Wenn sich Warten lohnt: Der Effekt von Unsicherheit auf Investitionsentscheidungen

Das amerikanische Politmagazin Foreign Policy befragte zwischen August und September 2012 insgesamt 62 bekannte US-Ökonomen, worin sie die Hauptursache für die schleppende Erholung des Arbeitsmarkts sehen. Am häufigsten genannt wurde Unsicherheit (31 Prozent). Was ist mit diesem Begriff konkret gemeint? Und weshalb spielt er eventuell eine wichtige Rolle? Eine aktuelle Studie des DIW Berlin geht dem Effekt von Unsicherheit auf Investitionsverhalten von Individuen in einem Verhaltensexperiment nach. Die Auswertung legt nahe, dass Individuen oder Haushalte schon auf geringe Unsicherheit mit Zurückhaltung reagieren.Between August and September 2012, the American political magazine, Foreign Policy asked a total of 62 well-known US economists what they saw as the main reason for the slow recovery of the labor market. The most common response was uncertainty (31 percent). But what exactly does this term mean? And why might it play such an important role? A recent study conducted by DIW Berlin on the basis of behavioral experiments examines the effect of uncertainty on the investment behavior of individuals. The analysis suggests that the reaction of individuals or households to even slight uncertainty is one of caution

Bayesian Inference for the Mixed-Frequency VAR Model

In this paper a mixed-frequency VAR à la Mariano & Murasawa (2004) with Markov regime switching in the parameters is estimated by Bayesian inference. Unlike earlier studies, that used the pseuo-EM algorithm of Dempster, Laird & Rubin (1977) to estimate the model, this paper describes how to make use of recent advances in Bayesian inference on mixture models. This way, one is able to surmount some well-known issues connected to inference on mixture models, e.g. the label switching problem. The paper features a numerical simulation study to gauge the model performance in terms of convergence to true parameter values and a small empirical example involving US business cycles.Markov mixture models, Label switching, Bayesian VAR, Mixed frequencies

Should I stay or should I go? A laboratory analysis of investment opportunities under ambiguity

This paper investigates the impact of uncertainty on an irreversible investment decisions in the laboratory. Subjects own the option to seize a claim on the future sum of realizations from an (ambiguous) random walk. I contrast model predicitions of the Subjective Expected Utility model (SEU, Savage, 1954) with model predictions made by Multiple-prior Expected Utility models (MEU, Gilboa & Schmeidler, 1989; Epstein & Schneider, 2003b). I present an experimental design that allows to identify behaviorally meaningful deviations from SEU. Observed behavior is at odds with the SEU prediction. On average, subjects in a treatment group, facing an ambiguous random walk, exhibit an ambiguity premium that presents a mark-up on average reservation profits in a control group. Hence, subjects shun to expose themselves to an ambiguous payoff process and invest later than participants facing a risky payoff process

Filtering German economic conditions from a large dataset: The new DIW economic barometer

This paper presents a revised version of the DIW Economic Barometer, the business cycle index of the German Institute for Economic Research (DIW Berlin). As in earlier versions, we put forward a factor model on a monthly frequency to filter the latent state of the aggregate economy. In the new version, the resulting business cycle factor is based on more than 300 variables. The main methodological changes relate to (i) the estimation procedure, (ii) treatment of publication lags and missings, and (iii) the decomposition of the index into contributions from different sectors of the economy. Alongside several practical advantages, we also document a better historical nowcasting performance of the new index

Too Proud to Stop: Regret in Dynamic Decisions

Many economic situations involve the timing of irreversible decisions. E.g. People decide when to sell a stock or stop searching for a better price. We analyze the behavior of a decision maker who evaluates his choice relative to the ex-post optimal choice in an optimal stopping task. We derive the optimal strategy under such regret preferences, and show how it is different from that of an expected utility maximizer. We also show that if the decision maker never commits mistakes the behavior resulting from this strategy is observationally equivalent to that of an expected utility maximizer. We then test our theoretical predictions in the laboratory. The results from a structural discrete choice model we fit to our data provide strong evidence that many people's stopping behavior is largely determined by the anticipation of and aversion to regret

Essays in dynamic behavior

Diese Dissertation behandelt sowohl die Theorie, als auch beobachtetes Verhalten in Stoppproblemen. In einem Stoppproblem, beobachtet ein Agent die Entwicklung eines stationären, stochastischen Prozesses über die Zeit. Zu jedem Zeitpunkt genießt der Agent das Recht den Prozess zu stoppen, um eine Auszahlung einzustreichen die Funktion des gegenwärtigen und der vergangenen Realisationen des Prozesses sind. Das Ziel des Agenten ist es den Stoppzeitpunkt so zu wählen, dass die erwartete Auszahlung oder der erwartete Verlust durch Stoppen maximiert bzw. minimiert wird. Stoppprobleme dieser Art konstituieren können als die einfachsten, jedoch wirklich dynamischen Entscheidungsprobleme in der ökonomischen Theorie angesehen werden Das erste Kapitel legt neue theoretische Resultate hinsichtlich der optimalen Stoppstrategien unter Erwartungsnutzentheorie, sog. gain-loss utilities und Bedauerungspräferenzen vor. Das zweite Kapitel behandelt sodann die Ergebnisse eines Laborexperiments in dem die theoretischen Vorhersagen getestet werden. Kapitel drei beschäftigt sich mit der Situation in der die Agenten nicht vollständig über Wahrscheinlichkeiten für künftige Ereignisse informiert sind, d.h. es herrscht Ambiguität.This dissertation is concerned with theory and behavior in stopping problems. In a stopping problem an agent or individual observes the realization of some exogenous and stationary stochastic process over time. At every point in time, she has the right or the once-only option to stop the process in order to earn a function of the past and current values of the process. The agent''s objective then is to choose the point in time to exercise the option in order to maximize an expected reward or to minimize an expected loss. Such problems constitute the most rudimentary, yet truly dynamic class of choice problems that is studied in economics. The first chapter provides new theoretical results about optimal stopping both under expected utility, as well as gain-loss utility and regret preferences. The second chapter presents a laboratory experiment that tests several of the theoretical predictions about behavior made in the first chapter. The third chapter is concerned with stopping behavior in a setting, where the probability law that drives the observed process is not perfectly known to the decision maker, i.e. there is ambiguity

Governments' payment discipline: The macroeconomic impact of public payment delays and arrears

This paper considers the impact of changes in governments' payment discipline on the private sector. We argue that increased delays in public payments can affect private sector liquidity and profits and hence ultimately economic growth. We test this prediction empirically for European Union countries using two complementary approaches. First, we use annual panel data, including a newly constructed proxy for government arrears. Using panel data techniques, including methods that allow for endogeneity, we find that payment delays and to some extent estimated arrears lead to a higher likelihood of bankruptcy, lower profits and lower economic growth. While this approach allows a broad set of variables to be included, it restricts the number of time periods. We therefore complement it with a Bayesian VAR approach on quarterly data for selected countries faced with significant payment delays. With this second approach, we also find that the likelihood of bankruptcies rises when the governments increase the average payment period: (C) 2015 Elsevier Inc. All rights reserved