Econometric analysis of financial trade processes by discrete mixture duration models

We propose a new framework for modelling the time dependence in duration processes being in force on financial markets. The pioneering ACD model introduced by Engle and Russell (1998) will be extended in a manner that the duration process will be accompanied by an unobservable stochastic process. The Discrete Mixture ACD framework provides us with a general methodology which puts the idea into practice. It is established by introducing a discrete-valued latent regime variable which can be justified in the light of recent market microstructure theories. The empirical application demonstrates its ability to capture specific characteristics of intraday transaction durations while alternative approaches fail. JEL classification: C41, C22, C25, C51, G14

The use of the comprehensive family of distributions for the regime switching ACD framework

In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G14

Stand und Perspektiven der Evaluation der aktiven Arbeitsmarktpolitik in Deutschland

Diese Arbeit gibt einen Überblick der Konzeption und der Evaluation der Aktiven Arbeitsmarktpolitik (AAMP) in Deutschland. Die rechtliche Grundlage der AAMP stellte von 1969 bis 1997 das Arbeitsförderungsgesetz (AFG) dar. 1998 wurde dieses durch das Sozialgesetzbuch (SGB) III abgelöst. Während das AFG noch unter Bedingungen der Vollbeschäftigung eingeführt wurde und auch eine generelle Verbesserung der Funktionsweise des Arbeitsmarktes vorsah, erfolgte im Zeitablauf eine stärkere Ausrichtung der AAMP auf die Wiedereingliederung von Problemgruppen in den Arbeitsmarkt. Das SGB III stellt die Eingliederung von Arbeitslosen in reguläre Beschäftigung in den Mittelpunkt. Obwohl das SGB III in Ansätzen eine Erfolgskontrolle der AAMP vorsieht und trotz der hohen fiskalischen Kosten (43 Mrd. DM im Jahr 2001) fehlt bisher eine umfassende Evaluation der Wirkungen der AAMP unter Berücksichtigung der Kosten. Die Arbeit stellt die grundlegenden methodischen Probleme einer aussagekräftigen Evaluation dar. Die mikroökonomische Evaluation untersucht, ob die Teilnahme an einem arbeitsmarktpolitischen Programm zu einem Erfolg im Hinblick auf individuelle Zielgrößen wie Beschäftigung oder Verdienst führt

Macroeconomic impacts of ALMP on the matching process in West Germany

This paper investigates the macroeconomic effects of job creation schemes and vocational training on the matching processes in West Germany. The empirical analysis is based on regional data for local employment office districts for the period from 1999 to 2003. The empirical model relies on a dynamic version of a matching function augmented by ALMP. In order to obtain consistent estimates in the presence of a dynamic panel data model, a first-differences GMM estimator and a transformed maximum likelihood estimator are applied. Furthermore the paper considers the endogeneity problem of the policy measures. The results obtained from our estimates indicate that vocational training does not significantly affect the matching process and that job creation schemes have a negative effect. JEL Classification: C23, E24, H43, J64, J6

The microeconometric estimation of treatment effects : an overview

Vocational training programmes have been the most important active labour market policy instrument in Germany in the last years. However, the still unsatisfying situation of the labour market has raised doubt on the efficiency of these programmes. In this paper, we analyse the effects of the participation in vocational training programmes on the duration of unemployment in Eastern Germany. Based on administrative data for the time between the October 1999 and December 2002 of the Federal Employment Administration, we apply a bivariate mixed proportional hazards model. By doing so, we are able to use the information of the timing of treatment as well as observable and unobservable influences to identify the treatment effects. The results show that a participation in vocational training prolongates the unemployment duration in Eastern Germany. Furthermore, the results suggest that locking-in effects are a serious problem of vocational training programmes. JEL Classification: J64, J24, I28, J6

Frankfurt airport's impact on regional and national employment and income : some new results using an improved version of the extended model for interregional input-output-analysis

We develop an interregional version of the standard textbook input-output model, that is extended with respect to the inclusion of the consumption expenditures and income generation process into the endogenous part of the input-output table. We also introduce a new method for deriving a two-region version of an interregional input-output table from original input-output tables for an overall economy and one of its regions. In an empirical assessment of the economic effects of the Frankfurt Airport, the interregional model is successfully employed. It is shown, that the model is capable of reducing the degree of overestimation of economic effects that results from inappropriate use of national input-output tables in the assessment of regional impact effects

The use of the comprehensive family of distributions for the regime switching ACD framework

In recent methodological work the well known ACD approach, originally introduced by Engle and Russell (1998), has been supplemented by the involvement of an unobservable stochastic process which accompanies the underlying process of durations via a discrete mixture of distributions. The Mixture ACD model, emanating from the specialized proposal of De Luca and Gallo (2004), has proved to be a moderate tool for description of financial duration data. The use of one and the same family of ordinary distributions has been common practice until now. Our contribution incites to use the rich parameterized comprehensive family of distributions which allows for interacting different distributional idiosyncrasies. JEL classification: C41, C22, C25, C51, G1

Evaluating the Impacts of Subsidies on Innovation Activities in Germany

Innovations are a key factor to ensure the competitiveness of establishments as well as to enhance the growth and wealth of nations. But more than any other economic activity, decisions about innovations are plagued by failures of the market mechanism. As a response, public instruments have been implemented to stimulate private innovation activities. The effectiveness of these measures, however, is ambiguous and calls for an empirical evaluation. In this paper we make use of the IAB Establishment Panel and apply various microeconometric methods to estimate the effect of public measures on innovation activities of German establishments. We find that neglecting sample selection due to observable as well as to unobservable characteristics leads to an overestimation of the treatment effect and that there are considerable differences with regard to size class and between West and East German establishments. --R&D policy,innovation,microeconometric evaluation

The effects of job creation schemes on the unemployment duration in Eastern Germany

"Job creation schemes have been one of the most important programmes of active labour market policy in Germany throughout the 1990s and into the first decade of the new century. A number of studies have analysed the effects of job creation schemes in Germany, presenting an overall disappointing picture. JCS seem to perform poorly in improving the employability or the chances of leaving unemployment for the participating individuals. The study extends the existing literature by an evaluation of JCS with the timing-of-events methodology in the duration context using administrative data for East Germany. The analysis is based on a multivariate mixed proportional hazard rate model that accounts for observable and unobservable characteristics. The results show that JCS increase the individual unemployment duration of the participants. The negative effect results from a locking-in effect and a strong negative effect after the programme has finished. Therefore, the results suggest that JCS do not improve the employment prospects for the participants." (Author's abstract, IAB-Doku) ((en)) Additional Information Kurzfassung (deutsch) Executive summary (English)Arbeitsbeschaffungsmaßnahme - Erfolgskontrolle, Beschäftigungseffekte, Arbeitslosigkeitsdauer, Beschäftigungsfähigkeit, Arbeitsmarktchancen, Arbeitslose, berufliche Reintegration, IAB-Bewerberangebotsdatei, Beschäftigtenstatistik, IAB-Maßnahmeteilnehmergrunddatei, Ostdeutschland, Bundesrepublik Deutschland

The effects of job creation schemes on the unemployment duration in East Germany

"Job creation schemes have been one of the most important programmes of active labour market policy in Germany throughout the 1990s and into the first decade of the new century. A number of studies have analysed the effects of job creation schemes in Germany, presenting an overall disappointing picture. JCS seem to perform poorly in improving the employability or the chances of leaving unemployment for the participating individuals. The study extends the existing literature by an evaluation of JCS with the timing-of-events methodology in the duration context using administrative data for East Germany. The analysis is based on a multivariate mixed proportional hazard rate model that accounts for observable and unobservable characteristics. The results show that JCS increase the individual unemployment duration of the participants. The negative effect results from a locking-in effect and a strong negative effect after the programme has finished. Therefore, the results suggest that JCS do not improve the employment prospects for the participants." (Author's abstract, IAB-Doku) ((en))Arbeitsbeschaffungsmaßnahme, Beschäftigungseffekte, Arbeitslosigkeitsdauer, Beschäftigungsfähigkeit, Arbeitsmarktchancen, Arbeitslose, berufliche Reintegration, IAB-Bewerberangebotsdatei, Beschäftigtenstatistik, IAB-Maßnahmeteilnehmergrunddatei, Ostdeutschland, Bundesrepublik Deutschland