Internationalisation of technology-oriented firms in Germany and the UK

Based on longitudinal data, this article examines empirically the long-term export behaviour of German and British technology-oriented firms founded between 1987 and 1996. Applying logit models, the results show that firms can overcome high entry costs by acquiring firm-specific assets. Similarly, firm-specific resources prevent high-tech companies from exiting the international market. The strategic role of investment in R&D is stressed in particular by the data.

Performance of periodic time series models in forecasting

The paper provides a comparison of alternative univariate time series models that are advocated for the analysis of seasonal data. Consumption and income series from (West-) Germany, United Kingdom, Japan and Sweden are investigated. The performance of competing models in forecasting is used to assess the adequacy of a specific model. To account for nonstationarity first and annual differences of the series are investigated. In addition, time series models assuming periodic integration are evaluated. To describe the stationary dynamics (standard) time invariant parametrizations are compared with periodic time series models conditioning the data generating process on the season. Periodic models improve the in-sample fit considerably but in most cases under study this model class involves a loss in ex-ante forecasting relative to nonperiodic models. Inference on unit-roots indicates that the nonstationary characteristics of consumption and income data may differ. For German and Swedish data forecasting exercises yield a unique recommendation of unit roots in consumption and income data which is an important (initial) result for multivariate analysis. Time series models assuming periodic integration are parsimonious to specify but often involve correlated one-step-ahead forecast errors. First version received: April 1996/final version received: January 1998     

Investigating stability and linearity of a German M1 money demand function

Starting from a linear error correction model (ECM) the stability and linearity of a German M1 money demand function are investigated, applying smooth transition regression techniques. Using seasonally unadjusted quarterly data from 1961(1) to 1990(2) it is found that the money demand equation considered is both linear and stable. After extending the sampling period until 1995(4) a clear structural instability due to the monetary unification on 1 July 1990 is found and subsequently modelled. A non-linear specification for the extended period is presented and discussed. Copyright © 1999 John Wiley & Sons, Ltd.     

Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom*

In this paper, we analyse the impacts of low interest rates and lax underwriting standards on the US housing boom around the beginning of the new millennium. We suggest a time-varying mean of the log price-to-rent ratio (PtR) to capture the persistent changes in housing prices. We show that the increasing latent trend in the PtR was significantly affected by the increased securitization of residential mortgage loans and decreasing interest rates, with the former effect being about three times larger than the latter. In the absence of securitization, negative interest rates would have been needed to reproduce an equally large housing boom since 2003.     

Measuring Spot Variance Spillovers when (Co)variances are Time‐varying – The Case of Multivariate GARCH Models

We propose global and disaggregated spillover indices that allow us to assess variance and covariance spillovers, locally in time and conditionally on time‐t information. Key to our approach is the vector moving average representation of the half‐vectorized ‘squared’ multivariate GARCH process of the popular BEKK model. In an empirical application to a four‐dimensional system of broad asset classes (equity, fixed income, foreign exchange and commodities), we illustrate the new spillover indices at various levels of (dis)aggregation. Moreover, we demonstrate that they are informative of the value‐at‐risk violations of portfolios composed of the considered asset classes.     

A web-based system architecture for ontology-based data integration in the domain of IT benchmarking

In the domain of IT benchmarking (ITBM), a variety of data and information are collected. Although these data serve as the basis for business analyses, no unified semantic representation of such data yet exists. Consequently, data analysis across different distributed data sets and different benchmarks is almost impossible. This paper presents a system architecture and prototypical implementation for an integrated data management of distributed databases based on a domain-specific ontology. To preserve the semantic meaning of the data, the ITBM ontology is linked to data sources and functions as the central concept for database access. Thus, additional databases can be integrated by linking them to this domain-specific ontology and are directly available for further business analyses. Moreover, the web-based system supports the process of mapping ontology concepts to external databases by introducing a semi-automatic mapping recommender and by visualizing possible mapping candidates. The system also provides a natural language interface to easily query linked databases. The expected result of this ontology-based approach of knowledge representation and data access is an increase in knowledge and data sharing in this domain, which will enhance existing business analysis methods.     

Still more on the speed of adjustment in inventory models: A lesson in aggregation

Applied econometric research has been troubled by the fact that estimated adjustment speeds from stock-adjustment models of inventory investment turn out to be “implausibly slow”. The paper presents new empirical evidence using business-survey data colfected by the IFO Institute Munich, Germany. It is shown empirically that there is no such a thing as an “implausibly slow” adjustment speed if estimation is done at the same level of aggregation as is requested by the underlying microeconomic theory, that is, at the level of the individual firm. Slow adjustment speeds turn out to be an artifact due to aggregation.     

The changing pattern of international trade in manufactures: A logit analysis

Zusammenfassung Ver?nderungen im Welthandel mit Industriegütern: Eine LogitAnalyse. — Dieser Aufsatz berichtet über die Ergebnisse einer empirischen Untersuchung, in der die güterm?\ige Zusammensetzung des internationalen Handels mit Industrieerzeugnissen im Wandel der Zeit geprüft wird. Die Hypothesen für eine Analyse des Konzepts der „revealed comparative advantages“ für eine L?nderquerschnittsanalyse mit vielen Gütern werden in “schwacher” Form aufgestellt und mit Hilfe des Logit-Verfahrens getestet. Die Ergebnisse unterstreichen, daβ die statische Handelsstruktur ma\geblich von den Proportionen zwischen Humankapital und dem Faktor Arbeit bestimmt wird. Nicht gestützt wird die Faktorproportionenhypothese auf der Grundlage des Verh?ltnisses zwischen physischem Kapital und Arbeit. Au\erdem zeigt sich, da\ sowohl das technologische Alter der Erzeugnisse als auch wiederum die Humankapitalintensit?t wichtige Bestimmungsgründe für die Dynamik der Handelsstruktur im Sinne des Produktzyklus sind.

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Résumé La structure changeante du commerce international des produits manufacturés: une analyse logit. — Cet article rapporte les résultats d’une investigation empirique sur la composition par produit du commerce en biens manufacturiers et sur ses changements au cours du temps. L’auteur formule des hypothèses du type ?faible? et les teste en se servirant de la méthode logit et une analyse trans-pays et multi-biens de l’avantage comparatif révélé. Les résultats soulignent la dominance des proportions entre le capital humain et la main d’oeuvre comme déterminants des structures statiques du commerce, mais ne supportent pas une hypothèse des proportions de facteur basée sur le capital physique et la main-d’∄uvre. De plus, les résultats montrent que l’age technologique du produit et encore une fois l’intensité au capital humain sont des déterminants importants de la dynamique de la structure commerciale du type du cycle de bien.

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Resumen La estructura cambiante del comercio internacional en manufacturas: un análisis del tipo ?logit?. — Este artículo informa sobre los resultados de una investigación empírica de la composición de productos del comercio de manufacturas y sus cambios a través del tiempo. Para un análisis multi-productos a través de países de ventajas comparativas reveladas, se establecen hipótesis en forma ?débil? y se someten a prueba a través de un análisis de tipo ?logit?. Los resultados subrayan el dominio de proporciones capital humanomano de obra como déterminantes de las estructuras de comercio estatico, pero no sustentan una hipótesis de proporciones de factures basada en capital físico versus trabajo. Más aún, ellos sugieren la edad tecnológica del producto y de nuevo la intensidad de capital humano como los mayores determinantes de la dinámica de la estructura de comercio del tipo ciclo productivo.