Research Seminars (Archive)
Stock Market Contagion in Central and Eastern Europe: Unexpected Volatility and Extreme Co-exceedanceLecturer: Štefan Lyócsa Affiliation: University of Economics in Bratislava Faculty of Economics, Masaryk University, Room S314 2:00 PM • 11/18/2016
The presentation shows recent evidence about the existence and size of contagion from the U.S. stock market to six Central and Eastern European stock markets. A novel approach to the measurement of contagion is presented, that examines how volatility shocks in the U.S. stock market impact emerging stock markets in Europe. We will discuss whether stock markets in Europe are sensitive to the occurrence of un-expected negative events in the U.S., i.e. whether events in the U.S. are contagious. Finally, some implications are discussed, particularly to portfolio diversification opportunities.
Empirical approaches to the modelling of stock market networksLecturer: Tomáš Výrost Affiliation: University of Economics in Bratislava Faculty of Economics, Masaryk University, Room S314 1:00 PM • 11/18/2016
The talk focuses on the results of modeling stock market networks. In the first part of the talk, general principles of network construction are introduced and several common widely used graph-theoretic algorithms for suitable subgraph selection, such as minimum spanning trees and planar maximally filtered graphs are confronted with their economic rationale. Next, several econometric approaches to the construction of correlation based networks are presented, including DCC-MVGARCH and Granger causality. Finally, in its empirical part, the talk presents selected results on various approaches to the modelling of specific stock market networks.
Linguistic distance, networks and the regional location decisions of migrants to the EULecturer: Klaus Nowotny Affiliation: University of Salzburg Faculty of Economics, Masaryk University, Room S314 1:00 PM • 10/7/2016
This paper analyzes the interaction between migrant networks and linguistic distance in the location decisions of migrants to the European Union at the regional level. We find that networks have a positive effect on location decisions while the effect of linguistic distance is, as expected, negative. We also find a positive interaction effect between the two variables: networks are thus more important the larger the linguistic distance between the home and host countries, and the negative effect of linguistic distance is smaller the larger the network size.
Rail passenger market opening: The British experienceLecturer: Andrew Smith Affiliation: Institute for Transport Studies, University of Leeds Faculty of Economics, Masaryk University, Room P106 4:20 PM • 10/6/2016
European policy has focused in recent decades on liberalising Europe’s railway systems with a view to promoting competition and enhancing the performance of railways. Whilst legislation on passenger competition has moved more slowly than in freight, the 4th Railway package envisages competition becoming much more extensive in the passenger sector in the coming years; covering both commercial services and public service contracts. In this presentation we ask what lessons can be learnt from Britain which has implemented the most ambitious reforms of the passenger rail sector, with all services (commercial and public service) being subject to competitive tendering – supplemented to a small degree (currently) by open access competition on long distance routes. Britain has taken a different approach to those countries within Europe that have opened their passenger markets to competition - most notably Sweden and Germany. These differences are important because they enable us to study the impact of competitive tendering and open access under a different set of circumstances to the wider European experience; and thus to draw a richer set of lessons about what works and in what circumstances. Britain also has a twenty year period over which the evidence can be documented and assessed, during which time the model has been reviewed and changed several times. Even the current position does not seem to be the final equilibrium, and the paper therefore also asks what directions future policy should take in Britain and what the lessons may be for other countries.
Bus and Rail Privatisation - British experienceLecturer: Chris Nash Affiliation: Institute for Transport Studies, University of Leeds ESF MU, Room P106 4:20 PM • 4/27/2016
Britain largely privatised its bus network following the Transport Act of 1986 and its rail network over the period 1994-7, but in very different ways. Whilst the bus network was completely deregulated, leaving commercial operators free to compete on the road and to choose their own routes, timetables and fares, rail passenger services were largely franchised, with controls on fares, frequences and the degree of on track competition. The experience of these two alternative approaches to privatisation will be reviewed and conclusions drawn on their effectiveness.
Cities and Economic Growth: Lessons from U.S. Industrialization, 1880-1930Lecturer: Alex Klein Affiliation: University of Kent ESF MU, Room 311 2:00 PM • 4/13/2016
Abstract: We investigate the role of industrial structure in labor productivity growth in U.S. cities between 1880 and 1930. We find that increases in specialization were associated with faster productivity growth but that diversity only had positive effects on productivity performance in large cities. We interpret our results as demonstrating the importance of Marshallian externalities. Industrial specialization increased considerably in U.S. cities at this time, partly as a result of improved transportation, and we estimate that this brought significant gains in labor productivity. The American experience suggests that wider economic benefits of transport infrastructure investment in developing countries could be important.
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.
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.