Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia

We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time-varying inflation risk premia. Furthermore, we show how sensitive the Cleveland Fed approach is to different measures of the liquidity premium. In addition we propose an alternative approach to decompose the bias in inflation expectations derived from index-linked bonds using a state-space estimation. Our results show that once one accounts for time-varying liquidity and inflation risk premia current 10-year U.S. inflation expectations are lower than estimated by the Cleveland Fed

Financial Contagion and the European Debt Crisis

Since the beginning of 2010, the Euro Area faces a severe sovereign debt crisis, now generally known as the Euro Crisis. While the Euro Crisis has its origin in Greece, problems have now spread to several other European countries as well. Dynamic conditional correlation models (DCC) are estimated in order to assess if contagious effects are identifiable during the Euro Crisis, or if the countries’ problems are instead due to fundamental problems in the affected economies. Our findings show that there is contagion within the Euro Area. Additionally, contagious effects generated by rating announcements are documented. These results are crucial when it comes to choosing the correct measure and timing of policy intervention.contagion, DCC, Euro Crisis

Inflation expectations from index-linked bonds: Correcting for liquidity and inflation risk premia

We provide a critical assessment of the method used by the Cleveland Fed to correct expected inflation derived from index-linked bonds for liquidity and inflation risk premia and show how their method can be adapted to account for time-varying inflation risk premia. Furthermore, we show how sensitive the Cleveland Fed approach is to different measures of the liquidity premium. In addition we propose an alternative approach to decompose the bias in inflation expectations derived from index-linked bonds using a state-space estimation. Our results show that once one accounts for time-varying liquidity and inflation risk premia current 10-year U.S. inflation expectations are lower than estimated by the Cleveland Fed.Inflation expectations; liquidity risk premium; inflation risk premium; treasury inflation-protected securities (TIPS); state-space model

Real Effects of Quantitative Easing at the Zero-Lower Bound: Structural VAR-based Evidence from Japan

Using post-1995 Japanese data we propose a theory-based sign-restriction SVAR approach to identify monetary policy shocks when the economy is at the zero-lower bound. The identifying restrictions accord with predictions of corresponding DSGE models. Our results show that while a quantitative easing shock leads to a significant but temporary rise in output, the effect on inflation is not significantly different from zero. This suggests that while the Japanese Quantitative Easing experiment was successful in stimulating real activity in the shortrun, it did not lead to any increase in inflation. These results are interesting not only for Japan, but also for other advanced economies where monetary policy is currently constrained by the ZLB.

Financial Development and Income Inequality: A Panel Data Approach

We analyze the link between financial development and income inequality for a broad unbalanced dataset of up to 138 developed and developing countries over the years 1960 to 2008. Using credit-to-GDP as a measure of financial development, our results reject theoretical models predicting a negative impact of financial development on income inequality measured by the Gini coefficient. Controlling for country fixed effects and GDP per capita, we find that financial development has a positive effect on income inequality. These results are robust to different measures of financial development, econometric specifications, and control variables.financial development, income inequality, global, panel analysis

Brandom, Sellars und der "Mythos des Gegebenen"

R. Brandoms originärer Beitrag liegt nicht auf dem Feld der\ud Theorie des Wissens. Furore machte er mit dem wirklich\ud zu Ende gedachten Ansatz einer inferentiellen Semantik,\ud den er 1994 in Making it Explicit vorlegte. Er verkoppelt\ud darin den Grundgedanken einer inferentiellen Gliederung\ud propositionaler (begrifflicher) Gehalte mit der Idee einer\ud sozialen Gliederung derjenigen Praktiken, mittels derer wir\ud unsere Wissensansprüche argumentativ einlösen, indem\ud wir sie in geeignete Inferenzen einbauen. Der semantische\ud Inferentialismus läuft auf eine anti-fundationalistische\ud Theorie des Wissens hinaus. Um dennoch Raum für\ud basale, nichtinferentielle Meinungen zu schaffen, weicht\ud Brandom auf verlässlichkeitsorientierte Überlegungen aus.\ud Der Schritt in den epistemischen Externalismus ist jedoch\ud schwer mit dem Internalismus in Bezug auf Rechtfertigung\ud in Einklang zu bringen, der den kommunikativen Praktiken\ud des Gebens und Verlangens von Gründen ihre Pointe\ud verleiht. Im Folgenden möchte ich zuerst die Zwänge\ud aufzeigen, die Brandom zu seiner Revision auf dem Gebiet\ud der Theorie des Wissens führte, um dann (zweitens)\ud die tiefer liegenden Gründe zu beleuchten, die zu dieser\ud Revision nötigten und die man bei Sellars nachlesen kann,\ud um dann (drittens) eine Lösung vorzuschlagen, die sich\ud der gemäßigten Spielart einer traditionelleren Denkrichtung,\ud dem Fundationalismus, wie ihn beispielsweise R.\ud Audi vertritt, annähert

JETT-M - Jenaer Entrepreneur Test & Training Modul: Ein Assessment-Center für Unternehmensgründer

Der Beitrag beschreibt und begründet den Aufbau und die einzelnen Module eines speziell für potenzielle studentische Unternehmensgründer konzipierten Assessment- Centers (AC). Zentrale Ziele des Instruments bestehen in (1) der kritischen Überprüfung der betriebswirtschaftlichen Tragfähigkeit der Geschäftsidee, (2) der Motivation zur zielgerichteten Weiterarbeit am Geschäftskonzept, (3) der Überprüfung/Stärkung der betriebswirtschaftlichen Basiskompetenzen, (4) der kritischen Hinterfragung des eigenen Gründungswunsches, (5) dem Training gründungsspezifischer Kommunikationssituationen, (6) dem Erfahrungsaustausch und Networking zwischen den Gründungsinteressierten. Das insgesamt dreitägige AC besteht aus folgenden Modulen: (1) Schriftliche und mündliche Präsentationen des eigenen Geschäftskonzepts, (2) Verteidigung des Konzepts im Management-Disput, (3) Test und Training betriebswirtschaftlicher Basiskompetenzen über eine Gründungsfallstudie und einen Fragebogen im Multiple-Choice-Format, (4) zwei Gruppendiskussionen zur Arbeitssituation von Unternehmensgründern und (5) zwei psychologische Tests zur Erfassung gründungsförderlicher Persönlichkeitsstrukturen. Ein multiples Feedbackkonzept mit Fremd- und Selbstfeedbacks auf personaler und technologischer Ebene soll die Zielerreichung des AC absichern. --Assessment Center,Unternehmensgründung,Gründerkompetenzen,Fallstudie,Gruppendiskussion,Management-Disput,Persönlichkeitstest

Are there Differences in the Effectiveness of Quantitative Easing in Japan over Time?

Using a time-varying parameter vector autoregression (TVP-VAR) with a new sign restriction framework, we study the changing effectiveness of the Bank of Japan's Quantitative Easing policies over time. We analyse the Zero-Interest Rate Policy from 1999 to 2000, the Quantitative Easing Policy from 2001 to 2006, and most recently the ‘Abenomics' monetary policy easing strategy. Our results indicate that there are important differences concerning the effects of Quantitative Easing over time. We find a stronger and longer lasting positive influence of QE shocks on real GDP and CPI especially since 2013. This might reflect the influence of the ‘Abenomics' program

Quantitative Easing in the Euro Area

We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by quantifying the cumulative decrease of spreads and by running event regressions for several Euro Area countries. Focusing on the signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread, we find that the effects in yield and spread reduction were most pronounced for the initial announcement on the Public Sector Purchase Programme (PSPP) but declined afterwards for additional announcements. Possible explanations for this are the declining degree to which the ECB surprised markets and the increasingly burdensome institutional set-up of the APP. While yield reductions were larger for periphery countries' than for core countries' bonds, our evidence suggests that this stronger reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit risk reduction we find rather mild effects from portfolio rebalancing for all countries

Quantitative Easing in the Euro Area

We examine the effects of the Asset Purchase Programme (APP) gradually introduced by the European Central Bank from September 2014 onwards. Studying the short-term reaction of financial markets after APP press releases, we analyse the development of bond yields and spreads around these releases. More precisely, we try to estimate different asset price channels by quantifying the cumulative decrease of spreads and by running event regressions for several Euro Area countries. Focusing on the signalling channel, measured by the OIS rate, and the portfolio rebalancing channel, proxied by the conditional bond-OIS spread, we find that the effects in yield and spread reduction were most pronounced for the initial announcement on the Public Sector Purchase Programme (PSPP) but declined afterwards for additional announcements. Possible explanations for this are the declining degree to which the ECB surprised markets and the increasingly burdensome institutional set-up of the APP. While yield reductions were larger for periphery countries' than for core countries' bonds, our evidence suggests that this stronger reduction is mostly due to a decreasing risk component of southern bonds. In fact, once controlling for this implicit credit risk reduction we find rather mild effects from portfolio rebalancing for all countries