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Transitions and Transformation

Abstract

This paper employs event study methods to evaluate the effects of ECB’s non-standard monetary policy program announcements on 10-year government bond yields of 11 euro area member states. Measurable effects of announcements arise with a one-day delay meaning that government bond markets take some time to react to ECB announcements. The country-specific extent of yield reduction seems inversely related to the solvency rating of the corresponding countries. The spread between core and periphery countries reduces because of a stronger decrease in the latter. This result is confirmed by letting the announcement variable interact with the current spread level.

Abstract

The diminishing importance of retail investors and the institutionalization of markets are arguably a result of the general perception that individuals are not well informed and, hence, are better off using professional services (Davis, ). However, this paper provides evidence supporting the opposite. Using a global sample, we examine whether retail trading is informative around the world. Overall, retail investors are documented to enhance price efficiency by trading in the same direction as permanent price changes, contributing 24.8 % to price discovery, and accelerating the information from both scheduled and unscheduled news to be impounded into prices.

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Abstract

The career mobility model suggests that overeducated workers are more prone to take up on-the-job training, to climb up the career ladder, or to leave to professions more suitable to their educational level. Our empirical analysis, using the German SOEP, confirms this theory for Germany. Comparing adequately qualified and overqualified workers in jobs that require the same level of formal qualification indicates that overeducated workers have a higher probability to take up on-the-job training and have a higher probability to move to jobs that better match their educational level. Furthermore, we find that overeducated workers experience higher wage growth than their adequately educated colleagues.

Abstract

This paper shows how to bootstrap hypothesis tests in the context of the Parks’s (1967) Feasible Generalized Least Squares estimator. It then demonstrates that the bootstrap outperforms FGLS(Parks)’s top competitor. The FGLS(Parks) estimator has been a workhorse for the analysis of panel data and seemingly unrelated regression equation systems because it allows the incorporation of cross-sectional correlation together with heteroskedasticity and serial correlation. Unfortunately, the associated, asymptotic standard error estimates are biased downward, often severely. To address this problem, Beck and Katz (1995) developed an approach that uses the Prais-Winsten estimator together with “panel corrected standard errors” (PCSE). While PCSE produces standard error estimates that are less biased than FGLS(Parks), it forces the user to sacrifice efficiency for accuracy in hypothesis testing. The PCSE approach has been, and continues to be, widely used. This paper develops an alternative: a nonparametric bootstrapping procedure to be used in conjunction with the FGLS(Parks) estimator. We demonstrate its effectiveness using an experimental approach that creates artificial panel datasets modelled after actual panel datasets. Our approach provides a superior alternative to existing estimation options by allowing researchers to retain the efficiency of the FGLS(Parks) estimator while producing more accurate hypothesis test results than the PCSE.