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John Doe's Old-Age Provision: Dollar Cost Averaging and Time Diversification
Ulbricht, Dirk - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
&P and downward trending Nikkei, are compared. In conclusion, average investor's risk and return ratios improve with horizon …
Persistent link: https://www.econbiz.de/10010896192
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Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles
Herwartz, Helmut; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
We assess the contribution of macroeconomic uncertainty -- approximated by the dispersion of the real GDP survey forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years, two alternative binary chronologies of bubble periods...
Persistent link: https://www.econbiz.de/10010896191
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In-Sample and Out-of-Sample Prediction of Stock Market Bubbles: Cross-Sectional Evidence
Herwartz, Helmut; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2011
We evaluate the informational content of ex post and ex ante predictors of periods of excess stock (market) valuation. For a cross section comprising 10 OECD economies and a time span of at most 40 years alternative binary chronologies of price bubble periods are determined. Using these...
Persistent link: https://www.econbiz.de/10009371745
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Measuring Inequality Using Censored Data: A Multiple Imputation Approach
Jenkins, Stephen P.; Burkhauser, Richard V.; Feng, … - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2009
To measure income inequality with right censored (topcoded) data, we propose multiple imputation for censored observations using draws from Generalized Beta of the Second Kind distributions to provide partially synthetic datasets analyzed using complete data methods. Estimation and inference...
Persistent link: https://www.econbiz.de/10005069117
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Effekte einer Arbeitszeitverkürzung: empirische Evidenz für Frankreich
Logeay, Camille; Schreiber, Sven - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2003
In diesem Papier wird an Hand eines Vektorfehlerkorrekturmodells (VECM) für den französischen Arbeitsmarkt untersucht, wie sich die dort Anfang 2000 eingeführte Verkürzung der Regelarbeitszeit in Verbindung mit Subventionen der Sozialversicherungsbeiträge ausgewirkt hat. Theoretisch sind...
Persistent link: https://www.econbiz.de/10005068646
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What Influences Banks' Choice of Risk Management Tools?: Theory and Evidence
Bülbül, Dilek; Hakenes, Hendrik; Lambert, Claudia - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2013
This paper investigates the factors influencing banks' decision to engage in advanced risk management, from both a … theoretical and an empirical perspective. In recent decades, credit risk management in banks has become highly sophisticated and … banks have become more active and advanced in the management of credit risks. We identify two driving factors for risk …
Persistent link: https://www.econbiz.de/10011128841
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Do Media Data Help to Predict German Industrial Production?
Kholodilin, Konstantin A.; Thomas, Tobias; Ulbricht, Dirk - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2014
Expectations form the basis of economic decisions of market participants in an uncertain world. Sentiment indicators reflect those expectations and thus have a proven track record for predicting economic variables. However, respondents of surveys perceive the world to a large extent with the...
Persistent link: https://www.econbiz.de/10010786994
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Using the Dynamic Bi-Factor Model with Markov Switching to Predict the Cyclical Turns in the Large European Economies
Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006
The appropriately selected leading indicators can substantially improve the forecasting of the peaks and troughs of the business cycle. Using the novel methodology of the dynamic bi-factor model with Markov switching and the data for the three largest European economies (France, Germany, and UK)...
Persistent link: https://www.econbiz.de/10004963897
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Forecasting the Turns of German Business Cycle: Dynamic Bi-factor Model with Markov Switching
Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2005
In this paper a dynamic bi-factor model with Markov switching is proposed to measure and predict turning points of the German business cycle. It estimates simultaneously the composite leading indicator (CLI) and composite coincident indicator (CCI) together with corresponding probabilities of...
Persistent link: https://www.econbiz.de/10005068644
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On Selection of Components for a Diffusion Index Model: It's not the Size, It's How You Use It
Siliverstovs, Boriss; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2006
This paper suggests a novel approach to pre-selection of the component series of the diffusion index based on their individual forecasting performance. It is shown that this targeted selection allows substantially improving the forecasting ability compared to the diffusion index models that are...
Persistent link: https://www.econbiz.de/10005068735