Refine
Year of publication
- 2021 (237) (remove)
Document Type
- Working Paper (113)
- Part of Periodical (71)
- Article (42)
- Book (5)
- Contribution to a Periodical (2)
- Review (2)
- Bachelor Thesis (1)
- Report (1)
Has Fulltext
- yes (237)
Is part of the Bibliography
- no (237)
Keywords
- COVID-19 (8)
- Covid-19 (6)
- ESG (6)
- monetary policy (6)
- Green Finance (4)
- Artificial intelligence (3)
- Machine learning (3)
- Sustainability (3)
- climate change (3)
- corporate governance (3)
- volatility (3)
- BRRD (2)
- Bank Capitalization (2)
- Bank Resolution (2)
- Bayesian inference (2)
- China (2)
- Climate Change (2)
- DSGE (2)
- Diseases (2)
- ETFs (2)
- Elasticity (2)
- Equity Crowdfunding (2)
- Expectations (2)
- Forbearance (2)
- Health care (2)
- Idiosyncratic Risk (2)
- Innovation (2)
- Medical research (2)
- Non-performing Loans (2)
- Pathogenesis (2)
- Portfolio optimization (2)
- Risk aggregation (2)
- Sustainable Finance (2)
- Taxonomy (2)
- ambiguity (2)
- asset pricing (2)
- bubbles (2)
- credit risk (2)
- globalization (2)
- green finance (2)
- household finance (2)
- inequality (2)
- intergenerational persistence (2)
- oil price (2)
- recovery (2)
- school closures (2)
- 401(k) plan (1)
- AI fairness (1)
- Activism (1)
- Activist Hedge Fund (1)
- Adoption (1)
- Agent-based modeling (1)
- Agile Methods (1)
- Aging (1)
- Algorithmic fairness (1)
- Algorithmic transparency (1)
- Altersversorgung (1)
- Antitrust (1)
- Applied immunology (1)
- Asset Concentration Risk (1)
- Asset Management Companies (1)
- Asymmetric response (1)
- Audit partner style (1)
- Augmented reality (1)
- BaFin (1)
- Bailout (1)
- Bank Bailout (1)
- Bank Recapitalization (1)
- Bank Supervision (1)
- Bankenunion (1)
- Banking (1)
- Banking Union (1)
- Bayesian estimation (1)
- Behavioral Agency Model (1)
- Belief up-dating (1)
- Beliefs (1)
- Bitcoin (1)
- Blockchain (1)
- Blue Chip (1)
- Board Appointments (1)
- Bond risk premia (1)
- Brand focus (1)
- Brexit (1)
- C corporations (1)
- CDS spreads (1)
- CO2 emissions intensity (1)
- COVID-19 pandemic (1)
- CSPP (1)
- Capital Purchase Program (1)
- Capital allocation (1)
- Centrality (1)
- Changes in labor markets (1)
- Choquet (1)
- Classification (1)
- Coin tossing (1)
- Collaboration network (1)
- Collaboration types (1)
- Commercial real estate (1)
- Complementary mobility services (1)
- Computational Methods (1)
- Concordance (1)
- Consumer Welfare (1)
- Content analysis (1)
- Contractarian Model of Corporate Law (1)
- Core-component reuse (1)
- Corona (1)
- Corporate Bonds (1)
- Corporate Finance (1)
- Corporate Social Responsibility (1)
- Corporate quantitative easing (1)
- Correlated risk (1)
- Correlated risks (1)
- Costs (1)
- Covid pandemic (1)
- Covid-19 Pandemic (1)
- Credibility of Inflation Targets (1)
- Credit Risk (1)
- Crime (1)
- Crisis Management (1)
- Crowdfunding (1)
- Cryptocurrency (1)
- Curse of dimensionality (1)
- Customer focus (1)
- Cyclical Income Risk (1)
- DCC-GARCH (1)
- DSGE model (1)
- DSGE models (1)
- Delaware Incorporation (1)
- Delphic forward guidance (1)
- Deposit Insurance (1)
- Derivatives (1)
- Dictionary (1)
- Digitalisierung (1)
- Digitalized Markets (1)
- Disclosure (1)
- Discordance (1)
- Discount Functions (1)
- Discrete choice experiment (1)
- Discrete time dynamic programming (1)
- Disinflation (1)
- Disposition Effect (1)
- Dividend Payments (1)
- Dual response (1)
- Dynamic Inconsistency (1)
- Dynamic portfolio choice (1)
- ECB (1)
- ESG Rating Agencies (1)
- EU Bonds (1)
- Earnings call (1)
- Ecology (1)
- Economic Governance (1)
- Effective Lower Bound (1)
- Electric vehicles (1)
- Emerging economies (1)
- Endocrinology (1)
- Entrepreneurial Exit Intentions (1)
- Entrepreneurial finance (1)
- Entry mode (1)
- Environmental (1)
- Environmental sciences (1)
- Environmental social sciences (1)
- Environmental stringency (1)
- Epstein-Weil-Zin Preferences (1)
- Equity Premium (1)
- European Monetary Fund (1)
- European Stability Mechanism (1)
- Exchange rate regime (1)
- Expectation Formation (1)
- Expected Utility Preferences (1)
- Experiences (1)
- Explainable machine learning (1)
- Fair AI (1)
- Federal Reserve (1)
- FinTechs (1)
- Financial Crises (1)
- Financial Crisis (1)
- Financial Frictions (1)
- Financial Harvest Exit Strategy (1)
- Financial Market Cycles (1)
- Financial Reporting (1)
- Financial Stability (1)
- Financial advice (1)
- Financial center (1)
- Financial literacy (1)
- Financial management (1)
- Finanzstabilität (1)
- Fintech (1)
- Fire Sales (1)
- Fiscal Capacity (1)
- Fiscal theory of the price level (1)
- Flash crash (1)
- Foreign direct investment (1)
- Formative experiences (1)
- Forward Guidance (1)
- Fund Flows (1)
- Future of work (1)
- Gatekeeper position (1)
- Gender Gap (1)
- Governance (1)
- Government debt (1)
- Gradient-based optimization (1)
- Granger Causality (1)
- Green Bonds (1)
- Green bonds (1)
- Greenium (1)
- Growth (1)
- Health occupations (1)
- Hierarchical B-splines (1)
- High Frequency Data (1)
- High-frequency event study (1)
- Homeownership (1)
- Hong test (1)
- Household Finance (1)
- Household Inflation Expectations (1)
- Human-enhancing technologies (1)
- Idiosyncratic Income Risk (1)
- Immunology (1)
- Imperfect competition (1)
- Index Funds (1)
- Infection (1)
- Infectious diseases (1)
- Information processing (1)
- Information systems (1)
- Innate immune cells (1)
- Innate immunity (1)
- Insurance (1)
- Intelligence augmentation (1)
- Interest Rates (1)
- Internalization of externalities (1)
- International Finance (1)
- International Monetary Fund (1)
- Investor Protection (1)
- Investor sentiment (1)
- Kapitalallokation (1)
- Kapitalmarktunion (1)
- Klimawandel (1)
- Knowledge (1)
- Kreditrisiko (1)
- LSTM neural networks (1)
- Labor cost adjustments (1)
- Lebensversicherung (1)
- Life Insurance (1)
- Life-Cycle Model (1)
- LifeCycle Model (1)
- Liquidity (1)
- Liquidity Risk (1)
- Liquidity provision (1)
- Liquiditätsrisiko (1)
- Lobbying (1)
- Local projection (1)
- Location-based games (1)
- Longitudinal data (1)
- Machine Learning (1)
- Macroeconomic risks (1)
- Mandatory Law (1)
- Market Efficiency (1)
- Market Manipulation (1)
- Market efficiency (1)
- Market engineering (1)
- Market fragility (1)
- Markov-switching DSGE (1)
- Markups (1)
- Maximum length of association (1)
- Merchandise trade (1)
- Microprudential Insurance Regulation (1)
- Mikroprudenzielle Versicherungsregulierung (1)
- Mobile games (1)
- Monetary Policy Surprises (1)
- Monetary-fiscal interaction (1)
- Mutuality principle (1)
- NLP (1)
- Nachhaltigkeit (1)
- Narrative disclosures (1)
- Network theory (1)
- New vehicles (1)
- Next Generation EU (1)
- Nonlinear solution methods (1)
- Norway (1)
- Notverkäufe (1)
- Numerical accuracy (1)
- Obfuscation (1)
- Occasionally Binding Constraints (1)
- Offenlegungspflichten (1)
- Oil market (1)
- Online Surveys (1)
- Optimal redistribution (1)
- Options (1)
- Overfunding (1)
- Overlapping Generations (1)
- PCAOB (1)
- Patents (1)
- Pecuniary Externalities (1)
- Perceptions (1)
- Phillips Curve (1)
- Pigouvian tax (1)
- Plaintiff Lawyers (1)
- Pollution haven hypothesis (1)
- Portfolio Rebalancing (1)
- Portfolio choice (1)
- Portfoliooptimierung (1)
- Precautionary Saving (1)
- Price Competition (1)
- Price Pressures (1)
- Prior (1)
- Private Equity (1)
- Product life cycle (1)
- Production of disclosures (1)
- Production-based asset pricing (1)
- Productivity growth (1)
- Produktivitätsunterschiede (1)
- Public Housing (1)
- Public financial news (1)
- Public procurement (1)
- Quantitative easing (1)
- Quid-pro-quo Mechanism (1)
- Rational Inattention (1)
- Real Effects (1)
- Regional Entrepreneurship (1)
- Regulation (1)
- Regulatory Capture (1)
- Regulierung (1)
- Resolution (1)
- Responsible investment (1)
- Retail Investor (1)
- Risikoaggregation (1)
- Risk factors (1)
- Risk taking (1)
- S corporations (1)
- S&P 500 (1)
- Sample-based longitudinal study (1)
- Scenario (1)
- Scrum (1)
- Secondary Loan Markets (1)
- Sectoral Asset Diversification (1)
- Securities Regulation (1)
- Slow-moving capital (1)
- Small businesses (1)
- Social Conditioning (1)
- Social and Governance (ESG) (1)
- Social media (1)
- Socially responsible investing (1)
- Solution methods (1)
- Sovereign Risk (1)
- Soziale Marktwirtschaft (1)
- Spatial econometrics (1)
- Spatially adaptive sparse grids (1)
- Stewardship Exit Strategy (1)
- Stock market (1)
- Structural policies (1)
- Such-Matching- Sortierung (1)
- Supervisory Relief Measures (1)
- Surveillance (1)
- Sustainable Investing (1)
- Sustainable Investments (1)
- Systematic Risk (1)
- Systemic Risk (1)
- Systemic risk (1)
- TARP (1)
- Tail correlation (1)
- Tax Cuts and Jobs Act (1)
- Taxation (1)
- Taxation of Capital (1)
- Temperature variability (1)
- Text analysis (1)
- Textual similarity (1)
- Theory of Planned Behavior (1)
- Trading (1)
- Transparency (1)
- Twitter (1)
- Unemployment volatility (1)
- University-industry linkages (1)
- Unknown probabilities (1)
- Unternehmensanleihen (1)
- Unternehmensfinanzierung (1)
- Vehicle registration tax (1)
- Vermögenskonzentrationsrisiko (1)
- Versicherungen (1)
- Virtual reality (1)
- Volatility (1)
- Wage inertia (1)
- Welfare (1)
- Wirecard (1)
- XAI (1)
- Zero Lower Bound (1)
- Zinsrisiko der Lebensversicherung (1)
- Zinssätze (1)
- absolute loss (1)
- age (1)
- ambiguity premium (1)
- anomalies (1)
- asset management (1)
- asset purchases (1)
- attack scenarios (1)
- attention (1)
- audit industry (1)
- audit partners (1)
- audit quality (1)
- auditor rotation (1)
- automatic enrollment (1)
- automotive sector (1)
- bank (1)
- bank lending (1)
- banknotes (1)
- banks (1)
- base stations (1)
- batteries (1)
- behavioral economics (1)
- belief effect (1)
- belief estimation (1)
- belief updating (1)
- benchmarks (1)
- biased beliefs (1)
- bid-ask spread (1)
- bilateral investment treaties (1)
- bond markets (1)
- call auctions (1)
- capital markets (1)
- career development (1)
- careers (1)
- cash (1)
- catastrophe risk transfer (1)
- central banks (1)
- childcare (1)
- cliff effect (1)
- climate risk (1)
- climate-economy models (1)
- collateral (1)
- comparison (1)
- compliance behavior (1)
- confirmatory biases (1)
- conjoint analysis (1)
- consumer behavior (1)
- consumer protection (1)
- consumption (1)
- container (1)
- core (1)
- corporate bond market (1)
- corporate credit risk (1)
- corporate debt (1)
- corporate taxation (1)
- counterfactual analysis (1)
- credence goods (1)
- crises (1)
- cross-border institutions (1)
- cross-regional mobility (1)
- de-identification (1)
- default effect (1)
- default premium (1)
- delay of gratification (1)
- demographischer Wandel (1)
- designated market makers (1)
- device-to-device communication (1)
- discrimination (1)
- distance (1)
- earnings management (1)
- education (1)
- effective lower bound (1)
- employees (1)
- employment (1)
- endogenous growth (1)
- endogenous information acquisition (1)
- endorsement effect (1)
- equilibrium interest rate (1)
- erm structure of interest rates (1)
- euro area (1)
- euro crisis (1)
- executive labor market (1)
- expectation (1)
- explainability (1)
- factor timing (1)
- financial advice (1)
- financial literacy (1)
- financial market (1)
- financial risk-taking (1)
- financial well-being (1)
- financing (1)
- fintech (1)
- forecasts (1)
- forward guidance (1)
- gasoline price (1)
- global real activity (1)
- government finance (1)
- health (1)
- heterogeneous agents (1)
- high-tech (1)
- honesty (1)
- household survey (1)
- household finance (1)
- idiosynkratisches Risiko (1)
- impulse response (1)
- income distribution (1)
- inflation (1)
- influencing factors (1)
- innovation (1)
- institutional investors (1)
- interest rate risk (1)
- internet (1)
- interpretability (1)
- interregionale Mobilitätsinkongruenz (1)
- investment biases (1)
- investor behavior (1)
- investor preferences (1)
- investor segmentation (1)
- joint inference (1)
- labels (1)
- labor market entry (1)
- laboratory experiment (1)
- laboratory experiments (1)
- lending (1)
- life cycle saving (1)
- life insurance (1)
- liquidity (1)
- liquidity premium (1)
- loan guarantees (1)
- local investors (1)
- longer run (1)
- loss function (1)
- lottery-type assets (1)
- machine learning (1)
- make-up strategies (1)
- mandatory disclosure (1)
- manufacturing (1)
- marginal propensity to consume (1)
- market discipline (1)
- market price (1)
- market-based (1)
- maternal labor supply (1)
- measure of ambiguity (1)
- media polarization (1)
- median (1)
- mismatch (1)
- mobile communication (1)
- moderator (1)
- motivated beliefs (1)
- multiple equilibria (1)
- nance premium (1)
- net zero transition (1)
- news (1)
- nominal rigidity (1)
- nominee account (1)
- numerical solution method (1)
- oil inventories (1)
- opportunity (1)
- option prices (1)
- output hysteresis (1)
- pandemic (1)
- pandemic insurance (1)
- pandemics (1)
- patents (1)
- pension (1)
- performance evaluation (1)
- persistence (1)
- portfolio allocation (1)
- posterior (1)
- privacy preference (1)
- privacy setting (1)
- private Vermögensbildung (1)
- private–public partnerships (1)
- productivity differentials (1)
- productivity growth (1)
- propagation of inequality (1)
- protected values (1)
- quarter of birth (1)
- racial inequality (1)
- rare disasters (1)
- reale Auswirkungen (1)
- receivers (1)
- recession (1)
- refugees (1)
- requirements analysis (1)
- resilience (1)
- retail investors (1)
- retirement (1)
- saving (1)
- search and matching (1)
- search-matching (1)
- sektorale Vermögensdiversifizierung (1)
- sentiment (1)
- shareholder activism (1)
- shipping (1)
- skewness (1)
- social distance (1)
- sorting (1)
- source dependence (1)
- sovereign credit rating (1)
- sovereign debt (1)
- sovereign rating (1)
- spillover effects (1)
- staatliche Sozialversicherung (1)
- stochastic volatility (1)
- stock market crisis (1)
- structural VAR (1)
- structural equation modeling (1)
- substitution (1)
- supervision (1)
- supply chain (1)
- survey (1)
- sustainability (1)
- sustainable finance (1)
- synchronization (1)
- systematisches Risiko (1)
- systemisches Risiko (1)
- tax cut (1)
- tax intervention (1)
- tax policy (1)
- taxonomies (1)
- technological growth (1)
- technology diffusion (1)
- time series momentum (1)
- time-varying risk premia (1)
- trading activity (1)
- trend chasing (1)
- trend-extrapolation (1)
- unemployment (1)
- user preferences (1)
- user study (1)
- valuation ratios (1)
- wealth distribution (1)
- wealth effects (1)
- wealth inequality (1)
- willingness to forward (1)
- wireless communication (1)
- wireless networks (1)
- workforce (1)
- working hours (1)
- yield curve (1)
- yields (1)
- “Macro-regions” (1)
- financial literacy (1)
Institute
- Wirtschaftswissenschaften (237) (remove)
WiWi news [1/2021]
(2021)
We consider an additively time-separable life-cycle model for the family of power period utility functions u such that u0(c) = c−θ for resistance to inter-temporal substitution of θ > 0. The utility maximization problem over life-time consumption is dynamically inconsistent for almost all specifications of effective discount factors. Pollak (1968) shows that the savings behavior of a sophisticated agent and her naive counterpart is always identical for a logarithmic utility function (i.e., for θ = 1). As an extension of Pollak’s result we show that the sophisticated agent saves a greater (smaller) fraction of her wealth in every period than her naive counterpart whenever θ > 1 (θ < 1) irrespective of the specification of discount factors. We further show that this finding extends to an environment with risky returns and dynamically inconsistent Epstein-Zin-Weil preferences.
Having a gatekeeper position in a collaborative network offers firms great potential to gain competitive advantages. However, it is not well understood what kind of collaborations are associated with such a position. Conceptually grounded in social network theory, this study draws on the resource-based view and the relational factors view to investigate which types of collaboration characterize firms that are in a gatekeeper position, which ultimately could improve firm performance in subsequent periods. The empirical analysis utilizes a unique longitudinal data set to examine dynamic network formation. We used a data crawling approach to reconstruct collaboration networks among the 500 largest companies in Germany over nine years and matched these networks with performance data. The results indicate that firms in gatekeeper positions often engage in medium-intensity collaborations and less likely weak-intensity collaborations. Strong-intensity collaborations are not related to the likelihood of being a gatekeeper. Our study further reveals that a firm's knowledge base is an important moderator and that this knowledge base can increase the benefits of having a gatekeeper position in terms of firm performance.
This in-depth analysis proposes ways to retract from supervisory COVID-19 support measures without perils for financial stability. It simulates the likely impact of the corona crisis on euro area banks’ capital and predicts a significant capital shortfall. We recommend to end accounting practices that conceal loan losses and sustain capital relief measures. Our in-depth analysis also proposes how to address the impending capital shortfall in resolution/liquidation and a supranational recapitalisation.
The current economic landscape is complex and globalized, and it imposes on individuals the responsibility for their own financial security. This situation has been intensified by the COVID-19 crisis, since short-time work and layoffs significantly limit the availability of financial resources for individuals. Due to the long duration of the lockdown, these challenges will have a long-term impact and affect the financial well-being of many citizens. Moreover, it can be assumed that the consequences of this crisis will once again particularly affect groups of people who have already frequently been identified as having low financial literacy. Financial literacy is therefore an important target for educational measures and interventions. However, it cannot be considered in isolation but must take into account the many potential factors that influence financial literacy alone or in combination. These include personality traits and socio-demographic factors as well as the (in)ability to defer gratification. Against this background, individualized support offers can be made. With this in mind, in the first step of this study, we analyze the complex interaction of personality traits, socio-demographic factors, the (in-)ability to delay gratification, and financial literacy. In the second step, we differentiate the identified effects regarding different groups to identify moderating effects, which, in turn, allow conclusions to be drawn about the need for individualized interventions. The results show that gender and educational background moderate the effects occurring between self-reported financial literacy, financial learning opportunities, delay of gratification, and financial literacy.
The health and genetic data of deceased people are a particularly important asset in the field of biomedical research. However, in practice, using them is compli- cated, as the legal framework that should regulate their use has not been fully developed yet. The General Data Protection Regulation (GDPR) is not applicable to such data and the Member States have not been able to agree on an alternative regulation. Recently, normative models have been proposed in an attempt to face this issue. The most well- known of these is posthumous medical data donation (PMDD). This proposal supports an opt-in donation system of health data for research purposes. In this article, we argue that PMDD is not a useful model for addressing the issue at hand, as it does not consider that some of these data (the genetic data) may be the personal data of the living relatives of the deceased. Furthermore, we find the reasons supporting an opt-in model less convincing than those that vouch for alternative systems. Indeed, we propose a normative framework that is based on the opt-out system for non-personal data combined with the application of the GDPR to the relatives’ personal data.
This in-depth analysis provides evidence on differences in the practice of supervising large banks in the UK and in the euro area. It identifies the diverging institutional architecture (partially supranationalised vs. national oversight) as a pivotal determinant for a higher effectiveness of supervisory decision making in the UK. The ECB is likely to take a more stringent stance in prudential supervision than UK authorities. The setting of risk weights and the design of macroprudential stress test scenarios document this hypothesis. This document was provided by the Economic Governance Support Unit at the request of the ECON Committee.
This document was requested by the European Parliament's Committee on Economic and Monetary Affairs. It was originally published on the European Parliament’s webpage: www.europarl.europa.eu/RegData/etudes/IDAN/2021/689443/IPOL_IDA(2021)689443_EN.pdf
The authors present evidence of a new propagation mechanism for wealth inequality, based on differential responses, by education, to greater inequality at the start of economic life. The paper is motivated by a novel positive cross-country relationship between wealth inequality and perceptions of opportunity and fairness, which holds only for the more educated. Using unique administrative micro data and a quasi-field experiment of exogenous allocation of households, the authors find that exposure to a greater top 10% wealth share at the start of economic life in the country leads only the more educated placed in locations with above-median wealth mobility to attain higher wealth levels and position in the cohort-specific wealth distribution later on. Underlying this effect is greater participation in risky financial and real assets and in self-employment, with no evidence for a labor income, unemployment risk, or human capital investment channel. This differential response is robust to controlling for initial exposure to fixed or other time-varying local features, including income inequality, and consistent with self-fulfilling responses of the more educated to perceived opportunities, without evidence of imitation or learning from those at the top.
Vulnerability comes, according to Orio Giarini, with two risks: human-made risks, also called entrepreneurial risks, and natural or pure risks such as accidents and earthquakes. Both types of risk are growing in dimension and are increasingly interrelated. To control the vulnerability, sophisticated insurance products are called for. Here, mutual insurance is relevant, in particular when risks are large, probabilities uncertain or unknown, and events interrelated or correlated. In this paper the following three examples are discussed and the advantages of mutual insurance are shown: unknown probabilities connected with unforeseeable events, correlated risks and macroeconomic or demographic risks.
We define a sentiment indicator that exploits two contrasting views of return predictability, and study its properties. The indicator, which is based on option prices, valuation ratios and interest rates, was unusually high during the late 1990s, reflecting dividend growth expectations that in our view were unreasonably optimistic. We interpret it as helping to reveal irrational beliefs about fundamentals. We show that our measure is a leading indicator of detrended volume, and of various other measures associated with financial fragility. We also make two methodological contributions. First, we derive a new valuation-ratio decomposition that is related to the Campbell and Shiller (1988) loglinearization, but which resembles the traditional Gordon growth model more closely and has certain other advantages for our purposes. Second, we introduce a volatility index that provides a lower bound on the market's expected log return.
Consider two independent random walks. By chance, there will be spells of association between them where the two processes move in the same direction, or in opposite direction. We compute the probabilities of the length of the longest spell of such random association for a given sample size, and discuss measures like mean and mode of the exact distributions. We observe that long spells (relative to small sample sizes) of random association occur frequently, which explains why nonsense correlation between short independent random walks is the rule rather than the exception. The exact figures are compared with approximations. Our finite sample analysis as well as the approximations rely on two older results popularized by Révész (Stat Pap 31:95–101, 1990, Statistical Papers). Moreover, we consider spells of association between correlated random walks. Approximate probabilities are compared with finite sample Monte Carlo results.
We assess the effect and the timing of the corporate arm of the ECB quantitative easing (CSPP) on corporate bond issuance. Because of several contemporaneous measures, to isolate the programme effects we rely on one key eligibility feature: the euro denomination of newly issued bonds. We find that the significant increase in bonds issuance by eligible firms is due to the CSPP and that this effect took at least six months to unfold. This result holds even when comparing firms with similar ratings, thus providing evidence that unconventional monetary policy can foster a financing diversification regardless of firms’ risk profile. We also highlight the impact of the programme on the real economic activity. The evidence suggests that while all firms increased investment in capital expenditures and intangible assets, the CSPP induced eligible firms to invest in marketable and equity securities, to repurchase their own stocks, to hold cash and to carry out short-term investment.
Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for causality— the DCC-MGARCH Hong test. We show that the critical values of the test statistic must be evaluated through simulations, thereby challenging the evidence in papers adopting the DCC-MGARCH Hong test. We also note that rolling Hong tests represent a more viable solution in the presence of short-lived causality periods.
The salience of ESG ratings for stock pricing: evidence from (potentially) confused investors
(2021)
We exploit the a modification to Sustainanlytics’ environmental, social, and governance (ESG) rating methodology, which is subsequently adopted by Morningstar, to study whether ESG ratings are salient for stock pricing. We show that the inversion of the rating scale but not new information leads some investors to make incorrect assessments about the meaning of the change in ESG ratings. They buy (sell) stocks they misconceive as ESG upgraded (downgraded) even when the opposite is true. This trading behavior exerts transitory price pressure on affected stocks. Our paper highlights the importance of ESG ratings for investors and consequently for asset prices.
Several recent studies have expressed concern that the Haar prior typically imposed in estimating sign-identi.ed VAR models may be unintentionally informative about the implied prior for the structural impulse responses. This question is indeed important, but we show that the tools that have been used in the literature to illustrate this potential problem are invalid. Speci.cally, we show that it does not make sense from a Bayesian point of view to characterize the impulse response prior based on the distribution of the impulse responses conditional on the maximum likelihood estimator of the reduced-form parameters, since the the prior does not, in general, depend on the data. We illustrate that this approach tends to produce highly misleading estimates of the impulse response priors. We formally derive the correct impulse response prior distribution and show that there is no evidence that typical sign-identi.ed VAR models estimated using conventional priors tend to imply unintentionally informative priors for the impulse response vector or that the corre- sponding posterior is dominated by the prior. Our evidence suggests that concerns about the Haar prior for the rotation matrix have been greatly overstated and that alternative estimation methods are not required in typical applications. Finally, we demonstrate that the alternative Bayesian approach to estimating sign-identi.ed VAR models proposed by Baumeister and Hamilton (2015) su¤ers from exactly the same conceptual shortcoming as the conventional approach. We illustrate that this alternative approach may imply highly economically implausible impulse response priors.
We analyze the extent to which individual audit partners influence the audited narrative disclosures in their clients’ financial reports. Using a sample of 3,281,423 private and public client firm-pairs, we find that the similarity among audited narrative disclosures is higher when two client firms share the same audit partner. Specifically, we find that the wording similarity of management reports (notes) increases by 30 (48) percent, the content similarity by 29 (49) percent, and the structure similarity by 48 (121) percent. Moreover, we find that audit partners in particular are relevant for their clients’ narrative disclosures because the increase in narrative disclosure similarity when sharing the same audit partner is nine (four) times greater than when sharing the same audit firm (audit office). We show that this influence of audit partners goes beyond adding boilerplate statements and, using novel field evidence, we shed light on the underlying mechanisms. Our findings are economically relevant because a stronger involvement of audit partners with their clients’ narratives is associated with a higher quality of narrative disclosures, which helps users better predict the future profitability of client firms.
We study the design features of disclosure regulations that seek to trigger the green transition of the global economy and ask whether such regulatory interventions are likely to bring about sufficient market discipline to achieve socially optimal climate targets.
We categorize the transparency obligations stipulated in green finance regulation as either compelling the standardized disclosure of raw data, or providing quality labels that signal desirable green characteristics of investment products based on a uniform methodology. Both categories of transparency requirements can be imposed at activity, issuer, and portfolio level.
Finance theory and empirical evidence suggest that investors may prefer “green” over “dirty” assets for both financial and non-financial reasons and may thus demand higher returns from environmentally-harmful investment opportunities. However, the market discipline that this negative cost of capital effect exerts on “dirty” issuers is potentially attenuated by countervailing investor interests and does not automatically lead to socially optimal outcomes.
Mandatory disclosure obligations and their (public) enforcement can play an important role in green finance strategies. They prevent an underproduction of the standardized high-quality information that investors need in order to allocate capital according to their preferences. However, the rationale behind regulatory intervention is not equally strong for all categories and all levels of “green” disclosure obligations. Corporate governance problems and other agency conflicts in intermediated investment chains do not represent a categorical impediment for green finance strategies.
However, the many forces that may prevent markets from achieving socially optimal equilibria render disclosure-centered green finance legislation a second best to more direct forms of regulatory intervention like global carbon taxation and emissions trading schemes. Inherently transnational market-based green finance concepts can play a supporting role in sustainable transition, which is particularly important as long as first-best solutions remain politically unavailable.
The quality of life: protecting non-personal interests and non-personal data in the age of big data
(2021)
Under the current legal paradigm, the rights to privacy and data protection provide natural persons with subjective rights to protect their private interests, such as related to human dignity, individual autonomy and personal freedom. In principle, when data processing is based on non-personal or aggregated data or when such data pro- cesses have an impact on societal, rather than individual interests, citizens cannot rely on these rights. Although this legal paradigm has worked well for decades, it is increasingly put under pressure because Big Data processes are typically based indis- criminate rather than targeted data collection, because the high volumes of data are processed on an aggregated rather than a personal level and because the policies and decisions based on the statistical correlations found through algorithmic analytics are mostly addressed at large groups or society as a whole rather than specific individuals. This means that large parts of the data-driven environment are currently left unregu- lated and that individuals are often unable to rely on their fundamental rights when addressing the more systemic effects of Big Data processes. This article will discuss how this tension might be relieved by turning to the notion ‘quality of life’, which has the potential of becoming the new standard for the European Court of Human Rights (ECtHR) when dealing with privacy related cases.
Using a structural life-cycle model, we quantify the heterogeneous impact of school closures during the Corona crisis on children affected at different ages and coming from households with different parental characteristics. In the model, public investment through schooling is combined with parental time and resource investments in the production of child human capital at different stages in the children’s development process. We quantitatively characterize the long-term consequences from a Covid-19 induced loss of schooling, and find average losses in the present discounted value of lifetime earnings of the affected children of close to 1%, as well as welfare losses equivalent to about 0.6% of permanent consumption. Due to self-productivity in the human capital production function, skill attainment at a younger stage of the life cycle raises skill attainment at later stages, and thus younger children are hurt more by the school closures than older children. We find that parental reactions reduce the negative impact of the school closures, but do not fully offset it. The negative impact of the crisis on children’s welfare is especially severe for those with parents with low educational attainment and low assets. The school closures themselves are primarily responsible for the negative impact of the Covid-19 shock on the long-run welfare of the children, with the pandemic-induced income shock to parents playing a secondary role.
Using loan-level data from Germany, we investigate how the introduction of model-based capital regulation affected banks’ ability to absorb shocks. The objective of this regulation was to enhance financial stability by making capital requirements responsive to asset risk. Our evidence suggests that banks ‘optimized’ model-based regulation to lower their capital requirements. Banks systematically underreported risk, with under reporting being more pronounced for banks with higher gains from it. Moreover, large banks benefitted from the regulation at the expense of smaller banks. Overall, our results suggest that sophisticated rules may have undesired effects if strategic misbehavior is difficult to detect.
Digital wealth and its necessary regulation have gained prominence in recent years. The European Commission has published several documents and policy proposals relating, directly or indirectly, to the data economy. A data economy can be defined as an ecosystem of different types of market players collaborating to ensure that data is accessible and usable in order to extract value from data through, for example, creating a variety of applications with great potential to improve daily life. The value of data can increase from EUR 257 billion (1.85 of EU Gross Domestic Product (GDP)) to EUR 643 billion by 2020 (3.17% of EU GDP), according to the EU Commission. The legal implications of the increasing value of the data economy are clear; hence the need to address the challenges presented by its legal regulation.
We conducted a large-scale household survey in November 2020 to study how altering the time frame of a message (temporal framing) regarding an imminent positive income shock affects consumption plans. The income shock derives from the abolishment of the German solidarity surcharge on personal income taxes, effective in January 2021. We randomize across survey participants whether their extra disposable income is presented in Euros per month, Euros per year, or Euros per ten year-period. Our main findings are as follows: In General, we find our respondents’ intended Marginal Propensity to Consume (MPC) is 28.2%. Across all three treatments, the MPC is a positive function of age and being female while it is a negative function of the income increase’s size, self- control, and being unemployed. Temporal framing effects are statistically and economically highly significant as we find the monthly treatment groups’ average MPC 5.6 and 8.7 percentage points higher compared to the yearly and 10-yearly treatment groups. We will be able to analyze the real consumption behavior of households throughout 2021 based on re-surveying the participants as well as by using transaction-based bank data.
The mobile games business is an ever-increasing sub-sector of the entertainment industry. Due to its high profitability but also high risk and competitive atmosphere, game publishers need to develop strategies that allow them to release new products at a high rate, but without compromising the already short lifespan of the firms' existing games. Successful game publishers must enlarge their user base by continually releasing new and entertaining games, while simultaneously motivating the current user base of existing games to remain active for more extended periods. Since the core-component reuse strategy has proven successful in other software products, this study investigates the advantages and drawbacks of this strategy in mobile games. Drawing on the widely accepted Product Life Cycle concept, the study investigates whether the introduction of a new mobile game built with core-components of an existing mobile game curtails the incumbent's product life cycle. Based on real and granular data on the gaming activity of a popular mobile game, the authors find that by promoting multi-homing (i.e., by smartly interlinking the incumbent and new product with each other so that users start consuming both games in parallel), the core-component reuse strategy can prolong the lifespan of the incumbent game.
Predictions of oil prices reaching $100 per barrel during the winter of 2021/22 have raised fears of persistently high inflation and rising inflation expectations for years to come. We show that these concerns have been overstated. A $100 oil scenario of the type discussed by many observers, would only briefly raise monthly headline inflation, before fading rather quickly. However, the short-run effects on headline inflation would be sizable. For example, on a yearover- year basis, headline PCE inflation would increase by 1.8 percentage points at the end of 2021 under this scenario, and by 0.4 percentage points at the end of 2022. In contrast, the impact on measures of core inflation such as trimmed mean PCE inflation is only 0.4 and 0.3 percentage points in 2021 and 2022, respectively. These estimates already account for any increases in inflation expectations under the scenario. The peak response of the 1-year household inflation expectation would be 1.2 percentage points, while that of the 5-year expectation would be 0.2 percentage points.
The recently observed disconnect between inflation and economic activity can be explained by the interplay between the zero lower bound (ZLB) and the costs of external financing. In normal times, credit spreads and the nominal interest rate balance out; factor costs dominate firms' marginal costs. When nominal rates are constrained, larger spreads can more than offset the effect of lower factor costs and induce only moderate inflation responses. The Phillips curve is hence flat at the ZLB, but features a positive slope in normal times and thus a hockey stick shape. Via this mechanism, forward guidance may induce deflationary effects.
Retail investors pay over twice as much attention to local companies than non-local ones, based on Google searches. News volume and volatility amplify this attention gap. Attention appears causally related to perceived proximity: first, acquisition by a nonlocal company is associated with less attention by locals, and more by nonlocals close to the acquirer; second, COVID-19 travel restrictions correlate with a drop in relative attention to nonlocal companies, especially in locations with fewer fights after the outbreak. Finally, local attention predicts volatility, bid-ask spreads and nonlocal attention, not viceversa. These findings are consistent with local investors having an information-processing advantage.
We present new statistical indicators of the structure and performance of US banks from 1990 to today, geographically disaggregated at the level of individual counties. The constructed data set (20 indicators for some 3150 counties over 31 years, for a total of about 2 million data points) conveys a detailed picture of how the geography of US banking has evolved in the last three decades. We consider the data as a stepping stone to understand the role banks and banking policies may have played in mitigating, or exacerbating, the rise of poverty and inequality in certain US regions.
The FOMC risk shift
(2021)
We identify a component of monetary policy news that is extracted from high-frequency changes in risky asset prices. These surprises, which we call “risk shifts”, are uncorrelated, and therefore complementary, to risk-free rate surprises. We show that (i) risk shifts capture the lion’s share of stock price movements around FOMC announcements; (ii) that they are accompanied by significant investor fund flows, suggesting that investors react heterogeneously to monetary policy news; and (iii) that price pressure amplifies the stock market response to monetary policy news. Our results imply that central bank information effects are overshadowed by short-term dynamics stemming from investor rebalancing activities and are likely to be more difficult to identify than previously thought.
Using a structural life-cycle model and data on school visits from Safegraph and school closures from Burbio, we quantify the heterogeneous impact of school closures during the Corona crisis on children affected at different ages and coming from households with different parental characteristics. Our data suggests that secondary schools were closed for in-person learning for longer periods than elementary schools (implying that younger children experienced less school closures than older children), and that private schools experienced shorter closures than public schools, and schools in poorer U.S. counties experienced shorter school closures. We then extend the structural life cycle model of private and public schooling investments studied in Fuchs-Schündeln, Krueger, Ludwig, and Popova (2021) to include the choice of parents whether to send their children to private schools, empirically discipline it with data on parental investments from the PSID, and then feed into the model the school closure measures from our empirical analysis to quantify the long-run consequences of the Covid-19 school closures on the cohorts of children currently in school. Future earnings- and welfare losses are largest for children that started public secondary schools at the onset of the Covid-19 crisis. Comparing children from the topto children from the bottom quartile of the income distribution, welfare losses are ca. 0.8 percentage points larger for the poorer children if school closures were unrelated to income. Accounting for the longer school closures in richer counties reduces this gap by about 1/3. A policy intervention that extends schools by 3 months (6 weeks in the next two summers) generates significant welfare gains for the children and raises future tax revenues approximately sufficient to pay for the cost of this schooling expansion.
High-frequency changes in interest rates around FOMC announcements are a standard method of measuring monetary policy shocks. However, some recent studies have documented puzzling effects of these shocks on private-sector forecasts of GDP, unemployment, or inflation that are opposite in sign to what standard macroeconomic models would predict. This evidence has been viewed as supportive of a „Fed information effect“ channel of monetary policy, whereby an FOMC tightening (easing) communicates that the economy is stronger (weaker) than the public had expected.
The authors show that these empirical results are also consistent with a „Fed response to news“ channel, in which incoming, publicly available economic news causes both the Fed to change monetary policy and the private sector to revise its forecasts. They provide substantial new evidence that distinguishes between these two channels and strongly favors the latter; for example, regressions that include the previously omitted public macroeconomic news, high-frequency stock market responses to Fed announcements, and a new survey that they conduct of individual Blue Chip forecasters all indicate that the Fed and private sector are simply responding to the same public news, and that there is little if any role for a „Fed information effect“.