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Dissertations / Theses on the topic 'JEL: C22, C52'

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Published: 4 June 2021

Last updated: 1 February 2022

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1

Zeileis, Achim, Friedrich Leisch, Christian Kleiber, and Kurt Hornik. "Monitoring structural change in dynamic econometric models." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/1296/1/document.pdf.

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The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation - given a history period for which a regression relationship is known to be stable, we test whether incoming data are consistent with the previously established relationship. Procedures based on estimates of the regression coefficients are extended in three directions: we introduce (a) procedures based on OLS residuals, (b) rescaled statistics and (c) alternative asymptotic boundaries

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2

Miazhynskaia, Tatiana, Engelbert J. Dockner, and Georg Dorffner. "On the economic costs of value at risk forecasts." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 2003. http://epub.wu.ac.at/190/1/document.pdf.

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We specify a class of non-linear and non-Gaussian models for which we estimate and forecast the conditional distributions with daily frequency. We use these forecasts to calculate VaR measures for three different equity markets (US, GB and Japan). These forecasts are evaluated on the basis of different statistical performance measures as well as on the basis of their economic costs that go along with the forecasted capital requirements. The results indicate that different performance measures generate different rankings of the models even within one financial market. We also find that for the

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3

Piribauer, Philipp, and Manfred M. Fischer. "Model uncertainty in matrix exponential spatial growth regression models." Wiley-Blackwell, 2015. http://dx.doi.org/10.1111/gean.12057.

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This paper considers the most important aspects of model uncertainty for spatial regression models, namely the appropriate spatial weight matrix to be employed and the appropriate explanatory vari- ables. We focus on the spatial Durbin model (SDM) specification in this study that nests most models used in the regional growth literature, and develop a simple Bayesian model averaging approach that provides a unified and formal treatment of these aspects of model uncertainty for SDM growth models. The approach expands on the work by LeSage and Fischer (2008) by reducing the computational cos

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4

Honda, Jun. "Games with the Total Bandwagon Property." WU Vienna University of Economics and Business, 2015. http://epub.wu.ac.at/4582/1/wp197.pdf.

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We consider the class of two-player symmetric n x n games with the total bandwagon property (TBP) introduced by Kandori and Rob (1998). We show that a game has TBP if and only if the game has 2^n - 1 symmetric Nash equilibria. We extend this result to bimatrix games by introducing the generalized TBP. This sheds light on the (wrong) conjecture of Quint and Shubik (1997) that any n x n bimatrix game has at most 2^n - 1 Nash equilibria. As for an equilibrium selection criterion, I show the existence of a ½-dominant equilibrium for two subclasses of games with TBP: (i) supermodular games; (ii) po

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Huber, Florian, Gregor Kastner, and Martin Feldkircher. "Should I stay or should I go? Bayesian inference in the threshold time varying parameter (TTVP) model." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/5178/1/wp235.pdf.

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We provide a flexible means of estimating time-varying parameter models in a Bayesian framework. By specifying the state innovations to be characterized trough a threshold process that is driven by the absolute size of parameter changes, our model detects at each point in time whether a given regression coefficient is constant or time-varying. Moreover, our framework accounts for model uncertainty in a data-based fashion through Bayesian shrinkage priors on the initial values of the states. In a simulation, we show that our model reliably identifies regime shifts in cases where the data genera

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Wanzenböck, Iris, Thomas Scherngell, and Manfred M. Fischer. "How do firm characteristics affect behavioural additionalities of public R&D subsidies? Evidence for the Austrian transport sector." Elsevier, 2013. http://epub.wu.ac.at/5498/1/empirical.pdf.

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Interest of STI policies to influence the innovation behaviour of firms has been increased considerably. This gives rise to the notion of behavioural additionality, broadening traditional evaluation concepts of input and output additionality. Though there is empirical work measuring behavioural additionalities, we know little about what role distinct firm characteristics play for their occurrence. The objective is to estimate how distinct firm characteristics influence the realisation of behavioural additionalities. We use survey data on 155 firms, considering the behavioural additional

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Kastner, Gregor. "Sparse Bayesian Time-Varying Covariance Estimation in Many Dimensions." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/5172/1/resreport129.pdf.

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Dynamic covariance estimation for multivariate time series suffers from the curse of dimensionality. This renders parsimonious estimation methods essential for conducting reliable statistical inference. In this paper, the issue is addressed by modeling the underlying co-volatility dynamics of a time series vector through a lower dimensional collection of latent time-varying stochastic factors. Furthermore, we apply a Normal-Gamma prior to the elements of the factor loadings matrix. This hierarchical shrinkage prior effectively pulls the factor loadings of unimportant factors towards zero, ther

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8

Pfarrhofer, Michael, and Philipp Piribauer. "Flexible shrinkage in high-dimensional Bayesian spatial autoregressive models." Elsevier, 2019. http://epub.wu.ac.at/6839/1/1805.10822.pdf.

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Several recent empirical studies, particularly in the regional economic growth literature, emphasize the importance of explicitly accounting for uncertainty surrounding model specification. Standard approaches to deal with the problem of model uncertainty involve the use of Bayesian model-averaging techniques. However, Bayesian model-averaging for spatial autoregressive models suffers from severe drawbacks both in terms of computational time and possible extensions to more flexible econometric frameworks. To alleviate these problems, this paper presents two global-local shrinkage priors in the

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9

Reutterer, Thomas, Kurt Hornik, Nicolas March, and Kathrin Gruber. "A data mining framework for targeted category promotions." Springer, 2016. http://dx.doi.org/10.1007/s11573-016-0823-7.

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This research presents a new approach to derive recommendations for segment-specific, targeted marketing campaigns on the product category level. The proposed methodological framework serves as a decision support tool for customer relationship managers or direct marketers to select attractive product categories for their target marketing efforts, such as segment-specific rewards in loyalty programs, cross-merchandising activities, targeted direct mailings, customized supplements in catalogues, or customized promotions. The proposed methodology requires cus- tomers' multi-category purcha

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Crespo, Cuaresma Jesus, and Philipp Piribauer. "Bayesian Variable Selection in Spatial Autoregressive Models." WU Vienna University of Economics and Business, 2015. http://epub.wu.ac.at/4584/1/wp199.pdf.

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This paper compares the performance of Bayesian variable selection approaches for spatial autoregressive models. We present two alternative approaches which can be implemented using Gibbs sampling methods in a straightforward way and allow us to deal with the problem of model uncertainty in spatial autoregressive models in a flexible and computationally efficient way. In a simulation study we show that the variable selection approaches tend to outperform existing Bayesian model averaging techniques both in terms of in-sample predictive performance and computational efficiency. (authors' abstr

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11

Safarzynska, Karolina, and den Bergh Jeroen van. "Beyond Replicator Dynamics: Innovation-Selection Dynamics and Optimal Diversity." Elsevier Science, 2011. http://dx.doi.org/10.1016/j.jebo.2011.01.008.

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We propose a new evolutionary approach to model technological change based on an extension of replicator dynamics with recombination and mutation. It gives rise to interactive innovation-selection dynamics. The model allows studying the combined effects of selection and variety generation on evolutionary-economic change. The developed framework describes a population of boundedly rational entrepreneurs who decide each period on the allocation of investments in different production technologies. They tend to invest in belowaverage cost technologies, just as under replicator dynamics. In a

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12

Martin, Florian, Vera Hemmelmayr, and Tina Wakolbinger. "Integrated service selection, pricing and fullfillment planning for express parcel carriers - Enriching service network design with customer choice and endogenous delivery time restrictions." WU Vienna University of Economics and Business, 2019. http://epub.wu.ac.at/6986/1/SSPFP.pdf.

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Express parcel carriers offer a wide range of guaranteed delivery times in order to separate customers who value quick delivery from those that are less time but more price sensitive. Such segmentation, however, adds a whole new layer of complexity to the task of optimizing the logistics operations. While many sophisticated models have been developed to assist network planners in minimizing costs, few approaches account for the interplay between service pricing, customer decisions and the associated restrictions in the distribution process. This paper attempts to fill this research gap b

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Bevilacqua, Franco, and Adriaan vanZon. "Random walks and non-linear paths in macroeconomic time series. Some evidence and implications." Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 2002. http://epub.wu.ac.at/1098/1/document.pdf.

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This paper investigates whether the inherent non-stationarity of macroeconomic time series is entirely due to a random walk or also to non-linear components. Applying the numerical tools of the analysis of dynamical systems to long time series for the US, we reject the hypothesis that these series are generated solely by a linear stochastic process. Contrary to the Real Business Cycle theory that attributes the irregular behavior of the system to exogenous random factors, we maintain that the fluctuations in the time series we examined cannot be explained only by means of external shocks plugg

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Breuss, Fritz. "Would DSGE Models have Predicted the Great Recession in Austria?" Springer International Publishing, 2018. http://epub.wu.ac.at/6086/1/10.1007_s41549%2D018%2D0025%2D1.pdf.

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Dynamic stochastic general equilibrium (DSGE) models are the common workhorse of modern macroeconomic theory. Whereas story-telling and policy analysis were in the forefront of applications since its inception, the forecasting perspective of DSGE models is only recently topical. In this study, we perform a post-mortem analysis of the predictive power of DSGE models in the case of Austria's Great Recession in 2009. For this purpose, eight DSGE models with different characteristics (small and large models; closed and open economy models; one and two-country models) were used. The initial hyp

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15

Huber, Florian, and Thomas Zörner. "Threshold cointegration and adaptive shrinkage." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5577/1/wp250.pdf.

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This paper considers Bayesian estimation of the threshold vector error correction (TVECM) model in moderate to large dimensions. Using the lagged cointegrating error as a threshold variable gives rise to additional difficulties that are typically solved by relying on large sample approximations. Relying on Markov chain Monte Carlo methods we circumvent these issues by avoiding computationally prohibitive estimation strategies like the grid search. Due to the proliferation of parameters we use novel global-local shrinkage priors in the spirit of Griffin and Brown (2010). We illustrate the merit

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Ragacs, Christian, Thomas Steinberger, and Martin Zagler. "Growth theories and the persistence of output fluctuations. The case of Austria." Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 1998. http://epub.wu.ac.at/212/1/document.pdf.

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The paper analyses the degree of output persistence in GDP in order to empirically discriminate between the Solow growth model, the perfect competition endogenous growth model, the imperfect competition endogenous growth model, and the subcase of a multiple equilibria model of endogenous growth for the case of Austria. We find that a temporary shock in the growth rate of output induces a permanent and larger effect on the level of GDP. This leads us to refute the Solow growth model and the perfect competition model. We find strong empirical support for the imperfect competition growth model, b

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Currie, Martin, and Ingrid Kubin. "Fixed price dynamics versus flexible price dynamics." Inst. für Volkswirtschaftstheorie und -politik, WU Vienna University of Economics and Business, 2005. http://epub.wu.ac.at/114/1/document.pdf.

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This paper contrasts the dynamical behaviors of fixed and flexible price regimes for a monopolistically competitive manufacturing sector in which firms base decisions on expectations about product demands. (author's abstract)<br>Series: Department of Economics Working Paper Series

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18

Capek, Jan, and Cuaresma Jesus Crespo. "We just estimated twenty million fiscal multipliers." WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6451/1/WP268.pdf.

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We analyse the role played by data and specification choices as determinants of the size of the fiscal multipliers obtained using structural vector autoregressive models. The results, based on over twenty million fiscal multiplier estimated for European countries, indicate that many seemingly harmless modelling choices have a significant effect on the size and precision of fiscal multiplier estimates. In addition to the structural shock identification strategy, these modelling choices include the definition of spending and taxes, the national accounts system employed, the use of particular int

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Fischer, Manfred M., and Philipp Piribauer. "Model uncertainty in matrix exponential spatial growth regression models." WU Vienna University of Economics and Business, 2013. http://epub.wu.ac.at/4013/1/wp158.pdf.

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This paper considers the problem of model uncertainty associated with variable selection and specification of the spatial weight matrix in spatial growth regression models in general and growth regression models based on the matrix exponential spatial specification in particular. A natural solution, supported by formal probabilistic reasoning, is the use of Bayesian model averaging which assigns probabilities on the model space and deals with model uncertainty by mixing over models, using the posterior model probabilities as weights. This paper proposes to adopt Bayesian information criterion

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20

Huber, Florian, Tamás Krisztin, and Philipp Piribauer. "Forecasting Global Equity Indices Using Large Bayesian VARs." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4318/1/wp184.pdf.

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This paper proposes a large Bayesian Vector Autoregressive (BVAR) model with common stochastic volatility to forecast global equity indices. Using a dataset consisting of monthly data on global stock indices the BVAR model inherently incorporates co-movements in the stock markets. The time-varying specification of the covariance structure moreover accounts for sudden shifts in the level of volatility. In an out-of-sample forecasting application we show that the BVAR model with stochastic volatility significantly outperforms the random walk both in terms of root mean squared errors as well as B

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21

Badinger, Harald, Monika Mühlböck, Elisabeth Nindl, and Wolf Heinrich Reuter. "Theoretical vs. Empirical Power Indices: Do Preferences Matter?" Elsevier, 2014. http://epub.wu.ac.at/4436/1/Manuscript_EJoPE.pdf.

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This paper investigates whether preference-based (empirical) power indices differ significantly from their preference-free (theoretical) counterparts. Drawing on the to date most comprehensive sample of EU Council votes (1993- 2011), we use item-response models to estimate the EU27 member states' preferences (ideal points) in a one-dimensional policy space. Their posterior distributions are then used for the calculation of empirical versions of the Banzhaf and the Shapley-Shubik index, invoking the concepts of connected coalitions and bloc voting. Our ideal point estimates indicate sign

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Badinger, Harald, Monika Mühlböck, Elisabeth Nindl, and Wolf Heinrich Reuter. "Theoretical vs. Empirical Power Indices: Do Preferences Matter?" WU Vienna University of Economics and Business, 2013. http://epub.wu.ac.at/3909/1/wp153.pdf.

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This paper considers empirically whether preference-based (empirical) power indices differ significantly from their preference-free (theoretical) counterparts. Drawing on the to date most comprehensive sample of EU Council votes (1993-2011), we use item-response models to estimate the EU27 member states' preferences (ideal points) in a one-dimensional policy space. Their posterior distributions are then used for the calculation of empirical versions of the Banzhaf, the Shapley-Shubik, and other power indices, invoking the concepts of connected coalitions and bloc voting. Our ideal point

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23

Ricci, Lorenzo. "Essays on tail risk in macroeconomics and finance: measurement and forecasting." Doctoral thesis, Universite Libre de Bruxelles, 2017. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/242122.

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This thesis is composed of three chapters that propose some novel approaches on tail risk for financial market and forecasting in finance and macroeconomics. The first part of this dissertation focuses on financial market correlations and introduces a simple measure of tail correlation, TailCoR, while the second contribution addresses the issue of identification of non- normal structural shocks in Vector Autoregression which is common on finance. The third part belongs to the vast literature on predictions of economic growth; the problem is tackled using a Bayesian Dynamic Factor model to pred

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Hauser, Michael A. "Maximum Likelihood Estimators for ARMA and ARFIMA Models. A Monte Carlo Study." Department of Statistics and Mathematics, Abt. f. Angewandte Statistik u. Datenverarbeitung, WU Vienna University of Economics and Business, 1998. http://epub.wu.ac.at/794/1/document.pdf.

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We analyze by simulation the properties of two time domain and two frequency domain estimators for low order autoregressive fractionally integrated moving average Gaussian models, ARFIMA (p,d,q). The estimators considered are the exact maximum likelihood for demeaned data, EML, the associated modified profile likelihood, MPL, and the Whittle estimator with, WLT, and without tapered data, WL. Length of the series is 100. The estimators are compared in terms of pile-up effect, mean square error, bias, and empirical confidence level. The tapered version of the Whittle likelihood turns out to be a

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Hautsch, Nikolaus, and Stefan Voigt. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty." Elsevier, 2019. http://epub.wu.ac.at/6447/1/1709.06296.pdf.

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We theoretically and empirically study portfolio optimization under transaction costs and establish a link between turnover penalization and covariance shrinkage with the penalization governed by transaction costs. We show how the ex ante incorporation of transaction costs shifts optimal portfolios towards regularized versions of efficient allocations. The regulatory effect of transaction costs is studied in an econometric setting incorporating parameter uncertainty and optimally combining predictive distributions resulting from high-frequency and low-frequency data. In an extensive empirical

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Antonakakis, Nikolaos, Ioannis Chatziantoniou, and George Filis. "Dynamic Spillovers of Oil Price Shocks and Economic Policy Uncertainty." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4082/1/wp166.pdf.

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This study examines the dynamic relationship between changes in oil prices and the economic policy uncertainty index for a sample of both net oil-exporting and net oil-importing countries over the period 1997:01-2013:06. To achieve that, we extend the Diebold and Yilmaz (2009, 2012) dynamic spillover index using structural decomposition. The results reveal that economic policy uncertainty (oil price shocks) responds negatively to aggregate demand oil price shocks (economic policy uncertainty shocks). Furthermore, during the Great Recession of 2007-2009, total spillovers increase considerably

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Lejárraga, Iza, and Harald Oberhofer. "Performance of Small and Medium-sized Enterprises in Services Trade: Evidence from French Firms." Springer Nature, 2015. http://dx.doi.org/10.1007/s11187-015-9647-z.

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This paper empirically investigates the key firm- and industry-specific restrictions to the performance of small and medium-sized enterprises (SMEs) in services trade. For this purpose, we use firm-level data from firms in France operating in different services sectors over the time period 1998 to 2007 and formulate two-part models consisting of (i) (dy namic) export equations and (ii) (dynamic) export share equations. Our results confirm the view that a relatively low share of SMEs engage in services trade. In line with the new-new trade theory, our results also corroborate that more p

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Godeiro, Lucas Lúcio. "Testando o CAPM no mercado acionário brasileiro utilizando GARCH Multivariado entre 1995 e 2012." Pontifícia Universidade Católica de São Paulo, 2012. https://tede2.pucsp.br/handle/handle/9205.

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Made available in DSpace on 2016-04-26T20:48:38Z (GMT). No. of bitstreams: 1 Lucas Lucio Godeiro.pdf: 2764843 bytes, checksum: c27a349337947bc5671ae909ca2237f6 (MD5) Previous issue date: 2012-10-30<br>Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>The work aim to test the CAPM for the Brazilian Shares Market using the static was beta and the dynamic beta. The sample used is composed for 28 shares of the Ibovespa index in March 21, 2012 and that was traded long the period researched, between 01/01/1995 and 20/03/2012. Was estimated the static and dynamic betas, and that the dy

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Antonakakis, Nikolaos, and Julia Darby. "Forecasting volatility in developing countries' nominal exchange returns." Routledge, 2013. http://dx.doi.org/10.1080/09603107.2013.844323.

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This article identifies the best models for forecasting the volatility of daily exchange returns of developing countries. An emerging consensus in the recent literature focusing on industrialized countries has noted the superior performance of the Fractionally Integrated Generalized Autoregressive Conditionally Heteroscedastic (FIGARCH) model in the case of industrialized countries, a result that is reaffirmed here. However, we show that when dealing with developing countries' data the IGARCH model results in substantial gains in terms of the in-sample results and out-of-sample forecasting per

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Berger, Ulrich. "Learning in games with strategic complementarities revisited." Elsevier, 2008. http://epub.wu.ac.at/5589/1/2008_JET.pdf.

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Fictitious play is a classical learning process for games, and games with strategic complementarities are an important class including many economic applications. Knowledge about convergence properties of fictitious play in this class of games is scarce, however. Beyond games with a unique equilibrium, global convergence has only been claimed for games with diminishing returns [V. Krishna, Learning in games with strategic complementarities, HBS Working Paper 92-073, Harvard University, 1992]. This result remained unpublished, and it relies on a specific tie-breaking rule. Here we prove an exte

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Sausgruber, Rupert, and Jean-Robert Tyran. "Discriminatory Taxes are Unpopular. Even when they are Efficient and Distributionally Fair." Elsevier Science, 2014. http://dx.doi.org/10.1016/j.jebo.2013.12.022.

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We explore the political acceptance of taxation in commodity markets. Participants in our experiment earn incomes by trading and must collectively choose one of two tax regimes to raise a given tax revenue. A "uniform tax" (UT) imposes the same tax rate on all markets and is fair in that it yields the same - but low - income to participants in all markets. The "discriminatory tax" (DT) imposes a higher burden on markets with inelastic demand and is therefore efficient but it is also unfair in that incomes are unequal across markets. We find that DT are unpopular, as predicted. Surprisingly, ho

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Zylbersztejn, Adam. "Strategic signaling or emotional sanctioning? An experimental study of ex post communication in a repeated public goods game." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4075/1/wp161.pdf.

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Several experimental studies show that ex post communication mitigates opportunistic behavior in social dilemmas. The source of this effect, especially in a repeated interaction, is nonetheless still obscure. This study provides a novel empirical testbed for two channels by which ex post communication may affect behavior in a repeated public goods game. One is related to strategic signaling. The other involves emotions induced by others' expressed disapproval. The presence of ex post communication strongly fosters pro-social behavior. The data do not support the signaling hypothesis, favouri

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Berger, Ulrich. "Learning to trust, learning to be trustworthy." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/4806/1/wp212.pdf.

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Interpersonal trust is a one-sided social dilemma. Building on the binary trust game, we ask how trust and trustworthiness can evolve in a population where partners are matched randomly and agents sometimes act as trustors and sometimes as trustees. Trustors have the option to costly check a trustee's last action and to condition their behavior on the signal they receive. We show that the resulting population game admits two components of Nash equilibria. Nevertheless, the long-run outcome of an evolutionary social learning process modeled by the best response dynamics is unique. Even if uncon

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Trapletti, Adrian, Alois Geyer, and Friedrich Leisch. "Cointegration and exchange market efficiency. An analysis of high frequency data." SFB Adaptive Information Systems and Modelling in Economics and Management Science, WU Vienna University of Economics and Business, 1999. http://epub.wu.ac.at/1346/1/document.pdf.

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A cointegration analysis on a triangle of high frequency exchange rates is presented. Market efficiency requires the triangle to be cointegrated and the cointegration term to be a martingale difference sequence. We find empirical evidence against market efficiency for very short time horizons: The cointegration term does not behave like a martingale difference sequence. In an out-of-sample forecasting study the cointegrated vector autoregressive (VAR) model is found to be superior to the naive martingale. Finally, a simple trading strategy shows that the VAR also has a significant forecast val

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Huber, Florian. "Density Forecasting using Bayesian Global Vector Autoregressions with Common Stochastic Volatility." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4280/1/wp179.pdf.

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This paper puts forward a Bayesian Global Vector Autoregressive Model with Common Stochastic Volatility (B-GVAR-CSV). We assume that Country specific volatility is driven by a single latent stochastic process, which simplifies the analysis and implies significant computational gains. Apart from computational advantages, this is also justified on the ground that the volatility of most macroeconomic quantities considered in our application tends to follow a similar pattern. Furthermore, Minnesota priors are used to introduce shrinkage to cure the curse of dimensionality. Finally, this model is t

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Berger, Ulrich. "Non-algebraic convergence proofs for continuous-time fictitious play." Springer, 2012. http://epub.wu.ac.at/5591/1/2012_DGA.pdf.

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In this technical note we use insights from the theory of projective geometry to provide novel and non-algebraic proofs of convergence of continuous-time fictitious play for a class of games. As a corollary we obtain a kind of equilibrium selection result, whereby continuous-time fictitious play converges to a particular equilibrium contained in a continuum of equivalent equilibria for symmetric 4x4 zero-sum games.

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Hofmarcher, Paul, Stefan Kerbl, Bettina Grün, Michael Sigmund, and Kurt Hornik. "Model Uncertainty and Aggregated Default Probabilities: New Evidence from Austria." WU Vienna University of Economics and Business, 2012. http://epub.wu.ac.at/3383/1/Report116.pdf.

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Understanding the determinants of aggregated default probabilities (PDs) has attracted substantial research over the past decades. This study addresses two major difficulties in understanding the determinants of aggregate PDs: Model uncertainty and multicollinearity among the regressors. We present Bayesian Model Averaging (BMA) as a powerful tool that overcomes model uncertainty. Furthermore, we supplement BMA with ridge regression to mitigate multicollinearity. We apply our approach to an Austrian dataset. Our findings suggest that factor prices like short term interest rates and e

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Paetzel, Fabian, Rupert Sausgruber, and Stefan Traub. "Social Preferences and Voting on Reform: An Experimental Study." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4120/1/wp172.pdf.

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Debating over efficiency-enhancing but inequality-increasing reforms accounts for the routine business of democratic institutions. Fernandez and Rodrik (1991) hold that anti-reform bias can be attributed to individual-specific uncertainty regarding the distribution of gains and losses resulting from a reform. In this paper, we experimentally demonstrate that anti-reform bias arising from uncertainty is mitigated by social preferences. We show that, paradoxically, many who stand to lose from reforms vote in favor because they value efficiency, while many who will potentially gain from reforms

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Antonakakis, Nikolaos, Max Breitenlechner, and Johann Scharler. "Business Cycle and Financial Cycle Spillovers in the G7 Countries." Elsevier, 2015. http://dx.doi.org/10.1016/j.qref.2015.03.002.

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In this study we examine the dynamic interactions between credit growth and output growth using the spillover index approach of Diebold and Yilmaz (2012). Based on quarterly data on credit growth and GDP growth over the period 1957Q1 -2012Q4 for the G7 countries we find that: (i) spillovers between credit growth and GDP growth evolve rather heterogeneously over time and across countries, and increase during extreme economic events. (ii) Spillovers between credit growth and GDP growth are of bidirectional nature, indicating bidirectional spillovers of shocks between the financial and the real

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Hotz-Behofsits, Christian, Florian Huber, and Thomas Zörner. "Predicting crypto-currencies using sparse non-Gaussian state space models." Wiley, 2018. http://dx.doi.org/10.1002/for.2524.

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In this paper we forecast daily returns of crypto-currencies using a wide variety of different econometric models. To capture salient features commonly observed in financial time series like rapid changes in the conditional variance, non-normality of the measurement errors and sharply increasing trends, we develop a time-varying parameter VAR with t-distributed measurement errors and stochastic volatility. To control for overparameterization, we rely on the Bayesian literature on shrinkage priors that enables us to shrink coefficients associated with irrelevant predictors and/or perform model

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Müller, Julia, Christiane Schwieren, and Florian Spitzer. "What Drives Destruction? On the Malleability of Anti-Social Behavior." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/5343/1/wp238.pdf.

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Many recent experimental studies have shown that some subjects destroy other subjects' incomes without receiving any material benefit, and that they even incur costs to do so. In this paper, we study the boundary conditions of this phenomenon, which is referred to as anti-social behavior. We introduce a four-player destruction game, in which we vary the framing and the presence of another activity, running in parallel to the destruction game. We observe a substantial amount of destruction in the baseline condition without the parallel activity, and with a framing in the spirit of previous dest

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Huber, Florian, and Maria Teresa Punzi. "The shortage of safe assets in the US investment portfolio: Some international evidence." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5460/1/wp243.pdf.

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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 generall

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Berger, Ulrich. "Two More Classes of Games with the Continuous-Time Fictitious Play Property." Elsevier, 2007. http://epub.wu.ac.at/5587/1/2007_GEB.pdf.

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Fictitious Play is the oldest and most studied learning process for games. Since the already classical result for zero-sum games, convergence of beliefs to the set of Nash equilibria has been established for several classes of games, including weighted potential games, supermodular games with diminishing returns, and 3×3 supermodular games. Extending these results, we establish convergence of Continuous-time Fictitious Play for ordinal potential games and quasi-supermodular games with diminishing returns. As a by-product we obtain convergence for 3×m and 4×4 quasi-supermodular games.

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Feldkircher, Martin, and Florian Huber. "Unconventional US Monetary Policy: New Tools, Same Channels?" WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/4934/1/wp222.pdf.

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In this paper we compare the transmission of a conventional monetary policy shock with that of an unexpected decrease in the term spread, which mirrors quantitative easing. Employing a time-varying vector autoregression with stochastic volatility, our results are two-fold: First, the spread shock works mainly through a boost to consumer wealth growth, while a conventional monetary policy shock affects real output growth via a broad credit / bank lending channel. Second, both shocks exhibit a distinct pattern over our sample period. More specifically, we find small output effects of a conventi

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Berger, Ulrich. "Learning to cooperate via indirect reciprocity." Elsevier, 2010. http://epub.wu.ac.at/3273/1/indirec_GEB_revised.pdf.

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Cooperating in the Prisoner's Dilemma is irrational and some supporting mechanism is needed to stabilize cooperation. Indirect reciprocity based on reputation is one such mechanism. Assessing an individual's reputation requires first-order information, i.e. knowledge about its previous behavior, as it is utilized under image scoring. But there seems to be an agreement that in order to successfully stabilize cooperation, higher-order information is necessary, i.e. knowledge of others' previous reputations. We show here that such a conclusion might have been premature. Tolerant scoring, a

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Antonakakis, Nikolaos, Renatas Kizys, and Christos Floros. "Dynamic Spillover Effects in Futures Markets: UK and US Evidence." Elsevier, 2016. http://dx.doi.org/10.1016/j.irfa.2015.03.008.

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Previous studies on spillover effects in future markets have so far confined themselves to static analyses. In this study, we use a newly introduced spillover index to examine dynamic spillovers between spot and futures market volatility, volume of futures trading and open interest in the UK and the US. Based on a dataset over the period February 25, 2008 to March 14, 2013, that encompasses both the global financial crisis and the Eurozone debt crisis, we find that spot and futures volatilities in the UK (US) are net receivers (net transmitters) of shocks to volume of futures trading and open

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LeSage, James P., and Manfred M. Fischer. "Spatial Regression-Based Model Specifications for Exogenous and Endogenous Spatial Interaction." WU Vienna University of Economics and Business, 2014. http://epub.wu.ac.at/4271/1/SSRN%2Did2420746.pdf.

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The focus here is on the log-normal version of the spatial interaction model. In this context, we consider spatial econometric specifications that can be used to accommodate two types of dependence scenarios, one involving endogenous interaction and the other exogenous interaction. These model specifications replace the conventional assumption of independence between origin-destination-flows with formal approaches that allow for two different types of spatial dependence in flow magnitudes. Endogenous interaction reflects situations where there is reaction to feedback regarding flow magnitudes

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Antonakakis, Nikolaos. "Exchange Return Co-movements and Volatility Spillovers Before and After the Introduction of Euro." Elsevier, 2012. http://dx.doi.org/10.1016/j.intfin.2012.05.009.

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This paper examines return co-movements and volatility spillovers between major exchange rates before and after the introduction of euro. Dynamic correlations and VAR-based spillover index results suggest significant return co-movements and volatility spillovers, however, their extend is, on average, lower in the post-euro period. Co-movements and spillovers are positively associated with extreme episodes and US dollar appreciations. The euro (Deutsche mark) is the dominant net transmitter of volatility, while the British pound the dominant net receiver of volatility in both periods. Neverthel

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Teteryatnikova, Mariya, and James Tremewan. "Myopic and Farsighted Stability in Network Formation Games: An Experimental Study." Springer Verlag, 2019. http://dx.doi.org/10.1007/s00199-019-01200-z.

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We test the performance of myopic and farsighted stability concepts in a network formation experiment with a stream of payoffs and relatively unstructured link formation process. A subtle treatment variation demonstrates clearly the power of myopic stability concepts in precisely identifying the set of the most stable networks. However, we also find support for the predictions of farsighted concepts of stability, especially those that assume players' pessimism about the eventual outcome of a deviation. This is the first study to demonstrate that there exist environments where farsighted stabil

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Fischer, Manfred M., Florian Huber, Michael Pfarrhofer, and Petra Staufer-Steinnocher. "The dynamic impact of monetary policy on regional housing prices in the US: Evidence based on factor-augmented vector autoregressions." WU Vienna University of Economics and Business, 2018. http://epub.wu.ac.at/6065/1/2018%2D02%2D16_housing_favar_final.pdf.

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In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented vector autoregression (FAVAR) model. Bayesian model estimation is based on Gibbs sampling with Normal-Gamma shrinkage priors for the autoregressive coefficients and factor loadings, while monetary policy shocks are identified using high-frequency surprises around policy announcements as external instruments. The empirical results indicate that monetary poli

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