Filter-design and model-based analysis of trends and cycles in the presence of outliers and structural breaks

A large proportion of today’s econometric literature addresses the question of whether long run GDP follows a random walk or a log linear trend with one or more structural breaks. Much less attention is paid to the modelling of the long run trend and cycle component. In most studies, the trend is simply eliminated by taking first differences of the log of the series without considering the implications of this kind of trend removal for growth and cycles. Filter design and model-based approaches are used here to assess the long run trend and the cyclical component of Chile’s per capita GDP from 1820 to 2007. Careful attention is paid to outliers and trend breaks and how they influence the appraisal of the components. We show that filter and model-based approaches give comparable results if the filter and model parameters are not chosen mechanically but tailor-made for the time series to be investigated.     

Credit risk and bank margins in structured financial products: Evidence from the German secondary market for discount certificates

This study analyzes bank margins in the German secondary market for exchange‐traded structured financial products, with particular emphasis on the influence of banks' credit risk. A structural model allowing for the incorporation of correlation effects between market and credit risk is applied to compare quoted and fair theoretical prices. For discount certificates, as the most popular type of structured financial products in Germany, an empirical study is conducted. Compared to earlier studies, total margins are found to be rather low, whereas the portion that draws back to credit risk appears to be a material part of the total margin. © 2008 Wiley Periodicals, Inc. Jrl Fut Mark 28: 376–397, 2008     

Less Developed Countries,Tourism Investments and Local Economic Development

This paper analyzes the forward linkages of a multinational's investment in a resort that kicks off tourism activity in a less developed country. We show that, under quite natural assumptions, overnight stays are increasing in the number of differentiated tourism‐related goods and services. These goods and services, if supplied by the local community, represent forward linkages of FDI in tourism. We investigate the multinational's incentives to promote, reduce or eliminate these forward linkages and the effectiveness of some policy instruments available to a local government to leverage on the presence of FDI and to stimulate domestic entrepreneurship.     

Designing a European restructuring mechanism without taxpayers’ money

The European Commission’s approach to the supervision and restructuring of the EU banking system has numerous shortcomings. As an alternative, this article proposes a European Resolution Authority and a European Restructuring Fund for systemically important banks and the implementation of a levy paid by banks in accordance with their systemic relevance. This levy should be designed to reduce the risk of future bailouts and the moral hazard inherent in implicit government guarantees.     

Prospective NATO or EU membership and institutional change in transition countries1

This article quantifies the impact of incentives related to potential membership on institutional change as measured by the World Bank Governance Indicators. Based on a panel of 25 transition countries for the period from 1996 to 2008, we show that pre‐accession incentives provided by EU and NATO clearly matter for institutional development. In addition, path‐dependency determined by cultural norms may be overcome by economic liberalization, while foreign aid hampers institutional development.     

Health care reform and the number of doctor visits—an econometric analysis

This paper evaluates the German health care reform of 1997, using the individual number of doctor visits as outcome measure and data from the German Socio‐Economic Panel for the years 1995–1999. A number of modified count data models allow us to estimate the effect of the reform in different parts of the distribution. The overall effect of the reform was a 10% reduction in the number of doctor visits. The effect was much larger in the lower part of the distribution than in the upper part. Copyright © 2004 John Wiley & Sons, Ltd.