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  • ddc:330  (33)
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  • 1
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    Nürnberg: Institut für Arbeitsmarkt- und Berufsforschung (IAB)
    Publication Date: 2018-12-06
    Description: Das Hartz-IV-Gesetz führte zu einer weit reichenden Reform der sozialen Sicherung in Deutschland. Neben den erwarteten Einkommensverlusten bei Arbeitslosenhilfeempfängern führt diese Reform aber auch zu weit weniger beachteten Ausweitungen von Transfers, denn neben ehemaligen Empfängern von Sozialhilfe erhalten auch zahlreiche Neufälle eine Unterstützung. Die vorliegende Studie bestimmt die Verteilungswirkungen der Reform mit Hilfe eines Mikrosimulationsmodells. Es handelt sich um eine ex ante Analyse, weil die Effekte mit mikroökonomischen Befragungsdaten ermittelt werden, die vor der Einführung der Reform erhoben wurden. Dabei wird berücksichtigt, dass die Hartz-IV-Reglungen zu einem geänderten Arbeitsangebotsverhalten führen, was wiederum Rückwirkungen auf die Einkommensverteilung haben kann. Die Arbeitsangebotseffekte werden mit einem mikroökonometrischen Arbeitsangebotsmodell geschätzt. Insgesamt zeigt die empirische Analyse der Verteilungseffekte der Arbeitslosengeld- II-Reform, dass gemessen an den summarischen Verteilungsund Armutsmaßen nur geringfügige Auswirkungen auf die Einkommensungleichheit und Einkommensarmut zu erwarten sind. Nennenswerte Effekte treten lediglich bei einer Betrachtung der von der Reform direkt betroffenen Haushalte auf. Zahlgewinnanalysen zeigen, dass die wesentlichen Verteilungswirkungen der Reform struktureller Natur sind. Bezogen auf die Gesamtbevölkerung sind die beiden unteren Einkommensdezile die klaren Reformgewinner. Bezogen auf die Gruppe der direkt betroffenen Transferempfänger sind sogar die acht unteren Einkommensdezile als Gewinner anzusehen. Eine Aufgliederung nach Kinderzahl macht deutlich, dass vor allem Haushalte mit zwei oder mehr Kindern von den Neuregelungen profitieren. Von der Reform negativ betroffen sind entsprechend die obersten beiden Einkommensdezile der Gruppe der von der Reform direkt Betroffenen bzw. das dritte und vierte Einkommensdezil der Einkommensverteilung der Gesamtbevölkerung. Nach ihren Charakteristika sind dies insbesondere Haushalte, die vor der Reform einen vergleichsweise hohen Anspruch auf Arbeitslosenhilfe hatten, sowie kinderlose Haushalte und Haushalte mit nur einem Kind.
    Keywords: ddc:330 ; Hartz-Reform - Auswirkungen ; Arbeitslosengeld II ; Verteilungseffekte ; Arbeitskräfteangebot ; Hartz-Reform ; Arbeitslosenversicherung ; Sozialhilfe ; Reform ; Wirtschaftspolitische Wirkungsanalyse ; Arbeitsangebot ; Mikrosimulation ; Deutschland
    Language: German
    Type: doc-type:workingPaper
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  • 2
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    Basel: MDPI
    Publication Date: 2019-04-26
    Description: Measuring interdependence between probabilities of default (PDs) in different industry sectors of an economy plays a crucial role in financial stress testing. Thereby, regression approaches may be employed to model the impact of stressed industry sectors as covariates on other response sectors. We identify vine copula based quantile regression as an eligible tool for conducting such stress tests as this method has good robustness properties, takes into account potential nonlinearities of conditional quantile functions and ensures that no quantile crossing effects occur. We illustrate its performance by a data set of sector specific PDs for the German economy. Empirical results are provided for a rough and a fine-grained industry sector classification scheme. Amongst others, we confirm that a stressed automobile industry has a severe impact on the German economy as a whole at different quantile levels whereas, e.g., for a stressed financial sector the impact is rather moderate. Moreover, the vine copula based quantile regression approach is benchmarked against both classical linear quantile regression and expectile regression in order to illustrate its methodological effectiveness in the scenarios evaluated.
    Keywords: ddc:330 ; stress testing ; quantile regression ; vine copulas ; expectile regression
    Language: English
    Type: doc-type:article
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  • 3
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    Rostock: Universität Rostock, Institut für Volkswirtschaftslehre
    Publication Date: 2019-01-22
    Description: Although credit rationing has been a stylized fact since the groundbreaking papers by Stiglitz and Weiss (1981, hereinafter S-W) and Besanko and Thakor (1987a, hereinafter B-T), Arnold and Riley (2009) note that credit rationing is unlikely in the S-W model, and Clemenz (1993) shows that it does not exist in the B-T model. In this chapter, I explain why credit rationing, more specifically rationing of loan applicants, does exist in a competitive market with imperfect information, and occurs only for low-risk loan applicants. In cases of indivisible investment technologies, low-risk applicants are rationed. In cases of divisible investment technologies, rationing of loan size is restricted to rationing of loan applicants. In the event that the difference in the marginal return between the investment technologies is sufficiently small relative to the difference in their riskiness, rationing of loan size alone yields high opportunity costs; in addition, low-risk loan applicants are rationed in this case.
    Keywords: G21 ; D82 ; ddc:330 ; Asymmetric Information ; Financial Intermediation ; Credit Rationing
    Language: English
    Type: doc-type:workingPaper
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  • 4
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    Bayreuth: Universität Bayreuth, Lehrstuhl Betriebswirtschaftslehre I: Finanzwirtschaft und Bankbetriebslehre
    Publication Date: 2019-01-22
    Description: Im Rahmen der bestehenden Portfoliotheorie wird zur Risikobewertung auf Normalverteilungsannahmen der Renditen oder Korrelationen aus historischen Daten zurückgegriffen. In den Finanzkrisen der Jahre 2008/09 stiegen jedoch die Korrelationen zwischen risikobehafteten Kapitalanlagen stark an. Zugleich wiesen deren Renditen Ausreißer im negativen Bereich auf, für die eine Normalverteilungsannahme keinen Erklärungsgehalt birgt. Deshalb wird in dieser Arbeit unter Anwendung des State Preference Ansatzes eine Möglichkeit zur impliziten Ermittlung der Wahrscheinlichkeitsannahmen und der Risikoeinstellung des Kapitalmarktes vorgestellt. Hierzu wird eine quadratische Payoff Matrix aus den Marktpreisen der Kapitalanlagen im Januar 2011 und deren Rückflüssen in einem spezifizierten zukünftigen Zeitpunkt erstellt. Die Rückflüsse werden über einen multivariaten Regressionsansatz für fest definierte makroökonomische Umweltzustände prognostiziert. Es zeigt sich, dass die Zustandpreisverteilung des Kapitalmarktes nach dem Prinzip arbitragefreier Märkte als Näherungslösung ermittelt werden kann und die Risikoeinstellung des Kapitalmarktes aufzeigt. Durch die Adjustierung der Rückflüsse mit dem risikolosen Zinssatz und dem kapitalanlagespezifischen Risikoaufschlag können die Zustandspreise beispielhaft als wahre Wahrscheinlichkeiten des Kapitalmarktes in das Modell des Minimum-Varianz-Portfolios übertragen und unter festgelegten Annahmen zur Darstellung und Optimierung von Portfolios verwendet werden.
    Description: In context of the existing Portfolio Theory the valuation of risk is based on the normal distribution of return or correlation based on historical data. During the Financial Crisis in 2008/09 the correlation between assets that carried risks increased. In addition the return of those assets were partly negative even though the assumption of Gaussian distribution offered no explanation. By identifying this problem, this working paper offers a possibility to use the implicit probabilities and the risk assessment of the capital markets by using the State Preference Theory. Therefore a squared Payoff Matrix is created by the market prices of chosen assets in January 2011 and their returns in point in time t1. The returns are forecasted using a multivariable regression which applies for exactly defined macro-economic conditions. It is shown, that the state prices of the capital markets can be determined as approximate value that shows the risk accommodation using the principle of arbitrage free markets. By discounting the returns with the risk free rate and the asset specific risk premium the state prices can be shown for example as true probabilities of the capital markets. These probabilities can be transferred into the minimum-variance portfolio which can be used to optimize Portfolios by using specific presumptions.
    Keywords: G11 ; G13 ; ddc:330
    Language: German
    Type: doc-type:workingPaper
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  • 5
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    Rostock: Universität Rostock, Institut für Volkswirtschaftslehre
    Publication Date: 2019-01-22
    Description: This paper examines the conditions for credit volume or borrower rationing in a competitive credit market in which the project characteristics are private information of the borrowers. There can only be credit volume rationing if the higher-risk credit applicants have a higher return in the event of a project success than the lower-risk credit applicants. Then the higher-risk borrowers are not rationed and obtain the social efficient credit volume. If the incentive compatibility constraint of the higher risk borrowers is binding, the lower-risk borrowers are credit volume rationed such that the constraint holds as an equation. If credit volume rationing is not sufficient to separate the borrower types, there is additionally a rationing of the low-risk borrowers. If the low-risk borrowers prefer a pooling to a separating contract, then there will not be a Cournot-Nash separating equilibrium, but a Wilson and a Grossmann pooling equilibrium.
    Keywords: D82 ; G21 ; ddc:330 ; Credit rationing ; Credit Size ; Loan ; Asymmetric Information ; Adverse Selection ; Non-linear optimization ; Kreditrationierung ; Kreditmarkt ; Asymmetrische Information ; Adverse Selektion ; Theorie
    Language: English
    Type: doc-type:workingPaper
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  • 6
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    Rostock: Universität Rostock, Institut für Volkswirtschaftslehre
    Publication Date: 2019-01-22
    Description: This chapter provides new evidence on borrowers' hidden information about their riskiness and its link to their impatience. To do so, I analyze consumer loans on the German platform Smava, which has a unique peer-to-peer lending process. Observationally identical but unobservably riskier borrowers offer investors a higher interest rate. This helps them to obtain their loan faster and with a higher probability. Very impatient borrowers who use Smava's instant loan service pay a higher interest rate and have a higher default risk than less impatient borrowers. These findings suggest that borrowers' impatience can be used to screen their riskiness.
    Keywords: G21 ; D82 ; ddc:330 ; Asymmetric Information ; Financial Intermediation ; Consumer loans ; Patience
    Language: English
    Type: doc-type:workingPaper
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  • 7
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    Luxembourg: Luxembourg Income Study (LIS)
    Publication Date: 2014-04-04
    Description: In this paper, the relationship between the degree of centralisation and the distributive outcomes in European schemes of social assistance is investigated. For this purpose, a scheme of classification suitable for grouping the EU15 schemes according to features related to centralisation is established by using cluster analysis and an indicator for centralisation is developed by employing multidimensional scaling. Subsequently, on the basis of LIS data the effectiveness and efficiency in reducing poverty through social assistance payments are calculated using several measures of poverty for five selected EU systems and the linkage of their distributive impacts to the degree of centralisation is examined. Concerning effectiveness in poverty alleviation, the results provide some evidence that extremely centralised systems are more effective with regard to redistribution than extremely decentralised schemes. However, for systems with a medium degree of centralisation, the hypothesis that greater decentralisation leads to more effectiveness is not supported. With respect to efficiency, no support is lent to the hypothesis that a higher degree of decentralisation is accompanied by a better distributive efficiency. Rather, the results seem to suggest that systems with a medium degree of decentralisation do better than either extremely centralised or extremely decentralised systems.
    Keywords: I32 ; I38 ; H53 ; ddc:330 ; Social Assistance ; Classification ; Centralisation ; Poverty ; Redistribution ; Sozialpolitik ; Einkommensumverteilung ; Zentralisierung ; Föderalismus ; Wirkungsanalyse ; Armut ; Einkommensverteilung ; Schätzung ; EU-Staaten
    Language: English
    Type: doc-type:workingPaper
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  • 8
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    Mannheim: Zentrum für Europäische Wirtschaftsforschung (ZEW)
    Publication Date: 2016-04-21
    Description: Am Beispiel der Wirtschaftswissenschaften wird untersucht, inwieweit Studierende die Qualität der Fachbereiche bei der Studienortwahl berücksichtigen. Im Rahmen eines Gravitationsansatzes zeigt sich, dass vor allem die Nähe zum Heimatort und die Lebenshaltungskosten am Ort der Hochschule die Studienortwahl bestimmen. Bezüglich der Qualität der Bildungsleistungen finden sich zwar keine signifikanten Effekte von Bewertungen im Rahmen von Umfragen bei Studierenden. Die positive Bewertung eines Fachbereiches durch Professoren aber geht mit höheren Studierendenzahlen einher ebenso wie die Höhe der eingeworbenen Drittmittel.
    Keywords: ddc:330 ; Wirtschaftswissenschaftliche Hochschule ; Studierende ; Bildungsverhalten ; Standort ; Lebenshaltungskosten ; Dienstleistungsqualität ; Hochschule ; Deutschland
    Language: German
    Type: doc-type:workingPaper
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  • 9
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    Mannheim: Zentrum für Europäische Wirtschaftsforschung (ZEW)
    Publication Date: 2016-04-21
    Description: We analyze the effectiveness of public works programs (PWP, Arbeitsbeschaffungsmaßnahmen) in east Germany as measured by their effects on individual future reemployment probabilities in regular jobs. These are estimated by discrete hazard rate models on the basis of individual?level panel data. We account for unobserved individual heterogeneity in both the PWP participation and in the outcome equations. In the latter, we differentiate between transitions into "stable" and "unstable" employment after the PWP. We find that these programs seem to have no special targeting focus on disadvantaged groups in the labor market and that participants are, on average, worse off concerning their re?employment prospects in regular jobs than unemployed people who do not join such a program. A possible explanation for this result is that PWP participants search less intensively for a regular job while on such a program than unemployed non-participants. Thus, our results cast serious doubts on both the effectiveness and the equity aspects of public works programs in east Germany.
    Keywords: J68 ; J64 ; ddc:330 ; public works programs ; evaluation studies ; employment effects ; sample selection ; east Germany ; Arbeitsbeschaffung ; Wirtschaftspolitische Wirkungsanalyse ; Schätzung ; Beschäftigungseffekt ; Neue Bundesländer
    Language: English
    Type: doc-type:workingPaper
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  • 10
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    Berlin: Deutsches Institut für Wirtschaftsforschung (DIW)
    Publication Date: 2016-08-16
    Description: Moving non-incremental innovations from the pilot scale to full commercial scale raises questions about the need and implementation of public support. Heuristics from the literature put policy makers in a dilemma between addressing a market failure and acknowledging a government failure: incentives for private investments in large scale demonstrations are weak (the valley of death) but the track record of governance in large demonstration projects is poor (the technology pork barrel). We reassess these arguments in the literature, particularly as to how they apply to sup- porting demonstration projects for decarbonizing industry. Conditions for the valley of death exist with: low appropriability, large chunky investments, unproven reliability, and uncertain future markets. We build a data set of 511 demonstration projects in nine technology areas and code characteristics for each project, including timing, motivations, and scale. We argue that the literature and the results from the case studies have five main implications for policy makers in making decisions about demonstration support. Policy makers should consider: 1) prioritizing learning, 2) iterative upscaling, 3) private sector engagement, 4) broad knowledge dissemination, and 5) making demand pull robust.
    Keywords: Q55 ; O31 ; O38 ; ddc:330 ; demonstrations ; technology push ; demand pull
    Language: English
    Type: doc-type:workingPaper
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