Risk Everywhere Bollerslev, Tim; Hood, Benjamin; Huss, John ...
The Review of financial studies,
07/2018, Letnik:
31, Številka:
7
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Based on high-frequency data for more than fifty commodities, currencies, equity indices, and fixed-income instruments spanning more than two decades, we document strong similarities in realized ...volatility patterns within and across asset classes. Exploiting these similarities through panel-based estimation of new realized volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and conventional procedures that do not incorporate the similarities in volatilities. We develop a utility-based framework for evaluating risk models that shows significant economic gains from our new risk model. Lastly, we evaluate the effects of transaction costs and trading speed in implementing different risk models.
The Adjustment of Labor Markets to Robots Dauth, Wolfgang; Findeisen, Sebastian; Suedekum, Jens ...
Journal of the European Economic Association,
12/2021, Letnik:
19, Številka:
6
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Abstract
We use detailed administrative data to study the adjustment of local labor markets to industrial robots in Germany. Robot exposure, as predicted by a shift-share variable, is associated with ...displacement effects in manufacturing, but those are fully offset by new jobs in services. The incidence mostly falls on young workers just entering the labor force. Automation is related to more stable employment within firms for incumbents, and this is driven by workers taking over new tasks in their original plants. Several measures indicate that those new jobs are of higher quality than the previous ones. Young workers also adapt their educational choices, and substitute away from vocational training towards colleges and universities. Finally, industrial robots have benefited workers in occupations with complementary tasks, such as managers or technical scientists.
Home Bias and Local Contagion Sialm, Clemens; Sun, Zheng; Zheng, Lu
The Review of financial studies,
10/2020, Letnik:
33, Številka:
10
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Our paper analyzes the geographical preferences of hedge fund investors and the implication of these preferences for hedge fund performance. We find that funds of hedge funds overweigh their ...investments in hedge funds located in the same geographical areas and that funds with a stronger local bias exhibit superior performance. Local bias also gives rise to excess flow comovement and extreme return clustering within geographic areas. Overall, our results suggest that while funds of funds benefit from local advantages, their local bias also creates market segmentation that can destabilize the underlying hedge funds.
Does Austerity Pay Off? Born, Benjamin; Müller, Gernot J.; Pfeifer, Johannes
The review of economics and statistics,
05/2020, Letnik:
102, Številka:
2
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We investigate empirically how fiscal shocks—unanticipated and exogenous changes of government consumption growth—affect the sovereign default premium. For this purpose, we assemble a new data set ...for 38 emerging and developed economies. It contains approximately 3,000 observations for the sovereign default premium and three alternative measures of fiscal shocks. We condition our estimates on whether shocks are positive or negative and initial conditions in terms of fiscal stress. An increase of government consumption barely affects the default premium. A reduction raises the premium if fiscal stress is severe but decreases it if initial conditions are benign.
Abstract
This paper estimates the effects of economic downturns on the expansion of Pentecostal Evangelicalism in Brazil. Regions more exposed to economic distress experienced a persistent rise both ...in Pentecostal affiliation and in the vote share of candidates connected to Pentecostal churches in national legislative elections. Once elected, these politicians carry out an agenda with greater emphasis on issues that are sensitive to fundamental religious principles. We, therefore, find that recessions led to the rise of religious fundamentalism in tandem with the transfer of political capital to elected Pentecostal leaders.
We examine how the political connections of acquirers influence the process and outcomes of privatization in China. We find that politically connected acquirers receive preferential treatment and ...acquire higher quality firms during full privatization, and document evidence of post-privatization tunneling from target firms to acquirers. We show that the excessive tunneling by politically connected acquirers is associated with lower performance after privatization. Overall, our results suggest that individuals are likely to abuse their political connections to exploit the opportunities arising from privatization. We recommend that policymakers constrain the influence of political connections in the privatization process.
Summary
This work examines the relationship between national identity and conflict during international sporting tournaments and the impact of referees as an institutional countermeasure. The ...empirical analysis covers the FIFA World, Confederations and Under 20's World Cups and Olympic tournaments from 1994 to 2014, resulting in 1152 individual matches. We use the issuing of cards (red and yellow) and the number of sanctions (fouls) as a conflict proxy, plus macro‐level national identity markers to determine between team variations. Our results indicate that national identity is robustly significant in the prediction of conflict, whereas the match‐specific variables seem to be of less importance. Additionally, we observe that referees are a highly successful control of on‐field aggression.
•Bayesian Global VAR model to estimate supply and demand shock to US safe assets.•Positive supply shocks lead to an increase in economic activity.•Positive supply-sided shocks spill over to foreign ...countries.•Demand shocks lead to US dollar appreciation and lower US long-term yields.•US investors tend to shift their portfolios towards foreign fixed income securities.
This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynamics of two stylized shocks, namely a supply and demand shock to US-based safe assets. Our main findings can be summarized as follows. First, we find that (positive) supply-sided shocks lead to pronounced increases in economic activity which spills over to foreign countries. The impact of supply-sided shocks can also be seen for other quantities of interest, most notably equity prices and exchange rates in Europe. Second, a demand-sided shock leads to an appreciation of the US dollar and generally lower yields on US securities, forcing investors to shift their portfolios towards foreign fixed income securities. This yields sizable positive effects on US output, equity prices and a general decrease in financial market volatility.
This study aims to investigate the validity of the pollution haven hypothesis for the global panel consisting of 29 countries (Bahrain, Israel, Jordan, Saudi Arabia, Turkey, United Arab Emirates, ...Oman, Kazakhstan, Kyrgyz Republic, Tajikistan, Turkmenistan, Uzbekistan, China, Japan, Mongolia, Hong Kong, Korea rep, Bangladesh, India, Pakistan, Sri Lanka, Nepal, IR Iran, Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam are taken as the sample of this study) with energy consumption, economic growth and trade openness as additional determinants of environmental degradation over the period 1994–2014. To make the panel data analysis more homogenous, we also investigate the validity of the PHH for a number of sub‐panels. These sub‐panels are constructed based on the sub‐regions of Asia. In this way, we end up with six Asian panels; namely, Global panel, West Asia, Central Asia, East Asia, South Asia and Southeast Asian panels. Based on the IPS and ADF chi‐square unit root test and Pedroni cointegration test results, all variables were found to be first difference stationary and cointegrated. On applying FMOLS, the long‐run results suggest the presence of the pollution haven hypothesis only in East Asian panel. In turn, foreign direct investment reduces environmental degradation, thus rejecting the validity of the pollution haven hypothesis (PHH) in the Southeast Asian panel which is found to be negatively linked to CO2 emissions. Moreover, energy consumption seems to be the main determinant of carbon emissions and GDP growth has a positive impact on it in all panels except West Asia. Lastly, East Asian countries have followed the Kyoto protocol in order to reduce their emissions level.
Antitrust authorities must decide whether and how to consider the national identities of firms. Authorities may follow a neutral enforcement approach or focus on either foreign or domestic firms. We ...investigate these issues in the context of cartel enforcement against EU, US, and rest-of-the-world (ROW) firms by the European Union and the United States—the two jurisdictions with the longest and most robust enforcement histories. Our results suggest a mix of behaviors. The European Union is more likely to fine domestic and ROW firms than US firms, and the United States is no more likely to fine EU firms than domestic firms but disproportionately targets ROW firms. With respect to the size of fines, EU enforcement outcomes show no significant differences among categories of firms. The United States, however, levies significantly higher fines on foreign firms than domestic firms, whether from the European Union or the rest of the world.