Management Research and Religion: A Citation Analysis

Research on management with regard to religion became a growing field of interest in the last decades. Nevertheless, the impact of religion on actor’s economic behavior is also an old research topic, as the writings of Max Weber (The protestant ethic and the spirit of capitalism, Allen and Unwin, London, 1930) underline. The purpose of this contribution is to highlight the developments of this topic and to guide scholars to identify possible gaps. The structuring and investigation on this topic will help us to advance and better understand past research, while leading to some further reflections. We conduct a citation analysis of 215 articles and 7,968 cited references to examine the citation structure and make out the most-influential publications that have shaped research most so far. On the basis of the analysis it is to be assumed that three research streams affect progress: Best practices regarding performance issues, religion at work as well as religion, and personal ethics. Finally, the publications that each topic-clusters contains are reflected and discussed to achieve a structural overview of the state of the art of research.     

An empirical analysis of multivariate copula models

Since the pioneering work of Embrechts and co-authors in 1999, copula models have enjoyed steadily increasing popularity in finance. Whereas copulas are well studied in the bivariate case, the higher-dimensional case still offers several open issues and it is far from clear how to construct copulas which sufficiently capture the characteristics of financial returns. For this reason, elliptical copulas (i.e. Gaussian and Student-t copula) still dominate both empirical and practical applications. On the other hand, several attractive construction schemes have appeared in the recent literature promising flexible but still manageable dependence models. The aim of this work is to empirically investigate whether these models are really capable of outperforming its benchmark, i.e. the Student-t copula and, in addition, to compare the fit of these different copula classes among themselves.     

Static hedges for reverse barrier options with robustness against skew risk: an empirical analysis

We conduct an empirical evaluation of a static super-replicating hedge of barrier options. The hedge is robust to uncertainty about the future skew. Using almost seven years of current data on the DAX, we evaluate the performance of the hedge and compare it with those of both a dynamic and a static replicating hedge. The main result is that the robustness of the static super-replicating portfolio is also empirically confirmed in practice such that the hedge sets an upper bound for the price of skew risk for barrier options.     

Human Capital Investment and Work Incentives

Traditional human capital theory based on the work by Gary Becker shows that firms do not invest in general human capital but offer firm‐specific training that is only useful for the training firm. I extend the traditional approach by adding two natural assumptions—workers cannot be forced to acquire new knowledge, and they exert unobservable effort to produce valuable output for their employer. I show under which conditions firms do not offer firm‐specific training but invest in general human capital, which increases the workers' outside option. This investment behavior is well in line with the documented prevalence of industry‐specific and occupation‐specific human capital over firm‐specific human capital.     

Transitions in the stock markets of the US,UK and Germany

In an analysis of the US, the UK and German stock market, we find a change in the behaviour based on the stocks’ beta values. In the years 1995–2006, trades of stocks with high beta and large volume were concentrated in the IT and technology sector, whereas in 2006–2012 those trades are dominated by stocks from the financial sector. We show that an agent-based model can reproduce such a transition. We further show that the initial impulse for the transition might stem from the increase of high-frequency trading at that time.     

Fiscal consolidation in the euro area: Long-run benefits and short-run costs

In this paper, we examine the macroeconomic effects of alternative fiscal consolidation policies in the New Area-Wide Model (NAWM), a two-country open-economy model of the euro area developed at the European Central Bank (cf. [Coenen, G., McAdam, P., Straub, R., in press. Tax reform and labour-market performance in the euro area: a simulation-based analysis using the New Area-Wide Model. Forthcoming in the Journal of Economic Dynamics and Control]). We model fiscal consolidation as a permanent reduction in the targeted government debt-to-output ratio and analyse both expenditure and revenue-based policies that are implemented by means of simple fiscal feedback rules. We find that fiscal consolidation has positive long-run effects on key macroeconomic aggregates such as output and consumption, notably when the resulting improvement in the budgetary position is used to lower distortionary taxes. At the same time, fiscal consolidation gives rise to noticeable short-run adjustment costs in contrast to what the literature on expansionary fiscal consolidations suggests. Moreover, depending on the fiscal instrument used, fiscal consolidation may have pronounced distributional effects.     

Can satellite‐based weather index insurance improve the hedging of yield risk of perennial non‐irrigated olive trees in Spain?*

Olive oil yields fluctuate strongly due to their dependence on sufficient precipitation. An interesting option to hedge the yield risk in olive cultivation could be satellite‐based weather index insurance. Therefore, we implement index insurance as a hedging alternative for non‐irrigated olive groves using MODerate‐resolution Imaging Spectroradiometer (MODIS) satellite data. For this purpose, we focus on the Spanish region of Andalusia, given its importance in olive production at the international level. We calculate three satellite indices: the Vegetation Condition Index (VCI), the Temperature Condition Index (TCI) and the Vegetation Health Index (VHI). Meteorological indices related to temperature and precipitation are used as benchmarks. Firstly, we estimate the periods that have the greatest influence on the critical vegetative phase of olives, which extends from March to September. Based on the indices, insurance contracts are designed using a copula approach, which is then employed to evaluate their hedging effectiveness. On average, the hedging effectiveness of VCI‐, VHI‐ and TCI‐based weather index insurance contracts amounts to 38 per cent, 38 per cent and 29 per cent, respectively. Moreover, VCI‐ and VHI‐based weather index insurance contracts outperform traditional weather index insurance contracts based on precipitation (by 29 per cent) and temperature (by 16 per cent) indices.     

Broke,Ill, and Obese: Is There an Effect of Household Debt on Health?

We analyze the association between household indebtedness and different health outcomes using data from the German Socio‐Economic Panel from 1999 to 2009. We control for unobserved heterogeneity by applying fixed‐effects methods and furthermore use a subsample of constantly employed individuals plus lagged debt variables to reduce problems of reverse causality. We apply different measures of household indebtedness, such as the percentage shares of household income spent on consumer credit and home loan repayments (which indicate the severity of household indebtedness) and a binary variable of relative overindebtedness (which indicates a precarious debt situation). We find all debt measures to be strongly correlated with health satisfaction, mental health, and obesity. This relationship vanishes for obesity after controlling for unobserved heterogeneity while it stays significant with respect to worse physical and mental health.