Timing asset market peaks: the role of the liquidity risk cycle of the banking system

Recent financial crisis showed how the unfolding of liquidity risks of financial intermediaries spilled over to asset markets, contributing to asset price deteriorations and the triggering of liquidity spirals. This paper derives and tests a financial fragility condition for predicting asset price peaks on a real-time basis, by combining the term spread and the aggregate funding liquidity risks of the banking system into a simple binary fragility indicator. The main empirical result of this paper is that the fragility condition predicted all major equity market peaks in Germany during the time period 1973 to 2010, including the subprime crisis of 2007, the New Economy Bubble of 2000, and the 1987 stock market crash. The average lead time of the indicator is 2.9 months. About 80% of the declines were later on associated with significant declines in Industrial Production.Predicting Financial Markets; Liquidity Spirals; Macrofinancial Linkages; Asset Price Cycle; Liquidity Management of Financial Intermediaries; Early Warning Indicator

OPTIMAL ENVIRONMENTAL POLICY DESIGN IN THE PRESENCE OF UNCERTAINTY AND TECHNOLOGY SPILLOVERS

The stylized model presented in this paper extends the approach developed by Fischer and Newell (2008) by analysing the optimal policy design in a context with more than one externality while taking explicitly into account uncertainty surrounding future emission damage costs. In the presence of massive uncertainties and technology spillovers, well-designed sup-port mechanisms for renewables are found to play a major role, notably as a means for compensating for technology spillovers, yet also for reducing the investors’ risks. How-ever, the design of these support mechanisms needs to be target-aimed and well-focused. Besides uncertainty on the state of the world concerning actual marginal emission damage, we consider the technological progress through R&D as well as learning-by-doing. A portfolio of three policy instruments is then needed to cope with the existing externalities and optimal instrument choice is shown to be dependent on risk aversion of society as a whole as well as of entrepreneurs. To illustrate the role of uncertainty for the practical choice of policy instruments, an em-pirical application is considered. The application is calibrated to recent global data from IEA and thus allows identifying the main drivers for the optimal policy mix. In addition to assumptions on technology costs and uncertainty of emission damage cost, the impor-tance of technology spillover clearly plays a key role. Yet under some plausible parame-ter settings, direct subsidies to production are found to be of lower importance than very substantial R&D supports.Externality, technology, learning, uncertainty, climate change, spillover, renewable energy, policy

Seiberg-Witten invariants on manifolds with Riemannian foliations of codimension 4

We define Seiberg-Witten equations on closed manifolds endowed with a Riemannian foliation of codimension 4. When the foliation is taut, we show compactness of the moduli space under some hypothesis satisfied for instance by closed K-contact manifolds. Furthermore, we prove some vanishing and non-vanishing results and we highlight that the invariants may be used to distinguish different foliations on diffeomorphic manifolds.Comment: To appear in Journal of Geometry and Physics. Final versio

Does the Early Bird Catch the Worm? Instrumental Variable Estimates of Educational Effects of Age of School Entry in Germany

We estimate the effect of age of school entry on educational attainment using three different data sets for Germany, sampling pupils at the end of primary school, in the middle of secondary school and several years after secondary school. Results are obtained based on instrumental variable estimation exploiting the exogenous variation in month of birth. We find robust and significant positive effects on educational attainment for pupils who enter school at seven instead of six years of age: Test scores at the end of primary school increase by about 0.42 standard deviations and years of secondary schooling increase by almost half a year.education, immigration, policy, identification

Persistence of the School Entry Age Effect in a System of Flexible Tracking

In Germany, the streaming of students into an academic or nonacademic track at age 10 can be revised at later stages of secondary education. To investigate the importance of such revisions, we use administrative data on the student population in the German state of Hessen to measure the persistence of school entry age’s impact on choice of secondary school track. Based on exogenous variation in the school entry age by birth month, we obtain regression discontinuity estimates for different cohorts and grades up to the end of secondary education. We show that the effect of original school entry age on a student’s later attending grammar school disappears exactly at the grade level in which educational institutions facilitate track modification.Education, identification, regression discontinuity design, instrumental variables, relative maturity

Does the Early Bird Catch the Worm? Instrumental Variable Estimates of Educational Effects of Age of School Entry in Germany

We estimate the effect of age of school entry on educational attainment using three different data sets for Germany, sampling pupils at the end of primary school, in the middle of secondary school and several years after secondary school. Results are obtained based on instrumental variable estimation exploiting the exogenous variation in month of birth. We find robust and significant positive effects on educational attainment for pupils who enter school at seven instead of six years of age: Test scores at the end of primary school increase by about 0.42 standard deviations and years of secondary schooling increase by almost half a year.Education, Immigration, Policy, Identification

The effect of technostress on the acceptance of artificial intelligence-enabled machine feedback systems

This paper provides an analysis ofhow technostress influences the technological acceptanceof machine feedback systems and tools.To testthe relationship, data was collected witha survey, in which the participants were introducedto a workplace scenario which utilizes an Artificial Intelligence-enabled machine feedback system. The results of the executed analysis (N = 286) suggestthat technostress, especially techno-complexity,has asignificantinverse relationship with technology acceptance’core construct perceived ease of use. For thesecond core construct, perceived usefulness, no relationships with technostress have been identified. From these results, this paper derives managerial implications