-border trade, this paper analyzes how spot and futures prices for wholesale electricity are affected by different degrees of market...

This paper analyzes the decision of firms to sell assets to fund investments (financing asset sales). For a sample of U.S. manufacturing firms during the 1971-2010 period, we document new stylized facts about financing asset sales that cannot be explained by traditional motives for selling assets, such as financial distress or financing constraints. Using a structural model of...

The allocation of authority affects the communication of information about clients within banks. We document that in small business lending internal control leads loan officers to propose inflated credit ratings for their clients. Inflated ratings are, however, anticipated and partly reversed by the credit officers responsible for approving credit assessments. More experienced loan...