Seit der globalen Finanzmarktkrise des Jahres 2007 kam es zu einer Reihe von außergewöhnlichen liquiditätserweiternden Maßnahmen durch die Europäische Zentralbank. Ziel war und ist es, die Unsicherheit auf dem Interbankenmarkt zu reduzieren und die stockende Kreditvergabe an die...

Parametric regression models are often not flexible enough to capture the true relationships as they tend to rely on arbitrary identification assumptions. Using the UK Labor Force Survey, the authors estimate the causal effect of national minimum wage (NMW) increases on the probability of job...

International migration alters the socio-economic conditions of the individuals and families migrating as well as the host and sending countries. The data to study and to track these movements, however, are largely inadequate or missing. Understanding the reasons for these data limitations and...

The bonus-malus system is one of the stages of the ratemaking process in motor liability insurance. The purpose of the work is to discuss the role of the bonus-malus systems in the ratemaking and to present their functions. The article reviews the measures for assessment of the ratemaking...

Electricity distribution operators are regulated as monopolies around the world. Incentive regulation is further applied to relate their allowed revenues (revenue cap) to cost efficiency and investment. Incentive regulation varies cross countries and has evolved over time for individual...

The traditional time series methodology requires at least a preliminary transformation of the data to get stationarity. On the other hand, robust Bayesian dynamic models (RBDMs) do not assume a regular pattern or stability of the underlying system but can include points of statement breaks. In...

Over the last decades, the estimation of the slack in the economy has become an essential piece of analysis for policymakers, both on the monetary policy and the fiscal policy front. Output gap estimation techniques have flourished accordingly, although there is no consensus on a best-performing...

The assumption that equity returns follow the normal distribution, most commonly made in financial economics theory and applications, is strongly rejected by empirical evidence presented in this paper. As it was found in many other studies, we confirm that stock returns follow a leptokurtic...

This paper considers a linear panel data model with time varying heterogeneity. Bayesian inference techniques organized around Markov chain Monte Carlo (MCMC) are applied to implement new estimators that combine smoothness priors on unobserved heterogeneity and priors on the factor structure of...

The valuation of options and many other derivative instruments requires an estimation of exante or forward looking volatility. This paper adopts a Bayesian approach to estimate stock price volatility. We find evidence that overall Bayesian volatility estimates more closely approximate the...