Research Seminars (Archive)
Homeownership and Labour Market Outcomes in Transition EconomiesLecturer: Peter Huber Affiliation: WIFO, Vienna PEF MENDELU, Room 4.74 1:00 PM • 4/8/2016
This paper analyses the impact of homeownership on individual labour market behaviour in transition countries. In accordance with theoretical expectations homeowners are less likely to be willing to move for employment reasons than renters and mortgage holders are less likely to be unemployed both in transition and mature market economies. Results on the effects of homeownership on the unemployment probability and of mortgages on willingness to migrate are less clear cut and depend on the country group analysed. Long-term unemployment risks do not differ between homeowners with and without mortgages and renters. This thus accords with the findings of much of the previous empirical literature of no detrimental effects of homeownership on unemployment risks and durations. The paper also analyses a number of potential explanation for this unexpectedly positive individual unemployment experience of homeowners without a mortgage. It finds evidence that homeowners without a mortgage are more likely to have access to personal contacts that could help them in finding jobs when unemployed, and also seem to search less on the job than renters. In addition homeowners with a mortgage have a lower chance of experiencing a move from employment to unemployment. By contrast the evidence of differences in job separation behaviour between the groups of interest is less compelling. The unexpectedly good labour market performance of homeowners in the labour market may thus be due to homeowners investing more into region specific social capital that may be helpful in finding adequate employment and to homeowners exhorting more effort to retain existing jobs.
Psychological Costs of Currency Transition: Evidence from Euro AdoptionLecturer: Olga Popova Affiliation: IOS Regensburg ESF MU, Room P403 1:00 PM • 4/1/2016
Abstract: We analyze individual levels of life satisfaction in Slovakia, after that country adopted the Euro, following a spirited debate. We gauge the psychological cost of transition to the new currency by comparing individual life satisfaction, not only before and after Euro introduction, but by comparison with individuals with similar characteristics in the neighboring Czech Republic, which did not adopt the Euro. Both countries were economically and politically integrated for decades, and share similar macroeconomic indicators just before the currency change in Slovakia. We find evidence of substantial psychological costs of currency transition, which are especially important for the old, the unemployed, those with low education and in households with children. We believe these results suggest the importance of information and enlightened debate before a sweeping change in economic context such as the adoption of a new currency.
Determinants of Foreign Currency Savings: Evidence from Google Search DataLecturer: Vilma Deltuvaitė Affiliation: Technical University in Kaunas PEF MENDELU, Room Q4.74 1:00 PM • 3/23/2016
Abstract: The paper investigates motives of domestic and foreign currency savings in non-Eurozone EU countries. We focus on macroeconomic shocks specified by the International Fisher Effect theory, current account and remittances. Special attention is put on perception and sentiment of economic agents. Main contribution of the paper is based on sentiment indicators received from Google search data. To estimate the model, we employed Bayesian Model Averaging since we do not have appropriate economic theory to select Google search keywords.
The Low Volatility Phenomenon in the Presence of Taxes and Transaction CostsLecturer: Shaun Pfeiffer Affiliation: Edinboro University, USA Mendel University, Room 4.74 1:00 PM • 3/8/2016
Traditional finance theory suggests that investors should expect lower returns as the risk, i.e., volatility, of the portfolio decreases. However, empirical evidence in the investment literature suggests that low volatility investments over longer investment horizons have provided better risk adjusted returns, and in some cases, even higher returns than those generated by high volatility investments. The findings from prior literature are relevant to investments in a non-taxable, i.e., tax-deferred or tax-exempt, environment. This study contributes to the literature by examining the efficacy of low volatility investments in the presence of taxes and transaction costs. The empirical findings suggest that a low volatility investment strategy fails to consistently achieve higher levels of efficiency when compared to the appropriate investable index in a taxable environment with transaction costs.
The deforestation Kuznets curve: Evidence from satellite dataLecturer: Jesus C. Cuaresma Affiliation: University of Vienna ESF MU, Room P403 1:00 PM • 3/4/2016
We use satellite data on forest cover along national borders in order to study the determinants of deforestation differences across countries. We combine the forest cover information with data on homogeneous response units, which allow us to control for cross-country geoclimatic differences when assessing the drivers of deforestation. Income per capita appears to be the most robust determinant of differences in cross-border forest cover and our results present evidence of the existence of decreasing effects of income on forest cover as economic development progresses.
Google searches and stock returnsLecturer: Peter Molnár Affiliation: Norwegian University of Science and Technology, Trondheim ESF MU, S314 2:00 PM • 12/17/2015
We investigate whether Google searches can be used to forecast stock returns. We find that short-term (daily and weekly) increase in search activity leads to negative excess stock returns with subsequent reversal, whereas long-term (quarterly) increase in search activity leads to long-lasting positive returns. The connection between searches and subsequent returns is much stronger for smaller companies. Finally, we examine a trading strategy based on our findings and notice that our strategy outperforms a passive strategy even after taking transaction costs into account.
Explaining the labor market gaps between immigrants and natives in the OECDLecturer: Andreas Bergh Affiliation: Research Institute of Industrial Economics, Stockholm ESF MU, Room S314 1:00 PM • 12/4/2015
Andreas Bergh at IDEAS
In most OECD-countries, immigrants have lower employment and higher unemployment than natives. On average, the gap in labor market outcomes is larger in countries with more immigrant friendly attitudes. To explain this pattern, this paper developes a theory based on labor market institutions and welfare state institutions. In countries where labor market institutions give native workers more influence, and where the social safety net is more generous, native workers face less direct wage competition from immigration. As a result, the general population is more immigrant friendly and income inequality is dampened, but empoyment among immigrants suffer thwarting the potential economic benefits from immigration (and in some cases immigration becomes a financial burden for the public sector). The theory is confirmed using data for 21–28 OECD countries using OLS-regressions and Bayesian model averaging over all 512 theoretically possible model specifications to cope with the model selection problem which is particularly severe in small samples where the number of suggested explanations is high. The unemployment gap is bigger in countries where collective bargaining agreements cover a larger share of the labor market, and the employment gap is bigger in countries with more generous social safety nets. The education of immigrants and migrant integration policies have no explanatory value. Finally, the prediction that countries with smaller labor market gaps have higher income inequality is also supported by the data.
Indeterminacy, Misspecification and Forecastability: Good Luck in Bad Policy?Lecturer: Marco Maria Sorge Affiliation: University of Göttingen; Center for Studies in Economics and Finance (CSEF) ESF MU, Room P106 1:00 PM • 12/3/2015
Marco Maria Sorge at IDEAS
Abstract: A recent debate in the forecasting literature revolves around the inability of macroeconometric models to improve on simple univariate predictors, since the onset of the so called Great Moderation. This paper explores the consequences of equilibrium indeterminacy for quantitative forecasting through standard reduced form forecast models. Exploiting U.S. data on both the Great Moderation and the preceding era, we first present evidence that (i) higher (absolute) forecastability obtains in the former rather than the latter period for all models considered, and that (ii) the decline in volatility and persistence captured by a finite-order VAR system across the two samples need not be associated with inferior (absolute or relative) predictive accuracy. Then, using a small-scale New Keynesian monetary DSGE model as laboratory, we generate artificial datasets under either equilibrium regime and investigate numerically whether (relative) forecastability is improved in the presence of indeterminacy. It is argued that forecasting under indeterminacy with e.g. unrestricted VAR models entails misspecification issues that are generally more severe than those one typically faces under determinacy. Irrespective of the occurrence of non-fundamental (sunspot) noise, for certain values of the arbitrary parameters governing solution multiplicity, the pseudo out-of-sample VAR-based forecasts of inflation and output growth can outperform simple univariate predictors. For other values of these parameters, by contrast, the opposite occurs. In general, it is not possible to establish a one-to-one relationship between indeterminacy and superior forecastability, even when sunspot shocks play no role in generating the data. Overall, our analysis points towards a 'good luck in bad policy' explanation of the (relative) higher forecastability of macroeconometric models prior to the Great Moderation period.
Who works and who does not? The gender employment gap in Central and Eastern EuropeLecturer: Éva Fodor Affiliation: Central European University FSS Jostova 10, room U34 (3rd floor) 1:30 PM • 12/2/2015
Abstract: This study analyzes the relative impact of labor market context and social policy arrangements on the gender employment gap in Central and Eastern Europe. We rely on the 2008 and 2012 waves of the European Union Statistics on Income and Living Conditions as well as a number of macro level data sources to study the impact of various macro and meso-level factors on gender inequality in access to employment. We find that typical growth indicators, global market integration and social policy arrangements are not at all or only weakly associated with the gender employment gap. Instead, labor market context, specifically the degree of segregation and the size of the public and service sectors, are more important for shaping women’s labor market opportunities relative to men’s.
Housing regimes in post socialist countriesLecturer: József Hegedüs Affiliation: Metropolitan Research Institute, Budapest Masaryk University, Faculty of Economics and Administration, Room S314 1:00 PM • 11/13/2015
József Hegedüs at ResearchGate
Abstract: Presentation adds to the research on the role of the housing sector in transition countries. The East European Housing Model (Hegedüs and Tosics, 1996) summarizes the main characteristics and elements of the housing system in the centrally planned economy, which was a social-economic system with high job security, low – highly subsidized – housing costs, and small income differences. The crucial question is how East European Housing Model has changed after the transition. Is it possible to define a post-socialist housing model or is the emerging new housing model similar to one of existing housing models in the developed world?