330 Wirtschaft
Refine
Year of publication
- 2020 (264) (remove)
Document Type
- Part of Periodical (101)
- Working Paper (92)
- Article (42)
- Book (19)
- Contribution to a Periodical (5)
- Doctoral Thesis (3)
- Bachelor Thesis (1)
- Preprint (1)
Has Fulltext
- yes (264) (remove)
Is part of the Bibliography
- no (264)
Keywords
- Capital Markets Union (25)
- Financial Markets (25)
- ECB (23)
- Financial Institutions (13)
- Banking Regulation (12)
- coronavirus (11)
- Banking Union (10)
- Comments disabled (10)
- Coronavirus (10)
- ESMA (10)
Institute
- Wirtschaftswissenschaften (204)
- Sustainable Architecture for Finance in Europe (SAFE) (162)
- Center for Financial Studies (CFS) (81)
- House of Finance (HoF) (64)
- Rechtswissenschaft (18)
- Institut für Wirtschaft, Arbeit, und Kultur (IWAK) (16)
- Foundation of Law and Finance (12)
- Institute for Monetary and Financial Stability (IMFS) (11)
- E-Finance Lab e.V. (10)
- Präsidium (9)
We study whether and how time preferences change over the life cycle, exploiting representative long-term panel data. We estimate the age patterns of discount rates from age 25 to 80. In order to identify age effects, we have to disentangle them from cohort and period factors. We address this identification problem by estimating individual fixed effects models, where we substitute period effects with determinants of time preferences that depend on calendar years. We find that discount rates decrease with age and the decline is remarkably linear over the life cycle.
This paper provides an overview of how to use "big data" for economic research. We investigate the performance and ease of use of different Spark applications running on a distributed file system to enable the handling and analysis of data sets which were previously not usable due to their size. More specifically, we explain how to use Spark to (i) explore big data sets which exceed retail grade computers memory size and (ii) run typical econometric tasks including microeconometric, panel data and time series regression models which are prohibitively expensive to evaluate on stand-alone machines. By bridging the gap between the abstract concept of Spark and ready-to-use examples which can easily be altered to suite the researchers need, we provide economists and social scientists more generally with the theory and practice to handle the ever growing datasets available. The ease of reproducing the examples in this paper makes this guide a useful reference for researchers with a limited background in data handling and distributed computing.
We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that investors demand on average about seven percent return per year as a compensation for a late resolution of uncertainty. In a general equilibrium model, we show that `late' stocks can only have higher expected returns than `early' stocks if the investor exhibits a preference for early resolution of uncertainty. Our empirical analysis thus provides a purely market-based assessment of the timing preferences of the marginal investor.
We study the incidence and severity of lower-bound episodes and the efficacy of three types of state-dependent policies—forward guidance about the future path of interest rates, large-scale asset purchases and spending-based fiscal stimulus—in ameliorating the adverse consequences stemming from the effective lower bound on nominal interest rates. In particular, we focus on the euro area economy and examine, using the ECB’s New Area- Wide Model, the consequences of the lower bound both for the near-term economic outlook, characterised by persistently low nominal interest rates and inflation, and in a lasting low-real-interest-rate world. Our findings suggest that, if unaddressed, the lower bound can have very substantial costs in terms of worsened macroeconomic performance. Forward guidance, if fully credible, is most powerful and can largely undo the distortionary effects due to the lower bound. A combination of imperfectly credible forward guidance, asset purchases and fiscal stimulus is almost equally effective, in particular when asset purchases enhance the credibility of the forward guidance policy via a signalling effect.