We investigate the effect of estimation error on backtests of (multi-period) expected shortfall (ES) forecasts. These backtests are based on first order conditions of a recently introduced family of jointly consistent loss functions for Value-at-Risk (VaR) and ES. We provide explicit expressions...

We propose a semiparametric estimator to determine the effects of explanatory variables on the conditional interquantile expectation (IQE) of the random variable of interest, without specifying the conditional distribution of the underlying random variables. IQE is the expected value of the...

Some 2000 years ago, the average annual distance a person would normally travel, was approximately 500 km. The action radius of most people remained rather stable, but it rose gradually after the industrial revolution to some 1820 km (by car, bus, railway or aircraft) in the year 1960. Then, a...

We study whether technology gains in sectors related to Information and Communications Technology (ICT) increase productivity in the rest of the economy. To separate exogenous gains in ICT from other technological progress, we use the relative price of ICT goods and services in a structural VAR...

This paper provides technical documentation to a database built up from firm-level sources titled Micro moments database(MMD) that is made available for researchers through Eurostat. The MMD is an internationally harmonized research database of statistical moments collected from linked...

This paper develops new measures of the task content of occupations that are based on the International Standard Classification of Occupations 2008 (ISCO-08). Using a detailed set of 3,264 occupation-specific tasks, we construct five measures of non-routine analytic, non-routine interactive,...

To what extent can technological advances in the production of capital account for the recent, worldwide decline in the labor income share? We pose two challenges to the automation narrative: first, estimates of the elasticity of substitution (EOS) between capital and labor tend to fall below or...

Between 1999 and 2006, Brazilian cities experienced strong growth in the provision of internet services, driven in part by the privatization of the telecommunications industry. A main concern of policymakers is that digital technology replaces routine, manual tasks, displacing lower-skilled...

Despite massive digitization efforts, the German economy has experienced a marked slowdown in its productivity growth. This paper analyzes the reasons behind this disconcerting development. A major factor is the turnaround of the labor market that commenced around 2005. The successful...

This study examines the causal influence of digital technologies, specifically operational (ODT) and information digital technologies (IDT), on firms’ employment structure using Italian firm-level data. It employs a unique empirical approach, constructing instrumental variables based on...