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on European Economics |
| By: | David Büttner (Faculty of Business Administration and Economics, Philipps Universitaet Marburg); Bernd Hayo (Faculty of Business Administration and Economics, Philipps Universitaet Marburg) |
| Abstract: | We analyse the determinants of stock market integration among EU member states for the period 1999–2007. First, we apply bivariate DCC-MGARCH models to extract dynamic conditional correlations between European stock markets, which are then explained by interest rate spreads, exchange rate risk, market capitalisation, and business cycle synchronisation in a pooled OLS model. By grouping the countries into euro area countries, “old” EU member states outside the euro area, and new EU member states, we also evaluate the impact of euro introduction and the European unification process on stock market integration. We find a significant trend toward more stock market integration, which is enhanced by the size of relative and absolute market capitalisation and hindered by foreign exchange risk between old member states and the euro area. Interest rate spreads and business cycle synchronisation do not appear to play an important role in explaining equity market integration. |
| Keywords: | Stock Market Integration, European Unification, DCC-MGARCH model |
| JEL: | E44 F3 F36 G15 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:mar:magkse:200932&r=eec |
| By: | Julien CHEVALLIER; Yannick LE PEN; Benoît SEVI |
| Abstract: | To improve risk management in the European Union Emissions Trading Scheme (EU ETS), the European Climate Exchange (ECX) has introduced option instruments in October 2006 after regulatory authorization. The central question we address is: can we identify a potential destabilizing effect of the introduction of options on the underlying market (EU ETS futures)? Indeed, the literature on commodities futures suggest that the introduction of derivatives may either decrease (due to more market depth) or increase (due to more speculation) volatility. As the identification of these effects ultimately remains an empirical question, we use daily data from April 2005 to April 2008 to document volatility behavior in the EU ETS. By instrumenting various GARCH models, endogenous break tests, and rolling window estimations, our results overall suggest that the introduction of the option market had no effect on the volatility in the EU ETS. These findings are robust to other likely influences linked to energy and commodity markets. |
| Keywords: | EU ETS, Option prices, volatility, GARCH, rolling estimation, endogenous structural break detection |
| JEL: | Q48 Q57 Q58 |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:mop:credwp:09.07.85&r=eec |
| By: | Dolls, Mathias (IZA); Fuest, Clemens (University of Oxford); Peichl, Andreas (IZA) |
| Abstract: | This paper analyzes the effectiveness of the tax and transfer systems in the European Union and the US to act as an automatic stabilizer in the current economic crisis. We find that automatic stabilizers absorb 38 per cent of a proportional income shock in the EU, compared to 32 per cent in the US. In the case of an unemployment shock 48 per cent of the shock are absorbed in the EU, compared to 34 per cent in the US. This cushioning of disposable income leads to a demand stabilization of 23 to 32 per cent in the EU and 19 per cent in the US. There is large heterogeneity within the EU. Automatic stabilizers in Eastern and Southern Europe are much lower than in Central and Northern European countries. We also investigate whether countries with weak automatic stabilizers have enacted larger fiscal stimulus programs. We find no evidence supporting this view. |
| Keywords: | automatic stabilization, economic crisis, liquidity constraints, fiscal stimulus |
| JEL: | E32 E63 H2 H31 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp4310&r=eec |
| By: | Djamel Kirat (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I); Ibrahim Ahamada (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I, EEP-PSE - Ecole d'Économie de Paris - Paris School of Economics - Ecole d'Économie de Paris) |
| Abstract: | In order to comply with their commitments under the Kyoto Protocol, France and Germany participate to the European Union Emission Trading Scheme (EU ETS) which concerns predominantly electricity generation sectors. In this paper we seek to know if the EU ETS gives appropriate economic incentives for an e¢ cient and strong system in line with Kyoto commitments. Because if so electricity producers in these countries should include the price of carbon in their costs functions. After identifying the di¤erent sub periods of the EU ETS during its pilot phase (2005-2007), we model the prices of various electricity contracts and look at their volatilities around their fundamentals while evaluating the correlation between the electricity prices in the two countries. We finnd that electricity producers in both countries were constrained to include the carbon price in their cost functions during the rst two years of operation of the EU ETS. During this period, German electricity producers were more constrained than their French counterparts and the inclusion of the carbon price in the cost function of electricity generation has been so much more stable in Germany than in France. Furthermore, the European market for emission allowances has increased the market power of the historical French electricity producer and has greatly contributed to the partial alignment of the wholesale price of electricity in France with those of Germany. . |
| Keywords: | Carbon Emission Trading, Multivariate GARCH models, Structural break, Non Parametric Approach, Energy prices. |
| Date: | 2009–04–10 |
| URL: | http://d.repec.org/n?u=RePEc:hal:wpaper:hal-00378317_v1&r=eec |
| By: | Thomas Hemmelgarn (European Commission); Gaetan Nicodeme (European Commission) |
| Abstract: | This paper reviews the economic effects of the EU Savings Taxation Directive. The Directive aims at enabling taxation of foreign interest payments received by individuals in accordance with the rules of their State of residence. The data suggest that the Directive, which is based on automatic information exchange, has not led to major shifts in international savings. However, this result has to be interpreted with caution since the available data is scarce and not always conclusive. |
| Keywords: | Savings Taxation, Withholding Tax, Information Exchange, European Union |
| JEL: | F21 F33 G12 G28 H24 H26 H87 K34 O16 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:tax:taxpap:0018&r=eec |
| By: | Nicolas Groshenny (Reserve Bank of New Zealand, Economics department) |
| Abstract: | This paper estimates a medium-scale DSGE model with search unemployment by matching model and data spectra. Price mark-up shocks emerge as the main source of business-cycle fluctuations in the euro area. Key factors in the propagation of these disturbances are a high degree of inflation indexation and a persistent response of monetary policy to deviations from the inflation target |
| Keywords: | DSGE models, business cycles, frequency-domain analysis |
| JEL: | E32 C51 C52 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:nbb:reswpp:200907-27&r=eec |
| By: | Grund, Christian (University of Würzburg); Harbring, Christine (University of Cologne) |
| Abstract: | Based on two representative samples of employees, the German Socio Economic Panel and the European Social Survey, we explore the relation between certain measures of control in employment relationships (i.e. working time regulations, use of performance appraisal systems, monitoring by supervisors, autonomy to organize the work) and individuals’ inclination to trust others. Trust is measured by the general trust question like in most other economic studies based on surveys. We find that strict working time regulations, monitoring and lack of autonomy – all indicators for control at the workplace – are negatively related to trust. Moreover, we contribute to the literature on trust by gathering hints to other potential determinants of trust. |
| Keywords: | autonomy, control, monitoring, performance appraisal, regulation of working time, trust |
| JEL: | J81 M12 M5 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp4297&r=eec |
| By: | Spyros Arvanitis (KOF Swiss Economic Institute, ETH Zurich, Switzerland); Thomas Bolli (KOF Swiss Economic Institute, ETH Zurich, Switzerland) |
| Abstract: | This paper compares the determinants and the effects of innovation cooperation on innovation performance at firm level in five European countries: Belgium, Germany, Norway, Portugal and Switzerland. In a first step we analyse cooperation agreements with national and international partners and in a second step cooperation with enterprises and research institutions. In a third step we investigate the impact of all four categories of cooperation on innovation performance. |
| Keywords: | national innovation cooperation, international innovation cooperation, innovation performance |
| JEL: | O30 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:kof:wpskof:09-232&r=eec |
| By: | David Haugh; Patrice Ollivaud; David Turner |
| Abstract: | This paper analyses recent large movements in the yield spread for sovereign bonds as between Germany and other euro area countries. While the general increase in risk aversion that has characterised the financial crisis is an important factor on its own, it is found that this has also magnified the importance of fiscal performance, in particular as measured by the ratio of debt service to tax receipts and expected fiscal deficits. Moreover, there is evidence to suggest that such effects are non-linear, so that incremental deteriorations in fiscal performance lead to ever larger increases in the spread. These findings imply that financial market reaction could become an increasingly important constraint on fiscal policy for some countries, a feature which was much less apparent in the years prior to the financial crisis when general risk aversion was abnormally low.<P>Quels sont les déterminants des primes de risque des États ? : Une analyse récente de la zone euro<BR>Cet article analyse les récents mouvements importants des écarts de taux des obligations d’État des pays de la zone euro avec l’Allemagne. L’augmentation généralisée de l’aversion au risque qui a accompagné la crise financière est un facteur important en soi. L’article montre en outre que ce phénomène a amplifié l’impact des performances budgétaires, en particulier quand elles sont mesurées par le ratio du service de la dette aux recettes fiscales et par les déficits budgétaires anticipés. De plus, ces effets se révèlent non linéaires, ce qui se traduit par le fait que les détériorations supplémentaires des performances budgétaires amènent à des augmentations toujours plus importantes des écarts de taux. Ces résultats suggèrent que les réactions des marchés financiers pourraient devenir une contrainte de plus en plus importante à la politique budgétaire de certains pays, une caractéristique qui était beaucoup moins visible durant les années antérieures à la crise où l’aversion générale au risque était anormalement basse. |
| Keywords: | fiscal policy, politique budgétaire, déficit budgétaire, interest rate, taux d'intérêt, deficit, debt, dette, bond market, marché obligataire, government bonds, obligations d’État |
| JEL: | E43 E63 G12 |
| Date: | 2009–07–22 |
| URL: | http://d.repec.org/n?u=RePEc:oec:ecoaaa:718-en&r=eec |
| By: | Riccardo DiCecio; Edward Nelson |
| Abstract: | Developments in open-economy modeling, and the accumulation of experience with the monetary policy regimes prevailing in the United Kingdom and the euro area, have increased our ability to evaluate the effects that joining monetary union would have on the U.K. economy. This paper considers the debate on the United Kingdom's monetary policy options using a structural open-economy model. We use the Erceg, Gust, and Lopez-Salido (EGL) (2007) model to explore both the existing U.K. regime (CPI inflation targeting combined with a floating exchange rate), and adoption of the euro, as monetary policy options for the United Kingdom. Experiments with a baseline estimated version of the model suggest that there is improved stability for the U.K. economy with monetary union. Once large differences in the degree of nominal rigidity across economies are considered, the balance tilts toward the existing U.K. monetary policy regime. The improvement in U.K. economic stability under monetary union also diminishes if imports from the euro area are modeled as primarily intermediates instead of finished goods; or if we assume that the pressures reflected in foreign exchange market shocks, instead of vanishing with monetary union, are now manifested as an additional source of disturbances to domestic aggregate spending. |
| Keywords: | Monetary policy - European Union countries ; Monetary policy - Great Britain ; Great Britain |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:fip:fedlwp:2009-012&r=eec |
| By: | Catia Nicodemo (Departament d'Economia Aplicada, Universitat Autonoma de Barcelona) |
| Abstract: | This paper utilizes a panel data sample selection model to correct the selection in the analysis of longitudinal labor market data for married women in European countries. We estimate the female wage equation in a framework of unbalanced panel data models with sample selection. The wage equations of females have several potential sources of |
| Keywords: | Female participation, labor supply, family benefits, unbalanced panel data |
| JEL: | J2 J3 C2 C3 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:uab:wprdea:wpdea0906&r=eec |
| By: | Katri Kosonen (European Commission); Gaetan Nicodeme (European Commission) |
| Abstract: | Environmental protection is one of Europe's key values. The EU has set clear policy objectives to achieve its environmental goals. The EU has favoured market-based instruments, among which fiscal instruments to tackle the climate change problem. This paper takes a policy-making perspective and provides an overview of key issues on the role of fiscal instruments in energy and environmental policies. It describes fiscal instruments as cost-effective means to promote environmental goals and highlights in which cases taxes and other types of fiscal instruments can usefully complement each other to achieve environmental target. |
| Keywords: | Taxation, environmental policy, VAT, fiscal incentives |
| JEL: | H23 Q38 Q48 Q58 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:tax:taxpap:0019&r=eec |
| By: | Barbara Despiney (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I) |
| Abstract: | The chapter concentrates on the positive development dynamics of "industrial districts" based on the network of Small an Medium-Sized firms in Poland.The crux of the matter is to establish whether or not industrial districts constitute a model for the regenaration of local and regional economies in Central European Countries. |
| Keywords: | regional development; industrial clusters; Poland |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:halshs-00374435_v1&r=eec |
| By: | Thomas Maag (KOF Swiss Economic Institute, ETH Zurich, Switzerland) |
| Abstract: | This paper assesses the probability method for quantifying EU consumer survey data on perceived and expected inflation. Based on micro-data from the Swedish consumer survey that asks for both qualitative and quantitative responses, I find that the theoretical assumptions of the method do not hold. In particular, estimated models of response behavior indicate that qualitative inflation expectations are not ordered. Nevertheless, the probability method generates series that are highly correlated with the mean of actual quantitative beliefs. For quantifying the cross-sectional dispersion of beliefs, however, an index of qualitative variation outperforms the probability method. |
| Keywords: | quantification, inflation expectations, inflation perceptions, qualitative response data, belief formation |
| JEL: | C53 D84 E31 |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:kof:wpskof:09-230&r=eec |
| By: | Spyros Arvanitis (KOF Swiss Economic Institute, ETH Zurich, Switzerland); Euripidis N. Loukis (University of the Aegean, Department of Information and Communication Systems Engineering, Karlovassi/Samos, Greeece) |
| Abstract: | This paper aims at investigating empirically at the firm level the effect of the use of modern information and communication technologies (ICT), and also of two other factors, the adoption of new forms of workplace organization and trade (export) activities, on the demand for employees with different levels of (vocational) education. The study is based on firm-level data collected through a common questionnaire from firms’ samples of similar composition (concerning firm sizes and industries) in Greece and Switzerland; from these data econometric models of similar specification have been constructed for both countries. The results of multivariate analysis show that the intensive use of ICT correlates positively with the employment shares of high-educated personnel and negatively with the ones of the loweducated personnel. These findings are consistent with the hypothesis of ‘skill-biased technical change’. Further, the intensive use of “employee voice”-oriented organizational practices correlates positively with the employment shares of high-educated employees in both countries, and also negatively with the employment share of low-educated ones only for the Swiss firms. The results for the “work design” organizational practices are more ambiguous. Thus, there is only partial confirmation of the hypothesis of skilled-biased organizational change. Finally, we found some evidence in favour of the trade effect (export activities) only for the Swiss firms. Our results show both similarities and differences in the above aspects between Greece and Switzerland and indicate that national context characteristics affect the relationship of the demand for employees with different levels of (vocational) education with ICT use, adoption of new forms of workplace organization and trade. |
| Keywords: | labour demand, labour skills, information technology, workplace organization |
| JEL: | J23 J24 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:kof:wpskof:09-234&r=eec |
| By: | Enrico Sorisio (Centre for Technology, Innovation and Culture, University of Oslo) |
| Abstract: | The main aim of this paper is to study innovative activity, as measured by patent indicators, in pharmaceutical and biotechnological sectors in the Nordic Countries. The biotech sector in general and pharmaceutical in particular is one of the areas selected for strategic investments in every Nordic country. In terms of patents granted by country of inventors Denmark plays a leading role followed by Sweden, while patenting activity in Finland and Norway is lower. A concentration of patents towards a relative small number of assignees (mainly large biotech and pharmaceutical companies based in Denmark and Sweden) is also observed. Norwegian patents, as measured by patent citations indices, are more “important” than those of the other countries, as well as in terms of relative size of innovations. Although there are other contributing factors, our data suggest that geographical proximity to large pharmaceutical companies plays a role in determining the relative success of national policies, and also that new investment policies in countries where large biotech or pharmaceutical companies are not established can yield positive returns in terms of innovation growth. |
| Keywords: | Patent data, Innovation, Biotechnology, Pharmaceutical industry, Patent citations, Nordic Countries |
| JEL: | O31 O34 L65 C20 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:tik:inowpp:20090722&r=eec |
| By: | Luc Behaghel; Eve Caroli; Emmanuelle Walkowiak |
| Abstract: | Following the adoption of information and communication technologies (ICT), firms may react to increasing skill requirements either by training or hiring the new skills, or a combination of the two. Using matched datasets with about 1,000 French plants, we assess the relative importance of these external and internal labour market strategies. We show that skill upgrading following technological and organisational changes takes place mostly through internal labour markets adjustments. Consistently with the results in the literature, we find that the intensive use of ICT is associated with an upward shift in the occupational structure within firms. We show that about one third of the upgrading of the occupational structure is due to hiring and firing workers from and to the external labour market, whereas two-thirds are due to promotions. Moreover, we find no compelling evidence of external labour market strategies based on "excess turnover". In contrast, French firms heavily rely on training in order to upgrade the skill level of their workforce. When looking at potential heterogeneity across firms in skill upgrading strategies, we find that all firms rely much more on promotions than on external movements in order to shift their occupational structure upward. In contrast, different training patterns are found across sectors: the use of ICT is strongly correlated with training for all occupational groups in manufacturing sectors, whereas this is not the case in services. This difference is robust to controlling for other sources of heterogeneity and may be explained by the fact that labour turnover is much higher in services than in manufacturing. |
| Date: | 2009 |
| URL: | http://d.repec.org/n?u=RePEc:pse:psecon:2009-24&r=eec |
| By: | Astrid Coates (ISE, University of Antwerp); Wim Van Opstal (HIVA, Catholic University of Leuven) |
| Abstract: | In the last two decades, several innovative legal frameworks for social entrepreneurship were developed across Europe. The differential success of these innovations raise certain questions. Is the intrinsic design of these legal frameworks optimal for social enterprises? Secondly, is the attractive capacity of these legal frameworks high enough to attract both new as existing social enterprises? And lastly, have these new legal frameworks reached full maturity? If this is not the case, these changes may well impede rather than encourage the development of social enterprises. In this paper, we look at the Belgian situation where an innovative framework was introduced and where multiple legal frameworks for social entrepreneurship coexist. By means of a multi-disciplinary approach involving law and economics, we investigate the joys and burdens of having numerous legal frameworks for social enterprises. We provide an introduction to the Belgian legal environment for social entrepreneurship, and argue that the current institutional design is suboptimal. Finally, we conclude with lessons that can be learned from the Belgian case relevant for other countries and contexts. |
| Keywords: | legal design, social enterprise |
| JEL: | K22 K23 L21 L31 |
| Date: | 2009–05 |
| URL: | http://d.repec.org/n?u=RePEc:hva:wpssce:0903&r=eec |
| By: | Catherine Pollak (CES - Centre d'économie de la Sorbonne - CNRS : UMR8174 - Université Panthéon-Sorbonne - Paris I) |
| Abstract: | Cet article explore l'impact de différentes stratégies d'emploi sur la satisfaction au travail et la santé perçue des seniors. Dans un contexte européen de politiques visant à accroître les taux d'emploi des seniors, la question du maintien en emploi des seniors en mauvaise santé et/ou subissant des conditions de travail pénibles est d'actualité. Les politiques de maintien en emploi reposent principalement sur des incitations financières et la restriction de l'accès aux dispositifs de cessation anticipée d'activité. Cependant, certains pays européens ont fait de la soutenabilité du travail un axe majeur de leurs stratégies d'emploi et mené des politiques d'amélioration des conditions de travail. Pour appréhender ce contexte institutionnel, nous menons une comparaison de la capacité de travail de la main-d'oeuvre vieillissante dans onze pays européens à partir d'une analyse factorielle sur données individuelles (enquête SHARE, 2004). On entend ici par capacité de travail l'état de santé subjectif des individus et leurs conditions de travail déclarées (pression physique et psychologique, latitude décisionnelle, sentiment de récompense, perspectives d'emploi). L'analyse met en évidence que les seniors des pays nordiques et continentaux sont davantage satisfaits en termes de conditions de travail et de santé que les seniors des pays méditerranéens. Ce résultat est d'autant plus marquant que l'on peut s'attendre à un effet de travailleur sain plus fort dans ce dernier groupe : cet effet de sélection conduit à avoir un échantillon de personnes en emploi plus jeune et a priori en meilleure santé. L'analyse exploratoire fait émerger des hypothèses sur la gestion différenciée de la santé en fin de carrière. Les pays ayant adopté une stratégie nordique de vieillissement actif réussissent à avoir de bonnes performances tant sur le plan des taux d'emploi que sur celui des conditions de travail. Ceci indique qu'ils parviennent à maintenir en emploi des personnes en moins bonne santé par des mécanismes de compensation. La position relative défavorable de la France révèle une intensification du travail subie également par les travailleurs âgés et qui se révèle par des conditions de travail moins bien supportées. |
| Keywords: | satisfaction au travail, conditions de travail, santé subjective, emploi des seniors, analyse factorielle |
| Date: | 2009–06 |
| URL: | http://d.repec.org/n?u=RePEc:hal:journl:hal-00396231_v1&r=eec |
| By: | Kritikos, Alexander S. (DIW Berlin); Kneiding, Christoph (World Bank); Germelmann, Claas Christian (Saarland University) |
| Abstract: | In developing and transition economies, microlending has become an effective instrument for providing micro businesses with the necessary financial resources to launch operations. In the industrialized countries, with their highly developed banking systems, however, there has been ongoing debate on the question of whether an uncovered demand for microlending services exists. The present pilot study explores customer preferences for microlending products in Germany. Among the interviewed business owners, 15% reported revolving funding needs and an interest in microloans. We find that potential recipients of microloan products are retail business owners, foreign business owners, and persons who had previously received private loans. Furthermore, financial products should feature rapid access to short-term loans. |
| Keywords: | entrepreneurship, microlending, market research |
| JEL: | G21 D12 M31 |
| Date: | 2009–07 |
| URL: | http://d.repec.org/n?u=RePEc:iza:izadps:dp4292&r=eec |