RSS 1.0Sonderforschungsbereich 649: Ökonomisches Risiko
About the CRC 649
We live in a world full of uncertainty. Uncertainty about the future influence present decisions.
Financial market fluctuations threaten household wealth, real estate, or the value of bonds and shares. Unforeseen technical innovations destroy the market position of well-established firms. Cyclical fluctuations endanger employment. Economic policy is constantly challenged by growth risks. The pivotal meaning of economic risk has not until now be given sufficient consideration.
Please note: the Collaborative Research Center 649 and its publication series was successfully concluded at the end of 2017.
Humboldt-Universität zu Berlin
School of Business and Economics
Coordinator: Prof. Dr. Wolfgang Härdle
Deputy Coordinator: Prof. Michael C. Burda, Ph.D.
http://sfb649.wiwi.hu-berlin.de
ISSN 1860-5664
Recent Submissions
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2017-11-06DiskussionspapierIs Scientific Performance a Function of Funds? The management of universities demands data on teaching and research performance. While teaching parameters can be measured via student performance and teacher evaluation programs, the connection of research outputs and ...
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2017-11-06DiskussionspapierDynamic semi-parametric factor model for functional expectiles High-frequency data can provide us with a quantity of informa- tion for forecasting, help to calculate and prevent the future risk based on extremes. This tail behaviour is very often driven by ex- ogenous components and ...
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2017-11-06DiskussionspapierDynamic Semiparametric Factor Model with a Common Break For change-point analysis of high dimensional time series, we consider a semiparametric model with dynamic structural break factors. The observations are described by a few low dimensional factors with time-invariate loading ...
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2017-11-06DiskussionspapierRealized volatility of CO2 futures The EU Emission Trading System (EU ETS) was created to reduce the CO2 and other greenhouse gas emissions at the lowest economic cost. In reality market participants are faced with considerable uncertainty due to price ...
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2017-09-12DiskussionspapierSpatial Functional Principal Component Analysis with Applications to Brain Image Data This paper considers a fast and effective algorithm for conducting functional principle component analysis with multivariate factors. Compared with the univariate case, our approach could be more powerful in revealing ...
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2017-09-12DiskussionspapierPenalized Adaptive Method in Forecasting with Large Information Set and Structure Change In the present paper we propose a new method, the Penalized Adaptive Method (PAM), for a data driven detection of structure changes in sparse linear models. The method is able to allocate the longest homogeneous intervals ...
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2017-08-28DiskussionspapierDas deutsche Arbeitsmarktwunder: Eine Bilanz Dem deutschen Arbeitsmarkt ging es noch nie seit der Wiedervereinigung so gut wie heute. Die nachhaltige Entwicklung seit 2005 ist auf zwei entscheidende Treiber zurückzuführen: die Umverteilung eines beinahe gleichbleibenden ...
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2017-08-23DiskussionspapierThe systemic risk of central SIFIs Systemic risk quantification in the current literature is concentrated on market-based methods such as CoVaR(Adrian and Brunnermeier (2016)). Although it is easily implemented, the interactions among the variables of ...
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2017-08-23DiskussionspapierPricing Green Financial Products With increasing wind power penetration more and more volatile and weather dependent energy is fed into the German electricity system. To manage the risk of windless days and transfer revenue risk from wind turbine owners ...
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2017-08-11DiskussionspapierRacial/Ethnic Differences In Non-Work At Wor
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2017-08-09DiskussionspapierSocial Security Contributions and the Business Cycle This paper examines magnitudes and business cycle dynamics of social security contributions (SSC). In most OECD countries studied, we document a negative covariation of payroll tax burdens with GDP and GDP growth at business ...
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2017-08-09DiskussionspapierGeneralized Entropy and Model Uncertainty I entertain a generalization of the standard Bolzmann-Gibbs-Shannon measure of entropy in multiplier preferences of model uncertainty. Using this measure, I derive a generalized exponential certainty equivalent, which nests ...
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2017-07-21DiskussionspapierConditional moment restrictions and the role of density information in estimated structural models While incomplete models are desirable due to their robustness to misspecification, they cannot be used to conduct full information exercises i.e. counterfactual experiments and predictions. Moreover, the performance of the ...
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2017-07-17Diskussionspapier(Un)expected Monetary Policy Shocks and Term Premia We analyze an estimated stochastic general equilibrium model that replicates key macroeconomic and financial stylized facts during the Great Moderation of 1983-2007. Our model predicts a sizeable and volatile nominal term ...
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2017-07-10DiskussionspapierInvesting with cryptocurrencies Cryptocurrencies have left the dark side of the finance universe and become an object of study for asset and portfolio management. Since they have a low liquidity compared to traditional assets, one needs to take into ...
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2017-07-04DiskussionspapierAdaptive weights clustering of research papers The JEL classification system is a standard way of assigning key topics to economic articles in order to make them more easily retrievable in the bulk of nowadays massive literature. Usually the JEL (Journal of Economic ...
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2017-05-29DiskussionspapierIndustry Interdependency Dynamics in a Network Context This paper contributes to model the industry interconnecting structure in a network context. General predictive model (Rapach et al. 2016) is extended to quantile LASSO regression so as to incorporate tail risks in the ...
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2017-05-29DiskussionspapierThe impact of news on US household inflation expectations Analysis of monthly disaggregated data from 1978 to 2016 on US household in ation expectations reveals that exposure to news on in ation and monetary policy helps to explain in ation expectations. This remains true when ...
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2017-05-29DiskussionspapierData science & digital society Data Science looks at raw numbers and informational objects created by different disciplines. The Digital Society creates information and numbers from many scientiHic disciplines. The amassment of data though makes is hard ...
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2017-05-29DiskussionspapierThe Economics of German Unification after Twenty-five Years: Lessons for Korea This paper reviews the performance of the East German economy in the turbulent quarter-century following reunification and draws some conclusions for the reunification of North and South Korea. In this period, the gap in ...
