Quantum risk-sensitive estimation and robustness

This paper studies a quantum risk-sensitive estimation problem and investigates robustness properties of the filter. This is a direct extension to the quantum case of analogous classical results. All investigations are based on a discrete approximation model of the quantum system under consideration. This allows us to study the problem in a simple mathematical setting. We close the paper with some examples that demonstrate the robustness of the risk-sensitive estimator.Comment: 24 page

The impact of government expenditure on growth: Empirical evidence from a heterogeneous panel

This paper investigates the impact of government expenditure on growth, in a heterogeneous panel for 15 developing countries. Using GMM techniques, we show that countries with substantial government expenditure have strong growth effects, which vary considerably across the nations

Robust Mean-Variance Portfolio Selection

This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial for the stability properties of the mean-variance optimal portfolios. Moreover, we perform simulations leading to the conclusion that, under classical estimation, model risk bias dominates estimation risk bias. Finally, we suggest a diagnostic tool to warn the analyst of the presence of extreme returns that have an abnormally large influence on the optimization results.Mean-variance e .cient frontier; Outliers; Model risk; Robust es-timation

Macroeconomic effects of fiscal adjustment: A tale of two approaches

We investigate the short-term effects of fiscal adjustment on economic activity in 20 OECD countries from 1970 to 2009. We compare two approaches: the traditional approach based on changes in cyclically adjusted primary balance (CAPB) and the narrative approach based on historical records. Proponents of the latter argue that it captures discretionary fiscal adjustment more accurately than the traditional approach. We propose a new definition of CAPB that takes account of fluctuations in asset prices and reflects idiosyncratic features of fiscal policy in individual countries. Using this new definition, we find that fiscal adjustments always have contractionary effects on economic activity in the short term; we find no evidence of expansionary (non-Keynesian) fiscal adjustments. Spending-based fiscal adjustments lead to smaller output losses than tax-based fiscal adjustment. These results are in line with the literature using the narrative approach, suggesting that the CAPB, when correctly specified, can be used as a measure of fiscal adjustments

Non-response biases in surveys of schoolchildren: the case of the English Programme for International Student Assessment (PISA) samples

We analyse response patterns to an important survey of schoolchildren, exploiting rich auxiliary information on respondents' and non-respondents' cognitive ability that is correlated both with response and the learning achievement that the survey aims to measure. The survey is the Programme for International Student Assessment (PISA), which sets response thresholds in an attempt to control the quality of data. We analyse the case of England for 2000, when response rates were deemed sufficiently high by the organizers of the survey to publish the results, and 2003, when response rates were a little lower and deemed of sufficient concern for the results not to be published. We construct weights that account for the pattern of non-response by using two methods: propensity scores and the generalized regression estimator. There is clear evidence of biases, but there is no indication that the slightly higher response rates in 2000 were associated with higher quality data. This underlines the danger of using response rate thresholds as a guide to quality of data

Capital structure decisions in family firms: empirical evidence from a bank-based economy

This study examines how family firm characteristics affect capital structure decisions. In our analysis we disentangle the influence of three distinct components of a family firm: ownership, supervisory and management board activities by the founding family. Thereby, we use a unique panel dataset of 660 publicly listed companies (5,135 firm years) in the broadest German stock index CDAX from 1995 to 2006. This paper is motivated by hitherto inconclusive empirical findings on capital structure decisions in family firms from Anglo-Saxon countries. We provide new evidence for a bank-based economy. In this sense, Germany provides a very fruitful research environment as it (i) traditionally has a bank-based financial system and (ii) family firms are considered to be the backbone of the economy. We find that family firms have significantly lower leverage ratios than non-family firms, independent of the definition of leverage applied. Among the three dimensions of a family firm, management board involvement by the founding family has a consistently negative influence on leverage across all our models. In contrast, the influence of ownership and supervisory board representation is insignificant in almost all of our models. In line with agency theory, we can show that the leverage level is the lowest if the founding family is simultaneously a large shareholder with monitoring incentives and involved in firm management with convergence-of-interest effects. Finally, we detect that the presence of a founder CEO in firm management has a significant negative effect on the leverage ratio. Our results prove to be stable against a battery of robustness tests including a matching estimator technique to demonstrate causal effects. --family firms,family ownership,family management,founder CEO,agency costs,capital structure,debt-equity ratio,leverage,corporate governance,risk aversion