Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures

This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non-deliverable forward market and seven of its Asia-Pacific counterparts over the period January 1998 to March 2005. To account for the time-variability of conditional correlation, a dynamic correlation structure is included in the volatility model specification. The empirical results demonstrate that the renminbi non-deliverable forward (NDF) has been a driver of various Asian currency markets but that such co-movements exhibit a substantial degree of heterogeneity. As to the determinants of the magnitude of these co-movements, we test the relevance of potential factors and find that it is the degree of real and financial integration, in particular, that exerts the largest influence on volatility transmission.China; renminbi; Asia; forward exchange rates; non-deliverable forward market; multivariate GARCH models

Volatility dependence across Asia-Pacific on-shore and off-shore U.S. dollar futures markets

This paper estimates switching autoregressive conditional heteroscedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China´s U.S. dollar future rates upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.China; renminbi; Asia; forward exchange rates; non-deliverable forward market; SWARCH models

Drivers of Private Equity Investment in CEE and Western European Countries

A strong private equity market is a cornerstone for commercialization and innovation in modern economies. However, substantial differences exist in the relative amounts raised and invested in private equity across European countries. We investigate the macro-determinants of private equity investment in Europe, focusing on the comparison between CEE and Western European countries. Our estimations are based on a data set running from 2001 to 2008 and covers 14 Western European and three CEE countries. Applying robust estimation techniques we identify a 'robust' set of determinants of private equity activity in both regions. We find similarities as well as differences in the driving forces of private equity investments in Western European and CEE countries. Our results suggest that commercial bank lending, equity market capitalization, unit labour costs and corporate tax rates are significant determinants of private equity activity.Private Equity, Extreme Bounds Analysis, Central and Eastern European Countries

Inflation Inequality in Europe

We analyze cross-household inflation dispersion in Europe using “fictitious” monthly inflation rates for several household categories (grouped according to income levels, household size, socio-economic status, age) for the period from 1997 to 2008. Our analysis is carried out on a panel of 23 up to 27 household-specific inflation rates per country for 15 countries. In the first part of the paper, we employ time series and related non-stationary panel approaches to shed light on cross-country differences in inflation inequality with respect to the number of driving forces in the panel. In particular, we focus on the degree of persistence of the household-specific inflation rates and their the adjustment behaviour towards the inflation rate of a “representative household”. In the second part of the paper, we pool over the full sample of all countries and test if and by how much certain household categories across Europe are more prone to significant inflation differentials and significant differences in the volatility of inflation. Furthermore we search for the presence of clusters with respect to inflation susceptibility. On the national level, we find evidence for the existence of one main driving factor driving the non-stationarity of the panel and evidence for a single co-integration vector. Persistence of deviations, however, is high, and the adjustment speed towards the “representative household” is low. Even if there is no concern about a long-run stable distribution, at least in the short- to medium run deviations tend to last. On the European level, we find small but significant differences (mainly along income levels), we can separate 5 clusters and two main driving forces for the differences in the overall panel. All in all, even if differences are relatively small, they are not negligible and persistent enough to represent a serious matter of debate for economic and social policy.Inflation, Inequality, Heterogeneity, Time Series, Panel.

Drifting Together or Falling Apart? The Empirics of Regional Economic Growth in Post-Unification Germany

The objective of this paper is to address the question of convergence across German districts in the first decade after German unification by drawing out and emphasising some stylised facts of regional per capita income dynamics. We achieve this by employing non-parametric techniques which focus on the evolution of the entire cross-sectional income distribution. In particular, we follow a distributional approach to convergence based on kernel density estimation and implement a number of tests to establish the statistical significance of our findings. This paper finds that the relative income distribution appears to be stratifying into a trimodal/bimodal distribution.regional economic growth, Germany, convergence clubs, density estimation, modality tests

Drivers of Private Equity Investment in CEE and Western European Countries

A strong private equity market is a cornerstone for commercialization and innovation in modern economies. However, substantial differences exist in the relative amounts raised and invested in private equity across European countries. We investigate the macro-determinants of private equity investment in Europe, focusing on the comparison between CEE and Western European countries. Our estimations are based on a data set running from 2001 to 2008 and covers 14 Western European and three CEE countries. Applying robust estimation techniques we identify a 'robust' set of determinants of private equity activity in both regions. We find similarities as well as differences in the driving forces of private equity investments in Western European and CEE countries. Our results suggest that commercial bank lending, equity market capitalization, unit labour costs and corporate tax rates are significant determinants of private equity activity

Drifting together or falling apart? The empirics of regional economic growth in post-unification Germany

The objective of this paper is to address the question of convergence across German districts in the first decade after German unification by drawing out and emphasising some stylised facts of regional per capita income dynamics. We achieve this by employing non-parametric techniques which focus on the evolution of the entire cross-sectional income distribution. In particular, we follow a distributional approach to convergence based on kernel density estimation and implement a number of tests to establish the statistical significance of our findings. This paper finds that the relative income distribution appears to be stratifying into a trimodal/bimodal distribution

Drifting together or falling apart? The empirics of regional economic growth in post-unification Germany

The objective of this paper is to address the question of convergence across German districts in the first decade after German unification by drawing out and emphasising some stylised facts of regional per capita income dynamics. We achieve this by employing non-parametric techniques which focus on the evolution of the entire cross-sectional income distribution. In particular, we follow a distributional approach to convergence based on kernel density estimation and implement a number of tests to establish the statistical significance of our findings. This paper finds that the relative income distribution appears to be stratifying into a trimodal/bimodal distribution

Drivers of private equity investment in CEE and Western European countries

A strong private equity market is a cornerstone for commercialization and innovation in modern economies. However, substantial differences exist in the relative amounts raised and invested in private equity across European countries. We investigate the macro-determinants of private equity investment in Europe, focusing on the comparison between CEE and Western European countries. Our estimations are based on a data set running from 2001 to 2008 and covers 14 Western European and three CEE countries. Applying robust estimation techniques we identify a 'robust' set of determinants of private equity activity in both regions. We find similarities as well as differences in the driving forces of private equity investments in Western European and CEE countries. Our results suggest that commercial bank lending, equity market capitalization, unit labour costs and corporate tax rates are significant determinants of private equity activity

Frühjahrsgrundlinien 2010

Das DIW Berlin rechnet für 2010 und 2011 mit einem Wachstum des realen Bruttoinlandsprodukts von 1,7 und 1,8 Prozent. Damit setzt die deutsche Wirtschaft ihren moderaten Erholungskurs der vergangenen Quartale fort. Zwar hat die Produktion im Winter überraschenderweise nur stagniert, dies ist aber auf Sondereffekte etwa im Zusammenhang mit den Konjunkturprogrammen zurückzuführen. Angesichts des moderaten Wachstumstempos wird die Wirtschaftskraft am Ende des Prognosezeitraums 2011 nur noch leicht unter dem Vorkrisenniveau liegen. Getrieben wird die leichte Erholung der Konjunktur 2010 größtenteils von der Auslandsnachfrage; rund zwei Drittel der Zunahme der Produktion dürften aus der Verbesserung des Außenbeitrags kommen. 2011 ist dagegen die Binnennachfrage der stärkste Wachstumstreiber. Während der private Konsum 2010 aufgrund der vorhandenen Arbeitsplatzunsicherheit und niedriger Lohnabschlüsse noch schwach bleibt, ist 2011 mit einem Zuwachs von einem Prozent zu rechnen. Der massive Rückgang der Wirtschaftsleistung 2009 hat sich weit weniger als befürchtet auf die Entwicklung der Beschäftigung ausgewirkt. Der wichtigste Grund dafür war, dass die Krise weitgehend auf den Exportsektor begrenzt blieb. Derzeit spricht viel dafür, dass die Talsohle auf dem Arbeitsmarkt bereits durchschritten ist und sich sogar ein leichter Rückgang der Arbeitslosigkeit einstellen wird. Mit einem kräftigen Aufschwung bei der Beschäftigung ist allerdings nicht zu rechnen. Zwar liegt das Wachstum im Prognosezeitraum über der Schwelle, ab der Beschäftigung aufgebaut wird, der vorherige Absturz der Produktion steht aber einem deutlichen Zuwachs der Beschäftigung entgegen. Die Lage der öffentlichen Haushalte bleibt hochgradig angespannt. Tatsächlich ist 2010 und 2011 eher mit geringeren Steuereinnahmen zu rechnen, als dies noch zur Jahreswende prognostiziert worden war. Dadurch wird die Konsolidierung der öffentlichen Finanzen nochmals erschwert, sodass kein Spielraum für Steuersenkungen besteht. Im Gegenteil: In Anbetracht der gesetzlich verankerten Schuldenbremse ist eine nachhaltige Verbesserung auch bei den Staatseinnahmen erforderlich, Ausgabenkürzungen dürften nicht ausreichen, um den anstehenden Konsolidierungsbedarf zu decken.Business Cycle forecast, Economic Outlook