The availability of quantity information along with expenditure information in some household surveys allows the estimation of price reactions on the basis of unit values. We compare two specifications that have been proposed in this context by Deaton (1990) and Crawford et al. (1997) in order...

This study analyzes the impact of COVID-19 deniers on the spread of COVID-19 in Germany. In a first step, we establish a link between regional proxies of COVID-19 deniers and infection rates. We then estimate the causal impact of large anti-lockdown protests on the spread of COVID-19 using an...

In this work, I study the impact of high-frequency trading (HFT) on price discovery and volatility in the Bund futures market. Using a new dataset based on microseconds, the focus of the study is on the reaction of high-frequency traders (HFTs) to major macroeconomic news events. I show that...

This paper evaluates the profitability of applying four different volatility forecasting models to the trading of straddles on the German stock market index DAX. Special care has been taken to use simultaneous intra-day prices and realistic transaction costs. Furthermore, straddle positions were...

This paper uncovers ongoing trends in idiosyncratic earnings volatility across generations by decomposing residual earnings auto-covariances into a permanent and a transitory component. We employ data on complete earnings life cycles for prime age men born 1935 through 1974 that covers earnings...

Deploying data from the German Socio-Economic Panel (GSOEP) we analyze the variability of individual earnings and equivalent household income. Permanent and transitory variances of male income over the period 1984-2008 are estimated for Old German Laender in order to determine their importance...

Extant literature consistently documents that investors tilt their domestic equity portfolios towards regionally close stocks (local bias). We hypothesize that individual investors’ local bias is not limited to the domestic sphere but instead also determines their international investment...

This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the Public Sector Purchase Program (PSPP) of the ECB/Eurosystem. This paper is the first to match high-frequency QE purchase...

Climate change causes natural disasters to occur at higher frequency and increased severity. Using a unique dataset on German banks, this paper explores how regionally less diversified banks in Germany adjusted their loan loss provisioning following the severe summer flood of 2013, which...