Macroeconomic Factors and Micro-Level Bank Risk
Claudia M. Buch
Bundesbank Discussion Paper 20/2010,
2010
Abstract
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal Funds rate, house price inflation, and a set of factors summarizing conditions in the banking sector. We use data of more than 1,500 commercial banks from the U.S. call reports to address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are the sources of bank heterogeneity, and what explains differences in individual banks’ responses to macroeconomic shocks? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary shocks. (ii) The heterogeneity of banks is characterized by idiosyncratic shocks and the asymmetric transmission of common shocks. Risk of about 1/3 of all banks rises in response to a monetary loosening. The lending response of small, illiquid, and domestic banks is relatively large, and risk of banks with a low degree of capitalization and a high exposure to real estate loans decreases relatively strongly after expansionary monetary policy shocks. Also, lending of larger banks increases less while risk of riskier and domestic banks reacts more in response to house price shocks.
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Bildungsbeteiligung
Mirko Titze, Matthias Brachert
Peer Pasternack (ed.), Regional gekoppelte Hochschulen. Die Potenziale von Forschung und Lehre für demografisch herausgeforderte Regionen. Institut für Hochschulforschung (HoF): Wittenberg,
2013
Abstract
Gut qualifizierte Erwerbspersonen sind eine Voraussetzung für die internationale Wettbewerbsfähigkeit einer Region. Daraus leitet sich die Bildungsfunktion der Hochschulen ab. In welchem Ausmaß Kapazitäten für die Bildungsfunktion eingeplant werden müssen, hängt unter anderem von der Anzahl der Studienanfänger und der Betreuungsrelation ab. Wir betrachten dies hier für sechs exemplarische Raumordnungsregionen in west- und ostdeutschen Bundesländern.
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Skill Content of Intra-european Trade Flows
Götz Zeddies
European Journal of Comparative Economics,
No. 1,
2013
Abstract
In recent decades, the international division of labor has expanded rapidly in the wake of European integration. In this context, especially Western European high-wage countries should have specialized on (human-)capital intensively manufactured goods and should have increasingly sourced labor-intensively manufactured goods, especially parts and components, from Eastern European low wage countries. Since this should be beneficial for the high-skilled and harmful to the lower-qualified workforce in high-wage countries, the opening up of Eastern Europe is often considered as a vital reason for increasing unemployment of the lower-qualified in Western Europe. This paper addresses this issue by analyzing the skill content of Western European countries’ bilateral trade using input-output techniques in order to evaluate possible effects of international trade on labor demand. Thereby, differences in factor inputs and production technologies have been considered, allowing for vertical product differentiation. In this case, skill content of bilateral exports and imports partially differs substantially, especially in bilateral trade between Western and Eastern European countries. According to the results, East-West trade should be harmful particularly to the medium-skilled in Western European countries.
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Gauging the Effects of Fiscal Stimulus Packages in the Euro Area
Mathias Trabandt, Roland Straub, Günter Coenen
Journal of Economic Dynamics and Control,
No. 2,
2013
Abstract
We seek to quantify the impact on euro area GDP of the European Economic Recovery Plan (EERP) enacted in response to the financial crisis of 2008–2009. To do so, we estimate an extended version of the ECB's New Area-Wide Model with a richly specified fiscal sector. The estimation results point to the existence of important complementarities between private and government consumption and, to a lesser extent, between private and public capital. We first examine the implied present-value multipliers for seven distinct fiscal instruments and show that the estimated complementarities result in fiscal multipliers larger than one for government consumption and investment. We highlight the importance of monetary accommodation for these findings. We then show that the EERP, if implemented as initially enacted, had a sizeable, although short-lived impact on euro area GDP. Since the EERP comprised both revenue and expenditure-based fiscal stimulus measures, the total multiplier is below unity.
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Human Capital Mobility and Regional Convergence
Lutz Schneider, Alexander Kubis
Regional Studies,
2012
Abstract
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Human Capital Mobility and Convergence – A Spatial Dynamic Panel Model of the German Regions
Alexander Kubis, Lutz Schneider
Abstract
Since the fall of the iron curtain in 1989, the migration deficit of the Eastern part of Germany has accumulated to 1.8 million people, which is over ten percent of its initial population. Depending on their human capital endowment, these migrants might either – in the case of low-skilled migration – accelerate or – in high-skilled case – impede convergence. Due to the availability of detailed data on regional human capital, migration and productivity growth, we are able to test how geographic mobility affects convergence via the human capital selectivity of migration. With regard to the endogeneity of the migration flows and human capital, we apply a dynamic panel data model within the framework of β-convergence and account for spatial dependence. The regressions indicate a positive, robust, but modest effect of a migration surplus on regional productivity growth. After controlling for human capital, the effect of migration decreases; this decrease indicates that skill selectivity is one way that migration impacts growth.
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Human Capital Mobility and Convergence. A Spatial Dynamic Panel Model of the German Regions
Alexander Kubis, Lutz Schneider
Abstract
Since the fall of the iron curtain in 1989, the migration deficit of the Eastern part of Germany has accumulated to 1.8 million people, which is over 10 percent of its ini-tial population. Depending on their human capital endowment, these migrants might either – in the case of low-skilled migration – accelerate or – in high-skilled case– impede convergence. Due to the availability of detailed data on regional human capital, migration and productivity growth, we are able to test how geographic mobil-ity affects convergence via the human capital selectivity of migration. With regard to the endogeneity of the migration flows and human capital, we apply a dynamic panel data model within the framework of β-convergence and account for spatial depend-ence. The regressions indicate a positive, robust, but modest effect of a migration surplus on regional productivity growth. After controlling for human capital, the effect of migration decreases; this decrease indicates that skill selectivity is one way that migration impacts growth.
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The Determinants of Inward Foreign Direct Investment in Business Services Across European Regions
Davide Castellani
Finanza e Statistica 104/2012,
2012
Abstract
The paper accounts for the determinants of inward foreign direct investment in business services across the EU-27 regions. Together with the traditional variables considered in the literature (market size, market quality, agglomeration economies, labour cost, technology, human capital), we focus on the role of forward linkages with manufacturing sectors and other service sectors as
attractors of business services FDI at the regional level. This hypothesis is based on the evidence that the growth of business services is mostly due to increasing intermediate demand by other services industries and by manufacturing industries and on the importance of geographical proximity for forward linkages in services.
To our knowledge, there are no studies investigating the role of forward linkages for the location of FDI. This paper aims therefore to fill this gap and add to the FDI literature by providing a picture of the specificities of the determinants of FDI in business services at the regional level. The empirical analysis draws upon the database fDi Markets, from which we selected projects having as a destination NUTS 2 European regions in the sectors of Business services over the period 2003-2008. Data on FDI have been matched with data drawn from the Eurostat Regio
database. Forward linkages have been constructed using the OECD Input/Output database. By estimating a negative binomial model, we find that regions specialised in those (manufacturing) sectors that are high potential users of business services attract more FDI than other regions. This confirms the role of forward linkages for the localisation of business service FDI, particularly in the case of manufacturing.
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Initial Evidence from a New Database on Capital Market Restrictions
Makram El-Shagi
Panoeconomicus,
No. 3,
2012
Abstract
One of the key obstacles to the empirical analysis of capital controls has been the unavailability of a detailed set of indicators for controls that cover a broad set of countries over a range of years. In this paper, we propose a new set of indicators derived from the Annual Reports on Exchange Arrangements and Export Restrictions. Contrary to most earlier attempts to construct control indicators from this source, our set of indices allows one to analyze the control intensity separately for inflow, outflow and repatriation controls. An additional set of indicators features information on the institutional design of controls. At first glance, the data show that the financial crisis caused a surge in capital market restrictions, most notably concerning the derivatives market. This reflex, which is not justified by the scarce empirical evidence on the success of controls, shows the importance of having a valid measure to allow an econometrically sound policy evaluation in this field. The data are available from the author upon request.
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The Productivity Effect of Temporary Agency Work: Evidence from German Panel Data
Boris Hirsch, Steffen Müller
Economic Journal,
No. 562,
2012
Abstract
This study investigates the effect of temporary agency work on the user firm’s productivity. We hypothesise that using temporary agency work to enhance numerical flexibility and to screen job candidates may increase productivity, whereas temporary workers’ lower firm-specific human capital and spillover effects on the user’s permanent employees may adversely affect productivity. Other than the sparse existing literature on this issue, we exploit a large panel data set and control for time-invariant and time-varying unobserved heterogeneity by using the system GMM estimator. We find a robust hump-shaped effect of the extent of temporary agency work on the user firm’s productivity.
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