In this paper, we develop and apply Bayesian inference for an extended Nelson-Siegel (1987) term structure model capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in the underlying yield factors. We propose a Markov...

This paper investigates the macroeconomic effects of uncertainty originating in the financial sector. My contribution is twofold. First, I document empirical relevenace of financial uncertainty using SVAR methods. Then, I employ the DSGE framework developed by Gertler and Karadi (2011) to...

We propose to exploit stochastic volatility for statistical identification of Structural Vector Autoregressive models (SV-SVAR). We discuss full and partial identification of the model and develop efficient EM algorithms for Maximum Likelihood inference. Simulation evidence suggests that the...

In this article I set out to present the situation in terms of unemployment rate, the number of registered unemployed but also the share of unemployed nationwide in the period 2020-2021. Due to the Covid-19 pandemic, the unemployment rate has increased considerably. The provisions of the...

In Germany, due to special rules 15- to 24-year-old welfare recipients, registered with Public Employment Office, are highly targeted by mandatory activation policies. This paper investigates the effects of the special rules in terms of enhancing the (re-)employment probability, increasing...

Similar looking Lorenz Curves can imply very different income density functions and potentially lead to wrong policy implications regarding inequality. This paper derives a relation between a Lorenz Curve and the modality of its underlying income density: Given a parametric Lorenz Curve, it is...

Viticulture is an important activity in Romania, with a tradition since ancient times, it is ideal to cultivate especially for its geographical position and pedo-climatic conditions. In Romania, the area under vines is decreasing between 2015 and 2021, while total grape production is increasing...

This paper improves the estimation procedure of the Multifractal Random Walk model by means of an optimal iterated Generalized Method of Moments (GMM) estimator using an enhanced moments function. We report good estimation results within the scope of a Monte Carlo simulation study, with normally...

Bringing welfare recipients into jobs is a major goal of German labour market policy since a reform of the year 2005. Direct job creation providing participants with tem-porary subsidized jobs mainly in the non-profit sector plays an important role for achieving this goal. There are three...

This paper considers estimation methods and inference for linear dynamic panel data models with unit-specific heterogeneity and a short time dimension. In particular, we focus on the identification of the coefficients of time-invariant variables in a dynamic version of the Hausman and Taylor...