nep-eec New Economics Papers
on European Economics
Issue of 2008‒07‒30
23 papers chosen by
Giuseppe Marotta
University of Modena and Reggio Emilia

  2. How Has the Euro Changed the Monetary Transmission? By Jean Boivin; Marc P. Giannoni; Benoît Mojon
  3. Scale, Diversity, and Determinants of Labour Migration in Europe By Zaiceva, Anzelika; Zimmermann, Klaus F.
  4. Potential output growth in several industrialised countries: a comparison By Christophe Cahn; Arthur Saint-Guilhem
  5. Who's afraid of an EU tax and why? : revenue system preferences in the European Parliament By Heinemann, Friedrich; Mohl, Philipp; Osterloh, Steffen
  6. The European Union and the relationship with its neighbours: the development of the European Neighbourhood Policy By Grandi, Silvia
  7. Sovereign bond market integration: the euro, trading platforms and globalization By Schulz, Alexander; Wolff, Guntram B.
  8. Centralized Wage Determination and Regional Unemployment Differences: The Case of Italy By Caponi, Vincenzo
  9. Banking Transformation (1989 - 2006) in Central and Eastern Europe - With Special Reference to Balkans By Stephan Barisitz
  10. The European Carbon Market In Action: Lessons From The First Trading Period. Interim Report By Frank Convery; Christian De Perthuis; Denny Ellerman
  11. Legacy Effects in Radical Innovation: A Study of European Internet Banking By Erik H. Schlie; Jaideep C. Prabhu; Rajesh K. Chandy
  12. Cyclical asymmetry in fiscal variables By Fabrizio Balassone; Maura Francese; Stefania Zotteri
  13. Earnings Management and Contest to the Control: An Analysis of European Family Firms By Jara-Bertin, Mauricio; López-Iturriaga, Félix J.
  14. Has globalisation changed the Phillips curve? Firm-level evidence on the effect of activity on prices By Eugenio Gaiotti
  15. Exploring the Nexus between Banking Sector Reform and Performance: Evidence from Newly Acceded EU Countries By Sophocles N. Brissimis; Manthos D. Delis; Nikolaos I. Papanikolaou
  16. Drivers and Effects of Internationalising Innovation by SMEs By Rammer, Christian; Schmiele, Anja
  17. Inequality in Belarus from 1995 to 2005 By Maksim Yemelyanau
  18. Examining the Gender Wealth Gap in Germany By Eva M. Sierminska; Joachim R. Frick; Markus M. Grabka
  19. A review of the German mandatory deposit for one-way drinks packaging and drinks packaging taxes in Europe By Markus Groth
  20. Flexicurity and Workers Well-Being in Europe: Is Temporary Employment Always Bad? By Federica Origo; Laura Pagani
  21. German Works Councils and the Anatomy of Wages By John T. Addison; Paulino Teixeira; Thomas Zwick
  22. Determinants of European banks‘ engagement in loan securitization By Bannier, Christina E.; Hänsel, Dennis N.
  23. Labor Supply after Transition: Evidence from the Czech Republic By Alena Bicakova; Jiri Slacalek; Michal Slavik

  1. By: Athina Zervoyianni (University of Patras, Greece and The Rimini Centre for Economic Analysis)
    Abstract: This paper explores the relation between trade flows and cross-country symmetry of supply and demand shocks using data from the EU27 countries. Increased bilateral trade intensity is found to have a positive impact on the correlation of both demand and supply shocks. Intra-industry trade is found to be positively linked to correlations of supply-side shocks but negatively linked to correlation of demand shocks. Our results thus provide support for the argument that aggregate demand spill-overs and intra-industry trade, rather than specialization, dominate in the process through which trade flows affect the cross-country transmission of shocks in Europe. At the same time, our estimates suggest that monetary-policy convergence in Europe (the circulation of the euro), while having increased symmetry of supply-side shocks, has had no direct favourable impact on symmetry of demand shocks. By contrast, the process of fiscal-policy convergence is found to have resulted in more correlated demand shocks across the EU member states. Classification-JEL: F4, F15, E32
    Keywords: convergence of shocks; trade flows; European integration; cyclical macroeconomic fluctuations
    Date: 2008–01
  2. By: Jean Boivin; Marc P. Giannoni; Benoît Mojon
    Abstract: This paper characterizes the transmission mechanism of monetary shocks across countries of the euro area, documents how this mechanism has changed with the introduction of the euro, and explores some potential explanations. The factor-augmented VAR (FAVAR) framework used is sufficiently rich to jointly model the euro area dynamics while permitting the transmission of shocks to be different across countries. We find important heterogeneity across countries in the effect of monetary shocks before the launch of the euro. In particular, we find that German interest-rate shocks triggered stronger responses of interest rates and consumption in some countries such as Italy and Spain than in Germany itself. According to our estimates, the creation of the euro has contributed 1) to a greater homogeneity of the transmission mechanism across countries, and 2) to an overall reduction in the effects of monetary shocks. Using a structural open-economy model, we argue that the combination of a change in the policy reaction function -- mainly toward a more aggressive response to inflation and output -- and the elimination of an exchange-rate risk can explain the evolution of the monetary transmission mechanism observed empirically.
    JEL: C3 D2 E31 E4 E5 F4
    Date: 2008–07
  3. By: Zaiceva, Anzelika (IZA); Zimmermann, Klaus F. (IZA, DIW Berlin and Bonn University)
    Abstract: While global migration is increasing, internal EU migration flows have remained low. This paper contributes to a better understanding of the determinants and scale of European migration. It surveys previous historical experiences and empirical findings including the recent Eastern enlargements. The determinants of migration before and after the 2004 enlargement and in the EU15 and EU10 countries are analysed using individual data on migration intentions. In addition, perceptions about the size of migration after the enlargement are studied. The potential emigrant from both old and new EU member states tends to be young, better educated and to live in larger cities. People from the EU10 with children are less likely to move after enlargement in comparison to those without family. There exists a correlation between individual perceptions about the scale of migration and actual flows. Better educated and left-oriented individuals in the EU15 are less likely to perceive these flows as important.
    Keywords: migration, EU Eastern enlargement, migration intentions, determinants of labour migration
    JEL: F22 J15 J61
    Date: 2008–07
  4. By: Christophe Cahn; Arthur Saint-Guilhem
    Abstract: In this paper, we present international comparisons of potential output growth among several economies -Canada, the euro area, France, Germany, Italy, Japan, the Netherlands, the United Kingdom, and the United States- for the period 1991-2004, for which we construct consistent and homogenous capital stock series. The main estimates rely on a structural approach where output of the whole economy is described by a Cobb-Douglas function and Total Factor Productivity (TFP) is estimated allowing for possible breaks in the deterministic trend. The results confirm that over the considered period the potential GDP growth has been faster in the United States than in other studied countries, reflecting a combination of higher labour contribution and faster TFP growth. Overall, this paper might help to shed some light on cross-country differences in economic performance over the recent period.
    Date: 2008
  5. By: Heinemann, Friedrich; Mohl, Philipp; Osterloh, Steffen
    Abstract: The EU's revenue system is still typical for an organisation based on international cooperation and stands in contrast to the Union's far advanced legislative and political role. This contrast feeds the debate on granting the EU an autonomous tax source. Our contribution explores the factors which shape the acceptance of the EU tax option among European policy makers. We make use of a unique database : A survey among Members of the European Parliament (MEP) which resulted in a response of some 150 of the representatives. Our results confirm an important role for party ideology and individual characteristics but they also demonstrate that country-specific factors are important to understand the support for an EU tax. In the light of our findings the status quo bias in the EU's revenue system can be attributed to the persistent importance of national interests with respect to fiscal burden sharing and tax policy.
    Keywords: European Parliament, EU tax, revenue system
    JEL: D78 H29 H87
    Date: 2008
  6. By: Grandi, Silvia
    Abstract: This paper introduces to geographical and geopolitical pattern of the relationship with neighbours countries of the enlarged Europe since 2007. In particular, after clustering the countries at the frontiers of the EU according to spatial contiguity and shares of common values, a introductory discussion on the European Neighbourhood Policy is done.
    Keywords: Frontiers; Boundaries; European Neighbourhood Policy; Geopolitics; Proximity
    JEL: F02 O19
    Date: 2008–07–28
  7. By: Schulz, Alexander; Wolff, Guntram B.
    Abstract: We disentangle different driving factors of sovereign bond market integration by studying yield co-movements of EMU countries, the UK, the US and 16 German Länder in the last 15 years. At a low frequency of weeks, bond market integration has increased gradually in the course of the last 15 years in EMU countries, as well as the UK, the US and the German Länder. The euro, as well as increasing international capital flows, appear to drive low frequency integration. In contrast, yield adjustments to changes of the German benchmark bond at high frequencies, i.e., 2 days, remain relatively low until October 2000, when a sharp increase in integration can be observed in all samples. The increase in high frequency integration can be attributed to electronic trading platforms becoming functional. The change-over from national currencies to the euro can not explain the dramatic increase in high frequency integration.
    Keywords: sovereign bond market, bond market integration, EMU, electronic trading
    JEL: E42 E44 F33 F37 G15
    Date: 2008
  8. By: Caponi, Vincenzo (Ryerson University)
    Abstract: This paper addresses the problem of the dualism of the Italian economy, particularly of its labor market. Although the Italian labor market is considered to be the most highly regulated among OECD countries, the unemployment rate in the North, which represents two thirds of the whole economy, is one of the lowest in Europe. In contrast, the South faces an unemployment rate between two to five times higher than the North. GDP per capita is also twice in the North than in the South, while nominal wages do not differ substantially across regions. Finally internal migration is the lowest among European countries since the middle seventies. This paper argues that the uniform wage is the result of the centralized wage setting carried on by unions, and that the absence of migration is the result of the proactive role of the government, which in the seventies stopped the mass internal migration from the South to the North and since then is acting to prevent the reappearance of such phenomenon. Uniform wage across regions, the active role of the government to prevent internal mass migration and a structural productivity divide between North and South are the institutional features that, within a general equilibrium matching model, explain the high unemployment rate in the South and, perhaps more interestingly, the low unemployment rate accompanied by low wages in the North even when compared to other western European countries.
    Keywords: Italy, European unemployment, internal migration, regional unemployment
    JEL: E24 J51 J60
    Date: 2008–07
  9. By: Stephan Barisitz (Oesterreichische Nationalbank)
    Abstract: This paper provides an overview of the history of banking transition (1989-2006) in 13 CEE countries – with particular emphasis on four relatively large Balkan countries (Bulgaria, Croatia, Romania, Serbia and Montenegro). Two “banking reform waves” are distinguished, salient features of which all countries (need to) run through in order to mature. The first reform wave focuses on liberalization measures; the second wave mostly consists of restructuring/institutional adjustment. Western European FDI has come to dominate banking in most countries, including those of the Balkans. Recently, credit booms have unfolded, which, while constituting structural catchingup phenomena, are not without risks. Insufficient rule of law remains widespread.
    Keywords: Banking crisis; Banking transformation; Credit boom; FDI; Institutional reforms; Liberalization; Privatization; Structural reforms
    JEL: G21 G28 P34
    Date: 2008–06
  10. By: Frank Convery; Christian De Perthuis; Denny Ellerman
    Abstract: The European Union Emissions Trading Scheme (EU ETS) is the largest greenhouse gas market ever established. The European Union is leading the world's first effort to mobilize market forces to tackle climate change. A precise analysis of the EU ETS's performance is essential to its success, as well to that of future trading programs. The research program "The European Carbon Market in Action: Lessons from the First Trading Period," aims to provide such an analysis. It was launched at the end of 2006 by an international team led by Frank Convery, Christian de Perthius and Denny Ellerman. This interim report presents the researchers' findings to date. It was prepared after the research program's second workshop, held in Washington DC in January 2008. The first workshop was held in Paris in April 2007. Two additional workshops will be held in Prague in June 2008 and in Paris in September 2008. The researchers' complete analysis will be published in the beginning of 2009.
    Date: 2008–03
  11. By: Erik H. Schlie (ESMT European School of Management and Technology); Jaideep C. Prabhu (Tanaka Business School, Imperial College London); Rajesh K. Chandy (Carlson School of Management, University of Minnesota)
    Abstract: How do firms cope with the challenges of disruptive change in their industry? Numerous studies have highlighted that success with any prior technology creates a negative legacy effect for the next radical technological shift. We question the overly pessimistic view of such legacy effects and ask how quickly firms embrace technological breakthroughs by radically innovating and who wins in the longer term? In this paper, we argue that legacy is a multi-faceted construct whose diverse aspects could simultaneously have different effects on innovation speed and market performance. We identify three main types of legacy related to technology, organizational, and country-level influences. Previous research tends to focus on technological or market effects in isolation, whereas we seek to study the effects of both firm and country legacy simultaneously on speed to radical innovation and market performance over time. Based on a conceptual framework we develop six hypotheses concerning the legacy effects on initial speed radical innovation and subsequent market performance. We chose the European retail banking industry and the focal innovation of transactional Internet banking as a suitable empirical context to employ quantitative hypothesis testing. Detailed and longitudinal (1996-2001) data were collected for a sample of 123 banks from six European countries: United Kingdom, Germany, France, Sweden, Finland, and Denmark. We specified a model and used threestage least squares (3SLS) as a method to estimate simultaneous regression equations due to endogeneity of a key variable. We show that the prevailing negative view of legacies is likely to be overstated.
    Keywords: innovation, legacy, internet banking, europe
    JEL: M31
    Date: 2008–06–12
  12. By: Fabrizio Balassone (Bank of Italy, Economic Research Department); Maura Francese (Bank of Italy, Economic Research Department); Stefania Zotteri (Bank of Italy, Economic Research Department)
    Abstract: In a stylised framework of fiscal policy determination that considers both structural targets and cyclical factors, we find significant cyclical asymmetry in the behaviour of fiscal variables in a sample of fourteen EU countries from 1970 to 2004, with budgetary balances (both overall and primary) deteriorating in contractions but not improving correspondingly in expansions. Analysis of budget components reveals that the asymmetry is due to expenditure, in particular transfers in cash. We find no evidence that the fiscal rules introduced in 1992 with the Treaty of Maastricht affected the cyclical behaviour of the variables examined. Numerical simulations show that cyclical asymmetry inflated average deficit levels, contributing significantly to the accumulation of debt.
    Keywords: fiscal stabilisation, government expenditure, government debt, fiscal rules
    JEL: E62 H6
    Date: 2008–06
  13. By: Jara-Bertin, Mauricio; López-Iturriaga, Félix J.
    Abstract: This paper analyzes the influence of large shareholders on earnings management in family-owned firms using a sample of firms from 11 European countries. We consider how the contest to the control of the largest shareholder and the existence of a controlling coalition in family-owned firms affect earnings management in these firms. We find that increased contestability of the control of the largest shareholder reduces earnings management in family-owned firms. Our results also show that in firms in which the largest shareholder is a family, a second or third family shareholder increases discretionary accruals.
    Keywords: corporate control; discretionary accruals; earnings management; family firms
    JEL: M41 G32
    Date: 2008–07–11
  14. By: Eugenio Gaiotti (Bank of Italy, Economic Outlook and Monetary Policy Department)
    Abstract: The flattening of the Phillips curve observed in the industrial countries has been attributed to globalisation, while the traditional explanation centres on monetary policy credibility. The empirical literature is not conclusive, since macroeconomic data are affected by substantial identification problems. This paper argues that recourse to micro data is needed to identify structural changes in the slope of the Phillips curve. Taking advantage of a unique dataset including about 2,000 Italian firms, the paper tests whether a change in the link between capacity utilisation and prices is confirmed at company level, after controlling for inflation expectations, and whether it is concentrated among those firms that are more exposed to globalisation on either the product or the labour market. The answer is negative in all cases. The results do not support the view that the flattening of the Phillips curve is due to globalisation.
    Keywords: Phillips curve, globalisation, inflation, monetary policy
    JEL: E31 E52 E58
    Date: 2008–06
  15. By: Sophocles N. Brissimis (Bank of Greece and University of Piraeus); Manthos D. Delis (Athens University of Economics and Business); Nikolaos I. Papanikolaou (Athens University of Economics and Business)
    Abstract: The aim of this study is to examine the relationship between banking sector reform and bank performance – measured in terms of efficiency, total factor productivity growth and net interest margin – accounting for the effects through competition and bank risk-taking. To this end, we develop an empirical model of bank performance and draw on recent econometric advances to consistently estimate it. The model is applied to bank panel data from ten newly acceded EU countries. The results indicate that both banking sector reform and competition exert a positive impact on bank efficiency, while the effect of reform on total factor productivity growth is significant only toward the end of the reform process. Finally, the effect of capital and credit risk on bank performance is in most cases negative, while it seems that higher liquid assets reduce the efficiency and productivity of banks.
    Keywords: Bank performance; Banking sector reform; Competition; Risk-taking
    JEL: G21 L1 C14
    Date: 2008–06
  16. By: Rammer, Christian; Schmiele, Anja
    Abstract: This paper investigates the drivers and the effects of the internationalisation of innovation activities in SMEs based on a large data set of German firms covering the period 2002-2007. We look at different stages of the innovation process (R&D, design, production and sales of new products, and implementation of new processes) and explore the role of internal resources, home market competition and innovationrelated location advantages for an SME’s decision to engage in innovation activities abroad. By linking international innovation activities to firm growth in the home market we try to identify likely internationalisation effects at the firm level. The results show that export experience and experience in knowledge protection are highly important for international innovation activities of SMEs. Fierce home market competition turns out to be rather an obstacle than a driver. High innovation costs stimulate internationalisation of non-R&D innovation activities, and shortage of qualified labour expels production of new products. R&D activities abroad and exports of new products spur firm growth in the home market while there are no negative effects on home market growth from shifting production of new products abroad.
    Keywords: Internationalisation of Innovation, Globalisation, SMEs, Effects of Innovation, Absorptive Capacities, Market Structure
    JEL: F23 L22 L25 O31 O32 O47
    Date: 2008
  17. By: Maksim Yemelyanau
    Abstract: Income and consumption inequality increased in all transition economies, albeit to very different levels. Existing findings suggest that countries that were slow to undertake promarket reforms experienced the largest increase in inequality, with the notable exception of Belarus, one of the least reformed ex-Soviet republics, that nevertheless has inequality comparable to the most advanced and least unequal transition countries of Central Europe. This article studies the evolution of inequality in Belarus in 1995-2005, decomposes inequality by region and source of income, and provides cross-country comparisons. Specifically, a comparison of Belarus and Ukraine, based on DiNardo-Fortin-Lemieux Counterfactual Kernel Densities, suggests that the large difference in inequality levels is due to different income policies of the two countries: Belarus is unusual not only in its lack of privatization, but also in that it kept many of the old-style Soviet social security features.
    Keywords: Belarus, Ukraine, transition, income inequality, expenditure inequality, social security.
    JEL: D31 D63 H55 O15
    Date: 2008–06
  18. By: Eva M. Sierminska; Joachim R. Frick; Markus M. Grabka
    Abstract: Welfare-oriented analyses of economic outcome measures such as income and wealth generally rest on the assumption of pooled and equally shared resources among all household members. Yet the lack of individual-level data hampers the distribution of income and wealth within the household context. Based on unique individual-level wealth data from the German Socio-Economic Panel (SOEP), this paper challenges the implicit assumption of internal redistribution by considering an alternative definition of the aggregation unit and by controlling its effect on distribution and inequality analysis. We find empirical evidence for a significant gender wealth gap of about 30,000 euros in Germany, which amounts to almost 50,000 euros for married partners. Decomposition analyses reveal that this gap is mostly driven by differences in characteristics between men and women, the most important factor being the individual's own income and labor market experience, and particularly so at the bottom and top of the wealth distribution. However, this finding can only be shown with non-parametric decomposition techniques. Differences for those in the middle of the distribution appear to be mostly driven by the wealth function, i.e., the way in which women transform their characteristics into wealth.
    Keywords: Wealth gap, Wealth inequality, Gender, SOEP
    JEL: D13 D31 D69 I31
    Date: 2008
  19. By: Markus Groth (Centre for Sustainability Management, Leuphana University of Lüneburg)
    Abstract: The mandatory deposit for one-way drinks packaging, embodied in the German Packaging Ordinance of 1991, entered into force in January 2003, after the condition for its implementation was given by the fall of the market share of reusable drinks packaging under 72% in 1997. In this context the author doubts that the German mandatory deposit is an effective instrument to stabilise the market share of ecologically advantageous drinks packaging. Rather it is to be expected that the environmental policy objectives can be accomplished more effectively by a reorientation of the specific environmental policy. Hence it needs to be considered that – even eleven years after the first time decrease of the relevant market share of reusable drinks packaging – an urgent need for action exists in Germany. This practise based analysis therefore deals with packaging-taxes as an alternative environmental policy instrument and points out recommendations against the background of a further amending of the German Packaging Ordinance as well as experiences from the use of packaging taxes in Europe.
    Keywords: agri-environmental policy, biodiversity conservation auctions, transaction costs, ecological services, plant biodiversity, experimental economics, EAFRD-Regulation
    JEL: C93 D44 D82 H41 L14 Q24 Q28 Q57 R52
  20. By: Federica Origo; Laura Pagani
    Abstract: In this paper we study the effect of a micro-level measure of flexicurity on workers job satisfaction. To this aim, using micro data from the Eurobarometer survey, we split workers in different groups according not only to their employment contract (i.e. permanent or temporary), but also to their perceived job security, and we evaluate differences in job satisfaction between these groups. After controlling for the potential endogeneity of job type, results show that what matters for job satisfaction is not just the type of contract, but mainly the perceived job security, which may be independent of the type of contract. The combination “temporary but secure job” seems preferable with respect to the combination “permanent but insecure job”, pointing out that the length of the contract may be less relevant if the worker perceives that he/she is not at risk of becoming unemployed. Our main conclusions are robust to the use of alternative definitions of workers’ types and they generally hold within different welfare regimes and also for different aspects of job satisfaction, mainly for those more related to job security.
    Keywords: Flexicurity, Job Satisfaction, POLS
    JEL: J28 J81
    Date: 2008–06
  21. By: John T. Addison (QueenÕs University and The Rimini The Rimini Center for Economic Analysis, Italy); Paulino Teixeira (Universidade de Coimbra, Portugal); Thomas Zwick (Centre for European Economic Research (ZEW), Germany)
    Abstract: This paper provides a comprehensive examination of the effect of German works councils on wages, using matched employer-employee data from the German LIAB for 2001. In general, we find that works councils are associated with higher earnings, even after accounting for worker and establishment heterogeneity. At this level, the works council premium exceeds the collective bargaining mark-up, and is modestly higher in the presence of collective bargaining once we account for worker selection into the two institutions. More specifically, works councils do seem to benefit women relatively and to build on collective bargaining in this regard. They also seem to favor foreign, east-German, and service-sector workers although the effects of collective bargaining are not always reinforcing. The evidence from quantile regressions suggests that only in conjunction with collective bargaining is the narrowing influence of works councils really clear-cut. The above findings pertain to workers in all plants. Once we consider smaller establishments with 21-100 employees, however, each of these results is further qualified, beginning with the effect on wage levels where premia are now only observed in conjunction with collective bargaining.
    Keywords: works councils, collective bargaining coverage, matched employer-employee data, wages, wage distribution.
    JEL: J31 J50
    Date: 2008–01
  22. By: Bannier, Christina E.; Hänsel, Dennis N.
    Abstract: We analyze collateralized loan obligation (CLO) transactions by European banks (1997 - 2004), trying to identify firm-specific and macroeconomic factors influencing an institution’s securitization decision. CLO issuance seems to be an appropriate funding tool for large banks with high risk and low liquidity. However, risk transfer turns out to be limited in the extremes. Controlling for fixed effects, we find that fixed costs of securitization are surmountable also for smaller institutions. Interestingly, commercial banks seem to use loan securitization to access capital-market based businesses and the associated fee income. Regulatory capital arbitrage does not appear to have driven the market. Trotz des rasanten Wachstums des Marktes für Kreditrisikotransfer sind die Motive der Banken für die Verbriefung von Kreditportfolios noch nicht vollständig geklärt. Kreditverbriefungen führen zwar zu höherer Liquidität, einer Reduktion von Kredit- und Zinsrisiken, einer Steigerung von Provisionseinkommen, möglicherweise auch einer Verbesserung der Kapitalstruktur, jedoch entscheiden sich einige Banken trotzdem gegen eine Strukturierung und Weiterreichung ihrer Kreditportfolios. Unter den Nachteilen der Verbriefung werden unter anderem die relativ hohen fixen Kosten der erstmaligen Errichtung einer Verbriefungsstruktur sowie eventuelle Steuernachteile von nicht auf der Bilanz gehaltenen Krediten genannt. Weiterhin ermöglicht das neue Basel-II Regelwerk keine „Arbitrage regulatorischen Eigenkapitals“ via Kreditverbriefung mehr, anders als die weniger risikosensitive Eigenkapitalunterlegung unter den alten Basel-Richtlinien. Unsere Studie analysiert „Collateralized Loan Obligation“ (CLO) Transaktionen von Europäischen Banken in den Jahren 1997-2004. Ziel ist es, Faktoren zu isolieren, die die Entscheidung einer Bank, Kredite zu verbriefen, beeinflusst haben. Während wir einen Einfluss regulatorischer Arbitrage nicht vollkommen ausschließen können, zeigt unsere Studie, dass die wesentlichen Bestimmungsfaktoren vielmehr individuelle Faktoren der Banken sind. So ist die Wahrscheinlichkeit, dass eine Bank Kredite verbrieft, umso höher, je größer die Bank, je geringer ihre Liquidität und je höher ihr erwartetes Kreditrisiko ist. Kreditverbriefungen werden offensichtlich als Möglichkeit des Kreditrisikotransfers genutzt. Allerdings zeigt sich, dass Banken mit dem höchsten Kreditrisiko ihre Verbriefungsaktivitäten mit zunehmendem Risiko einstellen, so dass die Risikotransferfunktion nur begrenzt zu nutzen zu sein scheint. Für am Aktienmarkt notierte Banken treffen obige Aussagen noch stärker zu. Interessanterweise zeigt sich hier sogar ein „negativer“ regulatorischer Arbitrageeffekt : Banken mit niedrigem regulatorischem Eigenkapital verbriefen weniger Kredite als Banken mit höherem Eigenkapital. Die neuen Eigenkapitalrichtlinien nach Basel II sollten daher das zukünftige Wachstum des Kreditrisikotransfermarktes nicht beeinträchtigen. Bemerkenswerterweise scheint auch die Bankengröße eine weniger wichtige Rolle zu spielen als zunächst gedacht. Auch kleinere Banken sind somit in der Lage, die mit einer Kreditverbriefung verbundenen Fixkosten zu tragen. Es ist zu vermuten, dass gerade traditionelle Kreditbanken die Verbriefung von Kreditportfolios unter anderem auch nutzen, um indirekt dem „investment-banking“ verwandte Geschäftsbereiche und die entsprechenden Provisionseinkommen zu erschließen.
    Keywords: Securitization, credit risk transfer, collateralized loan obligations
    JEL: G21
    Date: 2008
  23. By: Alena Bicakova; Jiri Slacalek; Michal Slavik
    Abstract: We extend the scarce evidence on labor supply in post-transition countries by estimating the wage elasticity of labor force participation in the Czech Republic. Using the household income survey data of 2002, we find that a one-percent rise in the gross wage increases the probability of working by 0.16 and 0.02 percentage points for women and men, respectively. Taking into account the tax and benefit system, these semi-elasticities fall to 0.06 for women and 0.01 for men. We interpret the dierence between the estimates from the two specifications as a summary measure of the welfare system disincentives. The estimated wage elasticities lie at the lower end of the range of values reported for mature market economies. This finding is consistent with the stylized fact that the labor supply in countries with high labor force participation rates, such as in the Czech Republic, tends to be less sensitive to wages.
    Keywords: Labor supply, transition, welfare system
    JEL: J22 J31 P30
    Date: 2008–03

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