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on European Economics |
| By: | Thomas Nitschka |
| Abstract: | The empirical failure of the uncovered interest rate parity condition seems to be the reflection of risk premia on foreign currencies. After the formation of foreign currency portfolios according to interest rate differentials or forward discounts, recent studies suggest that either consumption- or currency return-based pricing factors explain the cross-section of foreign currency portfolio returns. The contribution of this paper is twofold. It shows that the returnbased explanation applies to foreign currency portfolios sorted from the perspective of a Euro Area investor. Secondly, the main results of this paper suggest that the decisive pricing factor, the so called carry trade premium, mirrors business cycle related risks. Times of relatively large amounts of uninsured Euro Area consumption growth risk are associated with an expected increase of the carry trade premium. |
| Keywords: | Consumption risk sharing, foreign currency returns, return predictability, UIP |
| JEL: | F31 G10 G15 |
| Date: | 2008–09 |
| URL: | http://d.repec.org/n?u=RePEc:zur:iewwpx:387&r=eec |
| By: | Balli, Faruk; Sorensen, Bent E. |
| Abstract: | We estimate the amount of income and consumption smoothing (risk sharing) between OECD countries during the period 1970{2003 with a particular focus on EU and EMU countries. Income smoothing from international factor income has increased in the EU and, in particular, the EMU but not in the non-EU OECD since the introduction of the Euro. Consumption smoothing from pro-cyclical government saving has declined in the EMU, but not in the non-EU OECD, since the signing of the Maastricht treaty. We find that when capital gains and losses on international asset positions are considered part of income, the magnitude of capital gains leads to huge amounts of income smoothing and dis-smoothing although, at the time horizons we examine, the capital gains or losses are only weakly reflected in consumption. Understanding the role of capital gains in risk sharing appears to be of first order importance. |
| Keywords: | Government De¯cits; Income Insurance; International Capital Markets; International Integration; Risk Sharing; External Capital Gains. |
| JEL: | F41 F36 |
| Date: | 2007–12–02 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:10223&r=eec |
| By: | Thomas Nitschka |
| Abstract: | Incomplete consumption risk sharing implies that the market risk premium is high in times of lack of risk sharing and vice versa. In the time period from 1980 to 2007, this implication of incomplete consumption risk sharing for the market price of risk is not mirrored in excess returns on stocks but in returns on real estate both in the Euro Area and in the U.S. This finding thus casts doubt on the common practice to approximate the market return by a stock index return in empirical tests of the Sharpe-Lintner capital asset pricing model. However, cross-sectional asset pricing tests suggest that there are fundamental differences between the Euro Area and the U.S. in this respect. The return on real estate does not add any explanatory power for domestic or foreign asset returns in excess of a stock index return in the U.S. The opposite reasoning applies to the Euro Area. Finally, this paper shows that the distinction between rather global and country-specific pricing factors does not seem to be important for the pricing of excess returns on foreign currencies. |
| Keywords: | CAPM, market risk premium, real estate return, return predictability, foreign currency returns |
| JEL: | G10 G15 |
| Date: | 2008–08 |
| URL: | http://d.repec.org/n?u=RePEc:zur:iewwpx:385&r=eec |
| By: | Konstantin Kholodilin; Alberto Montagnoli; Oreste Napolitano; Boriss Siliverstovs |
| Keywords: | Higher Education, Financial Incentives, Competing Risk Model |
| JEL: | H52 H24 I28 |
| Date: | 2008 |
| URL: | http://d.repec.org/n?u=RePEc:diw:diwwpp:dp814&r=eec |
| By: | Werner Hölzl (WIFO) |
| Abstract: | This paper studies the R&D behaviour of fast growing SMEs using CIS III data for 16 countries. We group the countries into three groups that roughly have the same position in technological development. The first finding is that R&D is more important to high growth SMEs in countries that are closer to the technological frontier. The second finding is that high growth SMEs are more innovative than non-high-growth SMEs only for countries close to the technological frontier. This suggests that gazelles derive much of their drive from the exploitation of comparative advantages. From a policy perspective this suggests that there are important limits to centralise policies that aim at fostering high growth SMEs. |
| Keywords: | R&D, high growth firms, Europe, CIS |
| Date: | 2008–08–21 |
| URL: | http://d.repec.org/n?u=RePEc:wfo:wpaper:y:2008:i:327&r=eec |
| By: | Jolanda Hessels |
| Abstract: | Previous research has indicated that firms can use internationalization as a strategy to access or build up resources. Such a strategy may be of particular interest or even necessary (for example to survive or grow) for firms that lack specific resources. Based on resource dependency theory and the model for entrepreneurial internationalization this paper investigates whether resource scarcities in terms of labor, finance and technology increase the likelihood for small and medium-sized enterprises (SMEs) to aim to access or accumulate these specific resources through internationalization. A number of hypotheses are tested using firm-level data from the ENSR Enterprise Survey 2003 for 7,673 SMEs located in 18 European countries. The results indicate that perceived resource constraints in terms of labor and finance spur SMEs to undertake international activities with the aim to access or accumulate labor, respectively finance. It is also found that among internationally active SMEs perceived constraints in terms of labor, finance and new technology increase the probability of SMEs using their international activities as a means for accessing or acquiring these scarce resources. |
| Date: | 2008–06–18 |
| URL: | http://d.repec.org/n?u=RePEc:eim:papers:h200806&r=eec |
| By: | Rob Rusconi |
| Abstract: | This paper describes a number of national annuity markets, the types of products typically available, the demand for these products, the value for money on offer and the dynamics of the supply side. It explores supply and demand characteristics, asking what the main forces are that drive these dynamics and how they might be recognised and responded to by policymakers. <P>Marchés nationaux des rentes viagères : caractéristiques et implications <BR>Ce papier décrit un certain nombre de marchés nationaux des rentes viagères, le type de produits disponibles, la demande pour ces produits, la valeur de l‘argent sur l‘offre et la dynamique de la demande. Il explore les caractéristiques de l‘offre et de la demande, recherchant quelles sont les forces guidant cette dynamique et comment elles pourraient être reconnues et traitées par les responsables politiques. |
| Keywords: | annuity markets, money‘s worth ratios, supply and demand of annuities, marches des rentes viagères, money‘s worth ratios, offre et demande des rentes viagères |
| JEL: | D11 D14 D91 E21 G11 G38 J14 J26 |
| Date: | 2008–09 |
| URL: | http://d.repec.org/n?u=RePEc:oec:dafaab:24-en&r=eec |
| By: | Brunekreeft, G. |
| Abstract: | This paper presents a social cost benefit analysis of ownership unbundling (as compared to legal und functional unbundling) of the electricity transmission system operators in Germany. The study relies on the Residual Supply Index for its competitive concept. The analysis models some 15 effects, grouped in three categories: the competition effect, the interconnector effect and the cost effect. Facing a looming capacity shortage, we find that the total available generation capacity and the effect of unbundling on capacity are of crucial importance. Overall, for the base-case, the net weighted discounted social-cost-benefit effect (weighted-?SCB) is likely to be positive, but small. |
| Keywords: | unbundling, electricity, networks, regulation, competition |
| JEL: | L11 L50 L94 |
| Date: | 2008–07 |
| URL: | http://d.repec.org/n?u=RePEc:cam:camdae:0833&r=eec |
| By: | Niels Bosma; Kashifa Suddle; Veronique Schutjens |
| Abstract: | In this paper we contribute to the set of studies that focus on explanations of regional differences in entrepreneurship by taking into account the entrepreneurial processes at the individual level. We investigate entrepreneurial attitudes and entrepreneurial activity in three contrasting labour market regions in the Netherlands in two stages. In the first stage we extensively explore regional differences in entrepreneurial activity by looking at several types of entrepreneurs and phases in the entrepreneurial process. In the second stage we investigate to what extent the observed regional differences in perceptions to entrepreneurship and involvement in entrepreneurial activity change when controlling for determinants at the individual level. We find that the observed regional differences in levels of early-stage entrepreneurial activity can to large extent be explained by these individual characteristics. Furthermore we find the regional pattern of overall early-stage entrepreneurial activity to be different from the pattern of ambitious early-stage entrepreneurial activity. |
| Date: | 2008–06–09 |
| URL: | http://d.repec.org/n?u=RePEc:eim:papers:h200805&r=eec |