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Swiss Journal of Economics and Statistics最新文献

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Unbiased weighted variance and skewness estimators for overlapping returns. 重叠收益的无偏加权方差和偏度估计。
Swiss Journal of Economics and Statistics Pub Date : 2018-01-01 Epub Date: 2018-11-17 DOI: 10.1186/s41937-018-0023-1
Stephen Taylor, Ming Fang
{"title":"Unbiased weighted variance and skewness estimators for overlapping returns.","authors":"Stephen Taylor,&nbsp;Ming Fang","doi":"10.1186/s41937-018-0023-1","DOIUrl":"https://doi.org/10.1186/s41937-018-0023-1","url":null,"abstract":"<p><p>This article develops unbiased weighted variance and skewness estimators for overlapping return distributions. These estimators extend the variance estimation methods constructed in Bod et. al. (Applied Financial Economics 12:155-158, 2002) and Lo and MacKinlay (Review of Financial Studies 1:41-66, 1988). In addition, they may be used in overlapping return variance or skewness ratio tests as in Charles and Darné (Journal of Economic Surveys 3:503-527, 2009) and Wong (Cardiff Economics Working Papers, 2016). An example using synthetic overlapping returns from a model fit to data from the SPY S&P 500 exchange traded fund is given in order to demonstrate under which circumstances the unbiased correction becomes significant in skewness estimation. Finally, we compare the effect of the HAC weighting schemes of Andrews (Econometrica 53:817-858, 1991) as a function of sample size and overlapping return window length.</p>","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"154 1","pages":"21"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41937-018-0023-1","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"36757073","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Economists: moral realists or real moralists? Comment on Fourcade and Brunetti. 经济学家:道德现实主义者还是真正的道德主义者?评论Fourcade和Brunetti。
Swiss Journal of Economics and Statistics Pub Date : 2018-01-01 Epub Date: 2018-01-25 DOI: 10.1186/s41937-017-0018-3
Monika Bütler
{"title":"Economists: moral realists or real moralists? Comment on Fourcade and Brunetti.","authors":"Monika Bütler","doi":"10.1186/s41937-017-0018-3","DOIUrl":"https://doi.org/10.1186/s41937-017-0018-3","url":null,"abstract":"","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"154 1","pages":"4"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41937-017-0018-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"36674834","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Optimal equity capital requirements for large Swiss banks. 瑞士大型银行的最佳股本要求。
Swiss Journal of Economics and Statistics Pub Date : 2018-01-01 Epub Date: 2018-08-22 DOI: 10.1186/s41937-018-0025-z
Georg Junge, Peter Kugler
{"title":"Optimal equity capital requirements for large Swiss banks.","authors":"Georg Junge,&nbsp;Peter Kugler","doi":"10.1186/s41937-018-0025-z","DOIUrl":"https://doi.org/10.1186/s41937-018-0025-z","url":null,"abstract":"<p><p>Ten years after the worst financial crisis of the post-war period, Switzerland has established a Too-Big-To-Fail (TBTF) framework. Under this framework, the two large Swiss banks are subject to substantial capital requirements. It is not obvious whether the TBTF capital requirements are sufficient to prevent banks from plunging the country into a financial crisis once again. We estimate the social costs and benefits of higher capital requirements for the two large Swiss banks and derive socially optimal capital ratios from the cost-benefit trade-off. Our results show that Swiss TBTF capital requirements still fall short of socially optimal capital ratios.</p>","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"154 1","pages":"22"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41937-018-0025-z","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"36737460","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Inheritance flows in Switzerland, 1911-2011. 继承在瑞士流动，1911-2011。
Swiss Journal of Economics and Statistics Pub Date : 2018-01-01 Epub Date: 2018-03-06 DOI: 10.1186/s41937-017-0012-9
Marius Brülhart, Didier Dupertuis, Elodie Moreau
{"title":"Inheritance flows in Switzerland, 1911-2011.","authors":"Marius Brülhart,&nbsp;Didier Dupertuis,&nbsp;Elodie Moreau","doi":"10.1186/s41937-017-0012-9","DOIUrl":"https://doi.org/10.1186/s41937-017-0012-9","url":null,"abstract":"<p><p>We estimate the size of inheritance flows in Switzerland over a long span of data, in close analogy to the study for France by Piketty (Q J Econ 126(3):1071-1131, 2011). We find that inheritance flows had been growing more slowly than national income up until the 1970s, but have been outpacing income growth since. According to our central estimates, the annual flow of inheritance amounted to 13.2% of national income in 2011. The share of total wealth that is attributable to inheritance has remained relatively stable over time, fluctuating between 45 and 60%.</p>","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"154 1","pages":"8"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41937-017-0012-9","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"36674838","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Openness and productivity of the Swiss economy. 瑞士经济的开放性和生产力。
Swiss Journal of Economics and Statistics Pub Date : 2018-01-01 Epub Date: 2018-09-17 DOI: 10.1186/s41937-018-0021-3
Reto Föllmi, Angela Fuest, Philipp An de Meulen, Martin Micheli, Torsten Schmidt, Lina Zwick
{"title":"Openness and productivity of the Swiss economy.","authors":"Reto Föllmi,&nbsp;Angela Fuest,&nbsp;Philipp An de Meulen,&nbsp;Martin Micheli,&nbsp;Torsten Schmidt,&nbsp;Lina Zwick","doi":"10.1186/s41937-018-0021-3","DOIUrl":"https://doi.org/10.1186/s41937-018-0021-3","url":null,"abstract":"<p><p>This paper analyzes the connection between openness and economic performance in Switzerland. Considering different dimensions of openness, we show that the Swiss economy is classified as relatively open. Nevertheless, there still is potential to further increase international integration, particularly through deregulation in the services sector. We also show that for some branches in the Swiss manufacturing sector, increases in international trade are associated with higher productivity in the long run. With regard to financial openness, we show that in the aftermath of the financial crisis, Switzerland mainly suffered from capital retrenchment. Foreign capital inflows were of minor importance. Short-run costs due to high volatility of capital flows might therefore be lower than widely perceived.</p>","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"154 1","pages":"17"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41937-018-0021-3","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"36674780","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Methods to identify linear network models: a review. 线性网络模型的识别方法综述。
Swiss Journal of Economics and Statistics Pub Date : 2018-01-01 Epub Date: 2018-02-05 DOI: 10.1186/s41937-017-0011-x
Arun Advani, Bansi Malde
{"title":"Methods to identify linear network models: a review.","authors":"Arun Advani,&nbsp;Bansi Malde","doi":"10.1186/s41937-017-0011-x","DOIUrl":"https://doi.org/10.1186/s41937-017-0011-x","url":null,"abstract":"<p><p>In many contexts we may be interested in understanding whether direct connections between agents, such as declared friendships in a classroom or family links in a rural village, affect their outcomes. In this paper, we review the literature studying econometric methods for the analysis of linear models of <i>social effects</i>, a class that includes the 'linear-in-means' local average model, the local aggregate model, and models where network statistics affect outcomes. We provide an overview of the underlying theoretical models, before discussing conditions for identification using observational and experimental/quasi-experimental data.</p>","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"154 1","pages":"12"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41937-017-0011-x","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"36674776","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Economics: the view from below. 经济学:从下面看问题。
Swiss Journal of Economics and Statistics Pub Date : 2018-01-01 Epub Date: 2018-01-25 DOI: 10.1186/s41937-017-0019-2
Marion Fourcade
{"title":"Economics: the view from below.","authors":"Marion Fourcade","doi":"10.1186/s41937-017-0019-2","DOIUrl":"https://doi.org/10.1186/s41937-017-0019-2","url":null,"abstract":"","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"154 1","pages":"5"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41937-017-0019-2","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"36674835","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 19
Interest-parity conditions during the era of the classical gold standard (1880-1914)-evidence from the investment demand for bills of exchange in Europe. 古典金本位时代(1880-1914)的利率平价条件——来自欧洲汇票投资需求的证据。
Swiss Journal of Economics and Statistics Pub Date : 2018-01-01 Epub Date: 2018-05-01 DOI: 10.1186/s41937-017-0008-5
Nils Herger
{"title":"Interest-parity conditions during the era of the classical gold standard (1880-1914)-evidence from the investment demand for bills of exchange in Europe.","authors":"Nils Herger","doi":"10.1186/s41937-017-0008-5","DOIUrl":"https://doi.org/10.1186/s41937-017-0008-5","url":null,"abstract":"<p><p>This paper examines interest-parity conditions that arguably held as regards the investment demand for bills of exchange during the classical gold standard (1880-1914). Contemporaneous guides to the foreign exchanges report that close connections between the exchange and discount rates arose mainly with bills traded in London and the major financial centres on the European continent. As implied by the interest-parity condition, and in particular when future exchange-rate movements were covered by a suitable long-bill transaction, weekly data do suggest that between Paris, Amsterdam, Berlin, Brussels, and London, the return from discounting bills of exchange in the local money market was roughly equivalent to the return from investing in foreign currency bills.</p>","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"154 1","pages":"9"},"PeriodicalIF":0.0,"publicationDate":"2018-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1186/s41937-017-0008-5","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"36674839","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Determinants of Business Fixed Investment: Evidence from German Firm-Level Data 企业固定投资的决定因素:来自德国企业层面数据的证据
Swiss Journal of Economics and Statistics Pub Date : 2016-10-01 DOI: 10.1515/JBNST-2015-1027
Buettner Thiess, Hoenig Anja
{"title":"Determinants of Business Fixed Investment: Evidence from German Firm-Level Data","authors":"Buettner Thiess, Hoenig Anja","doi":"10.1515/JBNST-2015-1027","DOIUrl":"https://doi.org/10.1515/JBNST-2015-1027","url":null,"abstract":"This paper employs a novel firm-level dataset that combines financial accounts of German firms with data from a business survey to shed new light on the demand for capital. The empirical analysis employs firm-specific indicators in order to explore the effects of sales, the cost of capital and indicators of the business climate, which are used by the ifo Institute to provide a leading indicator for the German economy. The empirical results support a robust significant effect of a firm’s cost of capital on the stock of capital with an elasticity not significantly different from –1. Controlling for sales, a good rather than normal business situation is found to be associated with about 8 % higher investment.","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"8 1","pages":"533-556"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87036376","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
It’s About Connections – How the Economic Network of the German Federal Government Affects the Top Earners’ Average Income Tax Rate 这是关于关系——德国联邦政府的经济网络如何影响高收入者的平均所得税率
Swiss Journal of Economics and Statistics Pub Date : 2016-08-01 DOI: 10.1515/JBNST-2015-1020
Scharfenkamp Katrin
{"title":"It’s About Connections – How the Economic Network of the German Federal Government Affects the Top Earners’ Average Income Tax Rate","authors":"Scharfenkamp Katrin","doi":"10.1515/JBNST-2015-1020","DOIUrl":"https://doi.org/10.1515/JBNST-2015-1020","url":null,"abstract":"Building on arguments to political incomes, career concerns and elitist networks, this study assumes that an increasing percentage of highly incentivized former executive board members within the German Federal Government (1957–2012) will decrease the top earners’ average income tax rate during the subsequent year. Conversely, the percentage of lower incentivized former supervisory board members is assumed to increase the top earners’ average income tax rate. Both effects are assumed to be enforced if the ruling parties have strong support in the German Bundestag. The empirical results significantly confirm the unconditional effect for former executive board members and the conditional effect for former supervisory board members.","PeriodicalId":36872,"journal":{"name":"Swiss Journal of Economics and Statistics","volume":"28 1","pages":"427-453"},"PeriodicalIF":0.0,"publicationDate":"2016-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83978490","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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