|
on European Economics |
| By: | Eiling,Esther; Gerad,Bruno; Roon,Frans de (Tilburg University, Center for Economic Research) |
| Abstract: | We investigate the relative importance of country and industry factors as determinants of international equity returns in the Euro-zone over the period 1990 to 2003. We conduct our analysis from a portfolio performance perspective, using mean-variance spanning and efficiency tests as well as style analysis, and show how to adjust the tests for time varying market wide volatility. Although unconditional analysis over the full sample suggests that country-based or industry-based EMU-wide portfolios provide similar risk-return trade-offs, a rolling window analysis indicates a striking change in the structure of equity returns in the Euro-zone over the last decade. From 1992 to 1998 country-based strategies outperform industry-based strategies: country based strategies offer higher Sharpe ratios and higher diversification potential as indicated by both spanning tests and style analysis. In the preconvergence period, equity returns in the EMU-zone clearly had a country structure. In contrast, after the introduction of the Euro the country outperformance has disappeared, both in terms of mean-variance efficiency and in terms of mimicking abilities. Industry factors and country factors are now equally important. Our findings suggest that following the adoption of the single currency, Euro-zone sector-based strategies, while not dominating country-based strategies, offer similar risk return trade-offs and diversification benefits. |
| JEL: | G11 G15 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:kubcen:200502&r=eec |
| By: | Clark, Andrew (PSE and IZA Bonn); Postel-Vinay, Fabien (PSE, CREST-INSEE, CEPR and IZA Bonn) |
| Abstract: | We construct indicators of the perception of job security for various types of jobs in 12 European countries using individual data from the European Community Household Panel (ECHP). We then consider the relation between reported job security and OECD summary measures of Employment Protection Legislation (EPL) strictness on one hand, and Unemployment Insurance Benefit (UIB) generosity on the other. We find that, after controlling for selection into job types, workers feel most secure in permanent public sector jobs, least secure in temporary jobs, with permanent private sector jobs occupying an intermediate position. We also find that perceived job security in both permanent private and temporary jobs is positively correlated with UIB generosity, while the relationship with EPL strictness is negative: workers feel less secure in countries where jobs are more protected. These correlations are absent for permanent public jobs, suggesting that such jobs are perceived to be by and large insulated from labor market fluctuations. |
| Keywords: | perceived job security, Employment Protection Legislation, Unemployment Insurance Benefits |
| JEL: | J28 J65 I31 |
| Date: | 2005–02 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp1489&r=eec |
| By: | Oliver Blanchard; Francesco Giavazzi; Filipa Sa |
| Abstract: | There are two main forces behind the large U.S. current account deficits. First, an increase in the U.S. demand for foreign goods. Second, an increase in the foreign demand for U.S. assets. Both forces have contributed to steadily increasing current account deficits since the mid--1990s. This increase has been accompanied by a real dollar appreciation until late 2001, and a real depreciation since. The depreciation has accelerated recently, raising the questions of whether and how much more is to come, and if so, against which currencies, the euro, the yen, or the renminbi. Our purpose in this paper is to explore these issues. Our theoretical contribution is to develop a simple portfolio model of exchange rate and current account determination, and to use it to interpret the past and explore alternative scenarios for the future. Our practical conclusions are that substantially more depreciation is to come, surely against the yen and the renminbi, and probably against the euro. |
| JEL: | E3 F21 F32 F41 |
| Date: | 2005–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:11137&r=eec |
| By: | Francisco Álvarez (Universidad Complutense de Madrid); Gustavo A. Marrero (Universidad Complutense de Madrid); Luis Puch (Universidad Complutense de Madrid. Facultad de CC. Económicas y Empresariales. Dpto. Economía Cuantitativa.) |
| Abstract: | This paper analyses the role of macroeconomic performance in shaping the evolution of air pollutants in a panel of European countries from 1990 to 2000. The analysis is addressed in connection with EU environmental regulation and taking into account macroeconomic performance. We start by documenting the patterns of crosscountry differences among different pollutants. We then interpret these differences within a neoclassical growth model with pollution. Three main pieces of evidence are presented. First, we analyze the existence of convergence of pollution levels within European economies. Second, we rank countries according to its performance in terms of emissions and growth. Third, we evaluate the evolution of emissions in terms of the targets signed for 2010. |
| Date: | 2004 |
| URL: | http://d.repec.org/n?u=RePEc:ucm:doicae:0406&r=eec |
| By: | Canoy,Marcel; Ours,Jan C. van; Ploeg,Frederick van der (Tilburg University, Center for Economic Research) |
| Abstract: | The tensions between books and book markets as expressions of culture and books as products in profit-making businesses are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for books through laws concerning prices of books, grants for authors and publishers, a lower value-added tax, public libraries and education in order to stimulate the diversity of books on offer, increase the density of retail outlets and to promote reading. An overview of the different ways by which countries differ in terms of market structures and government policies is given. Particular attention is paid to retail price maintenance. Due to differences between European countries it is not a good idea to harmonise European book policies. Our analysis suggests that the book market seems quite able to invent solutions to specific problems of the book trade and that, apart from promoting reading, there is little need for government intervention. |
| JEL: | Z11 D4 D6 L1 L4 |
| Date: | 2005 |
| URL: | http://d.repec.org/n?u=RePEc:dgr:kubcen:200513&r=eec |