Research Seminars (Archive)
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?
Dynamics of Access to CreditLecturer: Jarko Fidrmuc Affiliation: Zeppelin University, Friedrichshafen Mendel University, Room 4.74 1:00 PM • 11/10/2015
Abstract: The access to credit is crucially important for firms’ performance and may have a long- term impact on growth, competitiveness, exports, employment, and innovations. To analyze the behavioral aspects of access to credit we use unique information from the WIFO Business Survey for the period 2011 – 2013 where firms are asked how they evaluate the lending policy of the banks in Austria (which we refer to as perceptions). In addition to their perceptions firms report their direct credit market experience, i.e. whether they have had credit demand during the last three months and whether they were fully or partly successful in obtaining a loan or not. Our results show that firms have a better perception of the lending policy only if they received a loan for which amount and interest rate were as expected. However, if the bank rejected their application or the amount and/ or the interest rate were not as ex- pected, the perceived lending policy is worse.our findings suggest that the experience of the individual firm is a key driver of perceived lending. Moreover, access to credit in a particular period may have a relative- ly long-term impact on the firms’ behavior.
Pathologies in inter-firm cooperationLecturer: Wlodzimierz Sroka Affiliation: University of Dobrowa Gornica Mendel University, Room Q45 1:00 PM • 10/23/2015
Abstract: The phenomenon of inter-organizational cooperation in networks is becoming increasingly important, and as such there are numerous companies which participate in various networks. This is due to the advantages offered by participation in such networks, e.g. access to the resources of partners, the opportunity to learn from partners, reduction of risk, etc. It should be noted, however, that any inter-organizational cooperation is combined with the likelihood that certain negative phenomena may arise, i.e. pathologies which reduce the attractiveness of this type of activity. Some of these pathologies are similar to those occurring in any organization, while the others are a specific feature of network organizations. Therefore the aim of this study is to analyse the pathologies most frequently observed in inter-organizational networks. This analysis begins with a presentation of the importance of network organizations in contemporary business. Then the major pathologies in networks and the varieties thereof are presented, concentrating on two basic types, i.e. simple pathologies and structural pathologies. Subsequently, a comparison is made between pathologies in the organization vs. the pathologies in the networks. Finally, there were described the ways to avoid pathologies in networks, as well as summarised the potential solutions. The conclusion is that although it is impossible to identify a universal solution to the issue of pathologies in the networks (because their sources are complex and systemic in nature), knowledge of such phenomena can reduce the risk of their re-occurrence.
Career Breaks after Childbirth and the Role of Parental Leave PoliciesLecturer: Klára Kalíšková Affiliation: CERGE-EI, Prague ESF, Lipova 41a, Brno, Room S314 1:00 PM • 10/9/2015
Abstract: The Czech Republic is a country with a strong attachment of women to the labor market but one of the longest paid parental leave durations. Using a difference-in-differences methodology, we study the effect of two reforms of duration of parental allowance on the labor market status of mothers 2-7 years after childbirth. While the 1995 reform prolonged parental allowance from 3 to 4 years and the 2008 reform introduced a flexible schedule that allowed shortening of leave from 4 to 2 or 3 years, both reforms kept the job protection period at 3 years, allowing us to study the impact of monetary incentives setting aside changes in job security. We find that the 1995 reform prolonged the parental leave of at least one third of mothers and shifted the post-leave unemployment spell to the time when a child turns 4, while the 2008 reform achieved a reversal of the impact of the 1995 reform, but only to a lesser extent.
The Right Look: Conservative Politicians Look Better and Their Voters Reward ItLecturer: Niclas Berggren Affiliation: Research Institute of Industrial Economics, Stockholm ESF, Lipová 41a, Brno, Room P403 1:00 PM • 5/15/2015
Abstract: Previous research has established that good-looking political candidates win more votes. We extend this line of research by examining differences between parties on the left and on the right of the political spectrum. Our study combines data on personal votes in real elections with a web survey in which 2,513 non-Finnish respondents evaluated the facial appearance of 1,357 Finnish political candidates. We find that political candidates on the right are better looking in both municipal and parliamentary elections and that they have a larger beauty premium in municipal, but not in parliamentary, elections. As municipal candidates are relatively unknown, the beauty-premium gap indicates that voters - especially those to the right - use beauty as a cue for candidate ideology or quality in the municipal elections.