Endogenously-Timed Herding And The Synchronization Of Investment Cycles

This paper combines the recent garne theoretic approach of endogenous timing of entry to herding models with a rnacroeconornic model of investrnent cycles. The integrated description embodies the qualitative resuits of the rnyopic herding model in a medium run investment objective of smooth ing the capital stock adjustment process. lt features a completely disaggregated structure and bears the potential to synchronize individual cyclic investing be haviors. This synchronization via nonlinear feedback from the aggregate ac tivity can serve as an explanation of the inexistent cancelling of heterogeneous sectoral quasi-cycles. The model others an explanatory base for the constitu tion of the observed strong cyclicality of the aggregate investment series by a multitude of different periodicities and phases on the individual level. Finally, based on recent ndings of the herding literature, the stabilization potential of third parties' information revelation is conjectured

National and Supranational Business Cycles (1960-2000): A multivariate description of central G7 and EURO15 NIPA aggregates

This paper applies volatility measures and VAR spectral analytic techniques to give a thorough description of the salient business cycle characteristics of central NIPA aggregates for the G7. Furthermore, their role in contributing to the supranational G7 and EURO15 cyclic dynamics is investigated. Several refinements of conventional methods are suggested. Three different detrending filters are used, including ones that tend to distort the spectrum in opposite directions. As advocated in the literature, features of the spectra which survive these different detrending procedures are considered to be robust. The study reveals evidence of significant classical business cycles with frequencies corresponding to about two to four and about seven to ten years period lengths that are both reflected also in the spectra of the two supranational economies.The central findings are summarized with regard to (i) national product share, contribution-to-variance and volatility charateristics, (ii) explained variance and prominence of the cyclicalities contained in the different macro-aggregates and (iii) lead-lag and coherence relationships with national and supranational product cycles.business cycle dynamics, spectral analysis, volatility.

Managerial Effiency in German Top League Soccer

This study applies stochastic frontier analytic techniques in the estimation of sporting production functions. As ex ante input factors, we use pre-seasonal estimates of wage bills of players and coaches that are transformed during the production process of a season into ex post pecuniary revenues and sporting success. While in the case of athletic output we find a robust pattern of technical efficiency over subsequent seasons, the estimates based on economic output highlight the instability of the German soccer industry

CYCLES, SHOCKS, AND SENTIMENT: REUNIFICATION, REALIGNMENT OF PUBLIC SPENDING AND THE CYCLICAL GROWTH-NATIONAL SPORTING SUCCES NEXUS

This study analyzes the relationship between cyclical growth and national sporting success. The literature attributes this nexus to two channels: pro-cyclical public spending for national sports or a sort of q-driven investment activity induced by national sporting success. To analyze whether such a relationship can be established using German data, we adhere to a primarily descriptive methodology. We examine daily stock market data and macroeconomic time series in annual and quarterly frequency for a relationship between these data and the results of roughly 500 matches played by the German national soccer squad in the period from 1959 to 2004. Our methods of choice are techniques from time series analysis and event study analysis. We are able to establish a nexus in the decades prior to German reunification. This relationship fades in the period after reunification. As a result the nexus for the total period is obscured and asymmetric. For the stock market, it is predominantly a pessimistic market that coincides with losses of the national team. As it is virtually impossible to disentangle the spending channel from q-driven investment effects, we attribute this finding to both disproportionate expectations and a realignment of public spending in the aftermath of reunification.MACROECONOMIC COMOVEMENT, NATIONAL SPORTS, REUNIFICATION

Growth and Volatility of Tax Revenues in Latin America

Against the background of a notoriously high macroeconomic instability and the need to raise tax revenues to meet the demands of public spending, this paper analyzes the tradeoff between growth and volatility of tax revenues in Latin America. We use a two-step Engle-Granger-type model to estimate short-run and long-run elasticities, accounting for state-dependent asymmetric reactions of short-run elasticities over the business cycle. Due to its dependence on commodities exploitation Latin America is in general susceptible to the boom-bust cycles of its natural riches. Controlling for the composition of revenue sources and other idiosyncrasies of Latin American economies, we find revenues above (below) its long-run equilibrium to react stronger (weaker) to business cycle dynamics. This “tax revenue channel” represents an indirect argument for counter-cyclical discretionary fiscal policy in the region. Our detailed elasticity estimates can give some orientation on how to reach necessary higher tax levels without creating disincentives and inequities through business cycle instabilities on the way to develop an adequate internal tax system.tax policy, developing countries, regime-dependent elasticity

Inflation and Wealth Distribution

The effect of a permanent change of inflation on the distribution of wealth is analyzed in a general equilibrium OLG model that is calibrated with regard to the characteristics of the US economy. Poor agents accumulate savings predominantly in the form of money, while rich agents participate in the stock market and accumulate equity. Surprisingly, an increase of inflation results in a lower stock market participation rate; in addition, the distribution of wealth becomes more unequal, even though the quantitative effect is economically negligible. Furthermore, we show that the welfare costs of anticipated inflation are considerably lower than in Imrohoroglu (1992).inflation, welfare costs, wealth distribution, stock market participation

Cold Progression and its Effects on Income Distribution

We present new empirical evidence for the US economy that inflation reduces the inequality of the earnings distribution. The main mechanism emphasized in this paper is the tax income bracket effect. Governments only adjust the nominal income tax brackets slowly to a rise in prices, typically less often than once every other year in the US post-war history. We also develop a theoretical general equilibrium monetary model with income heterogeneity. In this model, the effect of higher inflation on income distribution is shown to be rather small. However, we find that a longer duration between two successive adjustments of the income tax schedule reduces employment, savings, and output significantly.cold progression, inflation, income distribution, tax income brackets

A Different Look at Lenin's Legacy: Trust, Risk, Fairness and Cooperativeness in the Two Germanies

What are the long-term effects of Communism on economically relevant notions such as social trust? To answer this question, we use the reunification of Germany as a natural experiment and study the post-reunification trajectory of convergence with regard to individuals’ trust and risk, as well as perceived fairness and cooperativeness. Our hypotheses are derived from a model of German reunification that incorporates individual responses both to incentives and to values inherited from earlier generations as recently suggested in the literature. Using data from the German Socio-Economic Panel, we find that despite twenty years of reunification East Germans are still characterized by a persistent level of social distrust. In comparison to West Germans, they are also less inclined to see others as fair or helpful. Implied trajectories can be interpreted as evidence for the passing of cultural traits across generations and for cooperation being sustained by values rather than by reputation. Moreover, East Germans are found to be more risk loving than West Germans. In contrast to trust and fairness, full convergence in risk attitude is reached in recent years.social trust, risk attitudes, political regimes, German reunification

Total Instructional Time Exposure and Student Achievement: An Extreme Bounds Analysis Based on German State-Level Variation

Using pooled data on instructional time and student performance by subject, our study finds evidence for the school inputs-student achievement relationship for German states. This finding is robust both to the inclusion of state fixed effects and in an extensive extreme bounds analysis. It stands in contrast to the majority of related studies. We argue that this is due to an error-in-variables problem and implied misinterpretation of existing studies that disregard the fact of learning being a cumulative process by relying on rather poor proxies for instructional time. Highschool ninth graders from the OECD Programme of International Student Assessment (PISA-E) tests’ bottom percentiles bene.t most from extra-instructional time measured in cumulated form from first up to ninth grade. Besides total instructional time exposure, we identify eight further social environment and institutional variables with robust impact on student performance. In contrast to instructional time hardly any of these factors can be affected by policy in the short run.education production function, student performance, school resources