Leopold Sögner

An analysis on the structural stability of Okun's law--a cross-country study

Okuns law postulates an inverse relationship between movements of the unemployment rate and the real gross domestic product (GDP). This article investigates Okuns law for 15 OECD countries and checks for its the structural stability. By using data on employment and the labour force whether structural instability is caused either from the demand side or supply side is inferred.

The Economic Role of Jumps and Recovery Rates in the Market for Corporate Default Risk

Using an extensive cross section of U.S. corporate credit default swaps (CDSs), this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based jump-diffusion model. Implied LGD is well identified, with obligors possessing substantial tangible assets expected to recover more. Sudden increases in the default risk of investment-grade obligors are higher relative to speculative grade. The probability of structural migration to default is low for investment-grade and heavily regulated obligors because investors fear distress rather through rare but devastating events.

Socioeconomic Factors and Suicide: An Analysis of 18 Industrialized Countries for the Years 1983 Through 2007

Objective: To evaluate the association between socioeconomic factors and suicide rates. Methods: Analysis of time series of suicide rates, gross domestic product, unemployment rates, labor force participation, and divorce rates of 18 countries are analyzed by the application of panel-vector error correction models. Main outcome measures are the association between the socioeconomic factors and suicide rates. Results: Decreasing economic growth and increasing divorce rates are significantly associated with increasing suicide rates in men. For women, increasing economic growth, increasing unemployment, and increasing divorce rates are significantly associated with increasing suicides. Increasing female labor force participation is associated with decreasing suicides. Conclusion: Socioeconomic factors are associated with suicide rates. However, this relationship differs by sex. The current results provide a strong argument that suicide prevention strategies must include the monitoring of socioeconomic development.

Consistent expectations equilibria and learning in a stock market

Abstract In this article we investigate the question whether the highly demanding informative requirements of rational expectations models are necessary to derive equilibria within capital market models. In this analysis agents are only provided with publicly available information such as prices and dividends. Nevertheless, we require that agents should behave like econometricians. Additionally, we skip the assumption of rational expectations models that agents know the implied actual law of motion of the system. By these assumptions, the stock market can be considered as a Hommes–Sorger consistent expectations model. We show the existence of consistent expectations equilibria with myopic agents and independent identically distributed dividends. The only CEE is the rational expectations equilibrium. In the simulation part we demonstrate how the steady-state CEE can be derived by means of sample autocorrelation learning. Thus, we are able to derive a stock market equilibrium with less demanding requirements, where this equilibrium is equal to the rational expectations equilibrium.

The Jarrow/Turnbull default risk model—Evidence from the German market

Abstract This article estimates default intensities within the continuous-time Jarrow and Turnbull model for German bank and corporate bond prices. It is shown that a joint implicit estimation of the default intensity and the recovery rate is numerically unstable. In addition to cross-sectional estimations, separate estimations (for each bond individually) are performed. Results strongly support separate estimation over the building of any cross-sections. In contrast to preceeding literature, the optimum volume of data required to provide reasonable estimates of the default intensity is also investigated. It is shown that calibration based on daily data as a rule does not minimize the ex ante mean squared pricing errors. Finally, it is shown that the constant default intensity assumption is not sound with the underlying data and the determinants of the default intensity are investigated. Regressions show that the lagged default intensity estimate, the level of the default-free term structure and liquidity proxies affect the estimated default intensity via joint parameters.

Economic growth and the incidence of occupational injuries in Austria

ZusammenfassungZIEL: Das Ziel der vorliegenden Studie bestand darin, den möglichen Einfluss des Wirtschaftswachstums gemessen durch das Bruttoinlandsprodukt auf die Inzidenz von Arbeitsunfällen in Österreich zu untersuchen. METHODIK: Die Beziehung zwischen dem Bruttoinlandsprodukt und Arbeitsunfällen von österreichischen Angestellten wurde zwischen den Jahren 1955 und 2004 mittels eines Fehlerkorrekturmodells analysiert. Im Jahr 1955 bestand die Stichprobe aus 1,568.371 Personen. 2004 umfasste sie 2,656.952 Personen. Die Arbeitsunfälle wurden in Unfälle mit tödlichem und mit nichttödlichem Ausgang unterteilt. RESULTATE: Zwischen 1955 und 2004 sank die Gesamtunfallrate von 8,59% auf 4,08%. Unfälle mit tödlichem Ausgang sanken von 0,03% auf 0,01%. Die Rate der Unfälle ohne tödlichem Ausgang halbierte sich von 8,56% auf 4,07%. Das österreichische Bruttoinlandsprodukt stieg von 37,7 Milliarden Euro auf 202,8 Milliarden Euro (Basis 1995). Die statistische Analyse zeigte, dass steigender Wohlstand deutlich mit sinkenden Arbeitsunfallraten (tödlich und nicht tödlich) assoziiert ist. Dieser Zusammenhang lässt sich einerseits dadurch erklären, dass in Zeiten der Rezession weniger Investitionen in neue und sichere Technologien sowie in den betriebsinternen Arbeitnehmerschutz investiert wird. Andererseits erhöht die Angst vor Arbeitslosigkeit, die in Rezessionsphasen deutlicher ausgeprägt ist, das Unfallrisiko. SCHLUSSFOLGERUNGEN: Die ökonomische Entwicklung hat Auswirkungen auf die Inzidenz von Arbeitsunfällen. Gerade während Phasen des verlangsamten Wirtschaftswachstums und in Phasen der Rezession sollten die Maßnahmen zur Steigerung der Arbeitssicherheit und zur Unfallprävention verstärkt werden.SummaryOBJECTIVES: The aim of this paper was to analyze the impact of economic growth measured by real gross domestic product (GDP) on the incidence of occupational injuries in Austria. METHODS: The relationship between GDP and the occupational injury rate of the wage-earning population between 1955 and 2004 was analyzed using an error correction model. The sample size increased from 1.568,371 persons in 1955 to 2.656,952 in 2004. Occupational injuries were divided into fatal and non-fatal injuries. RESULTS: Occupational injuries (fatal and non-fatal) decreased from 8.59% to 4.08%: non-fatal injuries decreased from 8.56% to 4.07%; fatal injuries decreased from 0.03% to 0.01%. Austrian GDP increased from EUR 37.7 billion to EUR 202.8 billion (base year 1995). Statistical analysis clearly shows that a growing economy is associated with declining injury rates (fatal and non-fatal). Two mechanisms are discussed. Firstly, rising GDP is accompanied by greater investment in safer technologies and occupational safety measures. Secondly, booming economies are associated with a reduced risk of unemployment, which is already known to be a risk factor for occupational injuries. CONCLUSIONS: Economic development appears to have an impact on the incidence of occupational injuries in Austria. Health policy should emphasize the necessity for safety at work particularly in phases of economic slowdown.

Stochastic Equilibrium: Learning by Exponential Smoothing

This article considers three standard asset pricing models with adaptive agents and stochastic dividends. The models only differ in the parameters to be estimated. We assume that only limited information is used to construct estimators. Therefore, parameters are not estimated consistently. More precisely, we assume that the parameters are estimated by exponential smoothing, where past parameters are down-weighted and the weight of recent observations does not decrease with time. This situation is familiar for applications in finance. Even if time series of volatile stocks or bonds are available for a long time, only recent data is used in the analysis. In this situation the prices do not converge and remain a random variable. This raises the question how to describe equilibrium behavior with stochastic prices. However, prices can reveal properties such as ergodicity, such that the law of the price process converges to a stationary law, which provides a natural and useful extension of the idea of equilibrium behavior of an economic system for a stochastic setup. It is this implied law of the price process that we investigate in this paper. We provide conditions for the ergodicity and analyze the stationary distribution. (authors abstract)

Bayesian Estimation of the Heston Stochastic Volatility Model

The goal of this article is an exact Bayesian analysis of the Heston (1993) stochastic volatility model, where different parameterizations of the latent volatility process and the parameters of the volatility process will be used to improve convergence and the mixing behavior of the sampler. We apply the sampler to simulated data and to DM/Us

Adaptive Erwartungsbildung und Finanzmarktdynamik

exchange rate data.

The Risk Microstructure of Corporate Bonds: A Case Study from the German Corporate Bond Market

SummaryBased on a classical financial market model we discuss three model variants, each focusing on a different approach in the formation of (heterogeneous) beliefs about future asset prices: the concept of Consistent Expectations, the concept of Adaptive Belief Systems, and artificial financial markets, where beliefs (or expectations) are formed by Classifier Systems. We analyze the consequences of these different mechanisms of expectations formation on the equilibrium dynamics of asset prices and compare statistical properties of returns generated by these models with the characteristics of real world time series.