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  • Other Sources  (117)
  • Munich: Center for Economic Studies and Ifo Institute (CESifo)  (117)
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  • Other Sources  (117)
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  • 1
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2017-08-09
    Description: Theory predicts that the equilibrium real interest rate, r*t, and the perceived trend in inflation, ð*t, are key determinants of the term structure of interest rates. However, term structure analyses generally assume that these endpoints are constant. Instead, we show that allowing for time variation in both r*t and ð*t is crucial for understanding the empirical dynamics of U.S. Treasury yields and risk pricing. Our evidence reveals that accounting for fluctuations in both r*t and ð*t substantially increases the accuracy of long-range interest rate forecasts, helps predict excess bond returns, improves estimates of the term premium in long-term interest rates, and captures a substantial share of interest rate variability at low frequencies.
    Keywords: E43 ; E44 ; E47 ; ddc:330 ; yield curve ; macro-finance ; inflation trend ; equilibrium real interest rate ; shifting endpoints ; bond risk premia
    Language: English
    Type: doc-type:workingPaper
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  • 2
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2015-11-27
    Description: A consensus has recently emerged that a number of variables in addition to the level, slope, and curvature of the term structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used to support this conclusion are subject to very large size distortions from a previously unrecognized problem arising from highly persistent regressors and correlation between the true predictors and lags of the dependent variable. We revisit the evidence using tests that are robust to this problem and conclude that the current consensus is wrong. Only the level and the slope of the yield curve are robust predictors of excess bond returns, and there is no robust and convincing evidence for unspanned macro risk.
    Keywords: E43 ; E44 ; E47 ; ddc:330 ; yield curve ; spanning ; bond returns ; small-sample bias ; robust inference
    Language: English
    Type: doc-type:workingPaper
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  • 3
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2015-05-22
    Description: Previous macro-finance term structure models (MTSMs) imply that macroeconomic state variables are spanned by (i.e., perfectly correlated with) model-implied bond yields. However, this theoretical implication appears inconsistent with regressions showing that much macroeconomic variation is unspanned and that the unspanned variation helps forecast excess bond returns and future macroeconomic fluctuations. We resolve this contradiction—or “spanning puzzle”—by reconciling spanned MTSMs with the regression evidence, thus salvaging the previous macro-finance literature. Furthermore, we statistically reject “unspanned” MTSMs, which are an alternative resolution of the spanning puzzle, and show that their knife-edge restrictions are economically unimportant for determining term premia.
    Keywords: E43 ; E44 ; E52 ; ddc:330 ; yield curve ; term structure models ; macro-finance ; unspanned macro risks ; monetary policy
    Language: English
    Type: doc-type:workingPaper
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  • 4
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2016-10-07
    Description: This paper provides a new test for whether different-currency assets are imperfect substitutes. The test exploits that under floating rates, changing public currency demand has no direct effect on monetary fundamentals, current or future. Price effects from imperfect substitutability are clearly present: the immediate price impact of public trades is 0.44 percent per 1 billion dollar (of which, about 80 percent persists indefinitely). This estimate is applicable to intervention trades in the special case when they are indistinguishable from private trades (i.e., when interventions are sterilized, anonymous, and provide no monetary-policy signal).
    Keywords: ddc:330
    Language: English
    Type: doc-type:workingPaper
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  • 5
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2016-05-23
    Description: We use the UK Labor Force survey to investigate whether the socio-economic outcomes of people born on the 13th day of the month, and of those born on Friday the 13th, differ from the outcomes of people born on more auspicious days. In many European countries, including the UK, such days are considered unlucky. We consider outcomes that are unlikely to be affected by behavioral adjustments yet which are of considerable importance to one's quality of life: employment, earnings and marriage. We find no evidence that people born on the 13th or those born on Friday the 13th suffer any penalty that can be attributable to the inauspicious circumstances of their birth.
    Keywords: J11 ; J21 ; J31 ; ddc:330 ; superstition ; employment ; labor market ; marriage
    Language: English
    Type: doc-type:workingPaper
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  • 6
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2018-02-23
    Description: This paper estimates the size and macroeconomic effects of base erosion and profit shifting (BEPS) using a computable general equilibrium model designed for corporate taxation and multinationals. Our central estimate of the impact of BEPS on corporate tax losses for the EU amounts to €36 billion annually or 7.7% of total corporate tax revenues. The USA and Japan also appear to loose tax revenues respectively of €101 and €24 billion per year or 10.7% of corporate tax revenues in both cases. These estimates are consistent with gaps in bilateral multinationals´ activities reported by creditor and debtor countries using official statistics for the EU. Our results suggest that by increasing the cost of capital, eliminating profit shifting would slightly reduce investment and GDP. It would however raise corporate tax revenues thanks to enhanced domestic production. This in turn could reduce other taxes and increase welfare.
    Keywords: C68 ; E62 ; H25 ; H26 ; H87 ; ddc:330 ; BEPS ; corporate taxation ; profit shifting ; tax avoidance ; CGE model
    Language: English
    Type: doc-type:workingPaper
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  • 7
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2018-04-12
    Description: We study a robo-advising portfolio optimizer that constructs tailored strategies based on in- vestors’ holdings and preferences. Adopters are similar to non-adopters in terms of demographics, but have more assets under management, trade more, and have higher risk-adjusted performance. The robo-advising tool has opposite effects across investors with different levels of diversification before adoption. It increases portfolio diversification and decreases volatility for those that held less than 5 stocks before adoption. These investors’ portfolios perform better after using the tool. At the same time, robo-advising barely affects diversification for investors that held more than 10 stocks before adoption. These investors trade more after adoption with no effect on average performance. For all investors, robo-advising reduces - but does not fully eliminate - pervasive behavioral biases such as the disposition effect, trend chasing, and the rank effect, and increases attention based on online account logins. Our results emphasize the promises and pitfalls of robo-advising tools, which are becoming ubiquitous all over the world.
    Keywords: D14 ; G11 ; O33 ; ddc:330 ; FinTech ; portfolio choice ; behavioral finance ; individual investors ; financial literacy ; technology adoption
    Language: English
    Type: doc-type:workingPaper
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  • 8
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2018-02-23
    Description: In this paper, we analyze the role of intuitive versus deliberative thinking in stag hunt games. To do so we, first, provide a conceptual framework predicting that, under the assumption that stag is the ruling social convention in real life interactions, players who make their choices fast and intuitively, relying on social heuristics, choose stag more often than other players. Second, we run a lab experiment and use a time pressure treatment to induce fast and intuitive thinking. We find that: (i) players under the time pressure treatment are more likely to choose stag than individuals in the control group; (ii) individual choices under the time pressure treatment are less sensitive to the size of the basin of attraction of stag; (iii) these results are largely driven by less experienced participants. Overall, our findings provide support to the Social Heuristics Hypothesis (Rand et al., 2012) applied to stag hunt interactions.
    Keywords: C91 ; D01 ; ddc:330 ; social heuristics hypothesis ; stag hunt ; intuition ; deliberation ; lab experiments
    Language: English
    Type: doc-type:workingPaper
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  • 9
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2018-02-23
    Description: The main aim of this paper is to assess whether there is a statistically significant environmental impact of cities within European countries. Second, starting from the estimated environmental impact of cities within European countries, the paper investigates whether cross-country variation can be explained by macro-economic factors and government policies which can play a role in mitigating such an impact. We start from individual evidence (EU-SILC data) to obtain a measure of the environmental impact of cities within countries, and then correlate the latter with macro variables to explain European heterogeneity. These estimates confirm that the environmental risk for households is particularly perceived in more densely populated urban agglomerations, although the marginal effects are quite heterogeneous between countries. Macroeconomic factors such as inequality, wealth, taxation and public spending on the environment, and macroeconomic constraints such as the public finance disequilibrium produce a strong heterogeneity between countries in determining the marginal effects of urban metropolises on household environmental risk.
    Keywords: Q51 ; Q53 ; R21 ; I31 ; C35 ; ddc:330 ; household environmental risk ; sustainable cities ; bivariate probit model ; cross-country heterogeneity
    Language: English
    Type: doc-type:workingPaper
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  • 10
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2018-02-23
    Description: Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less restrictive formulation that incorporates uncertainty about the identifying assumptions themselves. We use this approach to revisit the importance of shocks to oil supply and demand. Supply disruptions turn out to be a bigger factor in historical oil price movements and inventory accumulation a smaller factor than implied by earlier estimates. Supply shocks lead to a reduction in global economic activity after a significant lag, whereas shocks to oil demand do not.
    Keywords: Q43 ; C32 ; E32 ; ddc:330 ; oil prices ; vector autoregressions ; sign restrictions ; Bayesian inference ; measurement error
    Language: English
    Type: doc-type:workingPaper
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