Measuring stress in money markets: A dynamic factor approach

We extract an index of interest rate spreads from various money market segments to assess the level of funding stress in real time. We find that during the 2007–2009 financial crisis, money markets switched between low and high stress regimes except for brief periods of extreme stress. Transitions to lower stress regimes are typically associated with the non-standard policy measures by the Federal Reserve.     

A note on the returns from minimum variance investing

Disappointed with the performance of market weighted benchmark portfolios yet skeptical about the merits of active portfolio management, investors in recent years turned to alternative index definitions. Minimum variance investing is one of these popular concepts. I show in this paper that the portfolio construction process behind minimum variance investing implicitly picks up risk-based pricing anomalies. In other words the minimum variance tends to hold low beta and low residual risk stocks. Long/short portfolios based on these characteristics have been associated in the empirical literature with risk adjusted outperformance. This paper shows that 83% of the variation of the minimum variance portfolio excess returns (relative to a capitalization weighted alternative) can be attributed to the FAMA/FRENCH factors as well as to the returns on two characteristic anomaly portfolios. All regression coefficients (factor exposures) are highly significant, stable over the estimation period and correspond remarkably well with our economic intuition. The paper also shows that a direct combination of market weighted benchmark portfolio and risk based characteristic portfolios will provide a statistically significant improvement over the indirect pickup via the minimum variance portfolio.     

Rising wage inequality,the decline of collective bargaining,and the gender wage gap

This paper investigates the increase in wage inequality, the decline in collective bargaining, and the evolution of the gender wage gap in West Germany between 2001 and 2006. Based on detailed linked employer–employee data, we show that wage inequality is rising strongly — driven not only by real wage increases at the top of the wage distribution, but also by real wage losses below the median. Coverage by collective wage bargaining plummets by 16.5 (19.1) percentage points for male (female) employees. Despite these changes, the gender wage gap remains almost constant, with some small gains for women at the bottom and at the top of the wage distribution. A sequential decomposition analysis using quantile regression shows that all workplace related effects (firm effects and bargaining effects) and coefficients for personal characteristics contribute strongly to the rise in wage inequality. Among these, the firm coefficients effect dominates, which is almost exclusively driven by wage differences within and between different industries. Labor demand or firm wage policy related effects contribute to an increase in the gender wage gap. Personal characteristics tend to reduce wage inequality for both males and females, as well as the gender wage gap.     

Estimating exchange rate dynamics with diffusion processes: an application to Greek EMU data

Recently various exchange rate models capturing the dynamics during the transition from an exchange rate arrangement of floating rates into a currency union have been derived. Technically, these stochastic equilibrium models are diffusion processes which have to be estimated by discretely sampled observations. Using daily exchange rate data prior to the Greek EMU-entrance on 1 January 2001, we develop a rigorous estimation procedure. Our estimates point to an increasing interventionist economic policy in the run-up to the Greek EMU entrance. A comparison of this econometric indication with policy information provided (ex-post) by the Bank of Greece (BoG) in its Annual Report 2000 reveals that the BoG indeed pursued such an active policy stance (so-called institutional frontloading strategies).      

Global and Country‐Specific Output Growth Uncertainty and Macroeconomic Performance

We identify global and country‐specific measures of output growth uncertainty for a large OECD country sample by means of a dynamic factor model with stochastic volatility. We find evidence for major bouts of global uncertainty in the early 1970s and late 2000s, and a number of periods with elevated levels of either global or national uncertainty, particularly in the early 1980s, 1990s and 2000s. VAR impulse responses of national macroeconomic variables to our estimated measures of uncertainty reveal that global uncertainty is the major driver of macroeconomic performance in most countries, whereas the impact of national uncertainty is small and frequently insignificant. We also find that uncertainty is transmitted primarily through investment and trade flows rather than through consumption demand.     

Die Liberalisierung des Wohlfahrtsstaates und ihre Herausforderungen für das Pflegemanagement der Zukunft

Heilberufe - Die Liberalisierung des Wohlfahrtsstaates, ausgelöst durch den zunehmend globali sierten Wettbewerb, wird in der Zukunft auch wesentliche Auswirkungen auf die Anforderungen an die...     

Contextual priming of visual information in advertisements

Can the program context significantly influence the perception of an ad? Past advertising research has demonstrated contextual priming effects on the verbal part of an ad. Using public service and clothing advertisements, the present two experiments provide evidence for priming effects on visual components. Moreover, in extensive debriefing sessions, participants reported that they were not consciously aware of the influence of the contextual prime-suggesting the presence of implicit memory effects. Future research should focus on advertisements containing both verbal and visual information to better understand context influences on advertisements. 1994 John Wiley & Sons, Inc.     

Spatial Competition with an Outside Good and Distributed Reservation Prices

In this paper, we analyze spatial competition within the framework of a Hotelling model with quadratic transportation costs and an outside option. The new feature of our approach is that consumers are uniformly distributed not only along the Hotelling line but also with regard to reservation prices. It turns out that in this particular model, duopolists always locate their shops exactly at the first and third quartile of the consumer distribution – i.e., at the socially optimal locations. Moreover, with uniformly distributed reservation prices, less than seventy percent of the consumers buy the good, and profits are less than fifteen percent of those in the standard model without an outside option. Received February 7, 2001; revised version received March 27, 2002 Published online: November 11, 2002