Works councils are the most important pillar of workplace industrial relations in Germany but little is known of their economic effects. The paper uses a modern, large-scale dataset to examine this issue. Consonant with recent applied theoretical conjectures, it is found that works councils are...

We suggest a robust form of conditional moment test as a constructive test for functional misspecification in multiplicative error models. The proposed test has power solely against violations of the conditional mean restriction but is not affected by any other type of model misspecification....

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

A huge body of empirical and theoretical literature has emerged on the relationship between foreign exchange (FX) uncertainty and international trade. Empirical findings about the impact of FX uncertainty on trade figures are at best weak and often ambiguous with respect to its direction. Almost...

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive (VAR) models. In advance, a principal components analysis (PCA) is adopted to reduce the dimensionality of the term structure. To evaluate ex-ante forecasting performance for...

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...