We show in the paper that the decomposition proposed by Beveridge and Nelson (1981) for models that are integrated of order one can be generalized to seasonal Arima models by means of a partial fraction decomposition. Two equivalent algorithms are proposed to optimally (in the mean squared...

Germany and the United States are generally seen as the two competing systems of corporate governance. In search for a comparative welfare analysis of the financial systems, we are interested in (i) the aggregate value-added of corporate investments in the two countries and in (ii) the...

We reexamine the expectations theory of the term structure focusing on the question how monetary policy actions indicated by changes in the very short rate affect long-term interest rates. Our main point is that the expectations hypothesis implies that very long rates should only react to...

A small macroeconomicmodel is constructed starting from a German money demand relation for M3 based on quarterly, seasonally unadjusted data for the period from 1976 to 1996. In contrast to previous studies we build a vector error correction model for M3, GNP, an inflation rate and an interest...

A small macroeconomic model is constructed to study the transmission of the monetary policy conducted by the Deutsche Bundesbank (DBB) since the middle of the 1970s. For this purpose quarterly, seasonally unadjusted data for the period from 1975 to 1998 are used, that is, the period until the...

The theory of career mobility (Sicherman and Galor 1990) claims that wage penalties for overeducated workers are compensated by better promotion prospects. Sicherman (1991) was able to confirm this theory in an empirical study. However, the controls for the opposing phenomenon of undereducation...

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

This paper studies signs and reasons of decline of job stability in West Germany. Using data from the German Socio-Economic Panel 1984-1997, we look at two measures for job stability. Based on repeated cross sectional data we first show that medium elapsed tenure declined for men. Secondly, we...

The impact of general and specific training on income and mobility is an important issue for the discussion around human capital as well as the design of educational systems. Using data from two retrospective life-history surveys this paper examines the impact of more general school-based...

Amid lively debate on the consequences of temporary employment, the paper examines the wages and transitions of temporary employees in Germany using socio-economic panel data from the late 1990s. Compared to simple OLS estimates, using a fixed effects model decreases wage differentials between...