?Media Events, Globalization and Cultural Change?

Ohne Zusammenfassung     

A Wald test for the cointegration rank in nonstationary fractional systems

This paper develops new methods for determining the cointegration rank in a nonstationary fractionally integrated system, extending univariate optimal methods for testing the degree of integration. We propose a simple Wald test based on the singular value decomposition of the unrestricted estimate of the long run multiplier matrix. When the “strength” of the cointegrating relationship is less than 1/2, the test statistic has a standard asymptotic distribution, like Lagrange Multiplier tests exploiting local properties. We consider the behavior of our test under estimation of short run parameters and local alternatives. We compare our procedure with other cointegration tests based on different principles and find that the new method has better properties in a range of situations by using information on the alternative obtained through a preliminary estimate of the cointegration strength.     

The effect of seasonal adjustment on the properties of business cycle regimes

We study the impact of seasonal adjustment on the properties of business cycle expansion and recession regimes using analytical, simulation and empirical methods. Analytically, we show that the X‐11 adjustment filter both reduces the magnitude of change at turning points and reduces the depth of recessions, with specific effects depending on the length of the recession. A Monte Carlo analysis using Markov‐switching models confirms these properties, with particularly undesirable effects in delaying the recognition of the end of a recession. However, seasonal adjustment can help to clarify the true regime when this is well underway. These results continue to hold when a seasonally non‐stationary process with regime‐dependent mean is misspecified as one with deterministic seasonal effects. The empirical findings, based on four coincident US business cycle indicators, reinforce the analytical and simulation results by showing that seasonal adjustment leads to the identification of longer and shallower recessions than obtained using unadjusted data. Copyright © 2008 John Wiley & Sons, Ltd.     

From Deficits to Debt and Back: Political Incentives under Numerical Fiscal Rules

Under numerical fiscal rules, such as those underpinning EMU,governments have strong temptations to use accounting tricksto meet the fiscal constraints. Given these political incentives,fiscal variables that in the past were regarded as a mere residualacquire a strategic role. This is the case of the so-calledstock-flow adjustment (SFA) which reconciles deficit and debtdevelopments. We develop a simple theoretical model where deficitsand two distinct SFA components (one that could be used to reducethe deficit figures and the other to impact debt figures instead)are determined as a result of a constrained optimisation byfiscal authorities. Econometric evidence provides results consistentwith the model findings. The SFA component related to the purposeto hide deficits rises with the recorded deficit, while thesales of financial assets designed to keep the debt under controlrise with both debt and deficit. When deficits are in excessof the 3 percent limit, accounting gimmicks become more sensitiveto the size of deficits. The SGP per se does not appear to increasethe extent to which higher deficits trigger more accountinggimmicks. However, the SGP seems associated with a more intenseuse of accounting gimmicks irrespective of the level of deficit.Such accounting practices have greatly contributed to the lossof credibility of Economic and Monetary Union's fiscal rules.If properly implemented, the reformed Pact, which stresses durableadjustment and long-run sustainability, should help curb suchperverse incentives. (JEL codes: E61, H62, H87)     

Stochastic dominance with pair-wise risk aversion

A class of stochastic orders is defined on the set of bivariate distribution functions. This class of orders is linearly orderable by inclusion. A family of utility functions, coherent with each of the stochastic orders previously defined, is determined. These utility functions represent pair-wise risk aversion. The relations with univariate stochastic orders are examined.     

The Italian hedge funds industry: An empirical analysis of performance and persistence

This study analyses Italian hedge funds performance and persistence. The peculiarity of the Italian hedge fund industry is that 95% of the hedge funds are funds of hedge funds (FoHF), whereas only 5% of them employ other investment styles. Using monthly data on FoHF provided by MondoHedge, we examine the impact of both market variables and funds’ own characteristics on funds performance using panel data. We find that the European, the Japanese and the emerging markets equity markets, and the commodity market have a positive impact on Italian FoHF performances, while the US Bond Market negatively affects them. Moreover, we find performance fees and notice days to have a negative impact on funds performances. Finally, we test the presence of performance persistence. Employing two different nonparametric methods, we find that funds performances are persistent on a monthly and quarterly basis, while the regression-based parametric method provides evidence of persistence only on a monthly basis.     

Hooliganism and Demand for Football in Italy: Attendance and Counterviolence Policy Evaluation

This paper empirically investigates the relationship between stadium attendance, hooliganism and counter‐violence policy measures in Italian Serie A. In particular, this paper analyses the impact of counter‐hooliganism policies adopted in 2007 on the quantity of game tickets sold. The counter‐hooliganism measures, grounded on an entry card, namely a ‘fidelity card’, were designed to keep out hooligans from stadiums so favouring the attendance of either occasional spectators or uncommitted fans. According to our econometric investigation the expected substitution between committed fans and uncommitted fans did not take shape. In sum, the ‘fidelity card’ did not turn to be successful if evaluated on the average attendance perspective.     

Multiple Levels of Corporate Sustainability

According to Dr. Clare Graves, mankind has developed eight core value systems,1 as responses to prevailing circumstances. Given different contexts and value systems, a one-solution-fits-all concept of corporate sustainability is not reasonable. Therefore, this paper presents various definitions and forms of sustainability, each linked to specific (societal) circumstances and related value systems. A sustainability matrix– an essential element of the overall European Corporate Sustainability Framework – is described showing six types of organizations at different developmental stages, with different forms of corporate sustainability, each supported by specific institutional arrangements.     

Personality characteristics and the decisions to become and stay self-employed

Based on a large, representative German household panel, we investigate to what extent the personality of individuals influences the entry decision into and the exit decision from self-employment. We reveal that some traits, such as openness to experience, extraversion, and risk tolerance affect entry, but different ones, such as agreeableness or different parameter values of risk tolerance, affect exit from self-employment. Only locus of control has a similar influence on the entry and exit decisions. The explanatory power of all observed traits among all observable variables amounts to 30 %, with risk tolerance, locus of control, and openness having the highest explanatory power.