Invited Talk: The Macroeconomic Impact of Euro Area Labour Market Reforms: Evidence from a Narrative Panel VAR

Gerhard Rünstler (Monetary Policy Research, European Central Bank) holds a talk on “The Macroeconomic Impact of Euro Area Labour Market Reforms: Evidence from a Narrative Panel VAR” on Mon. May 22, 2023 at 4:15pm in B01.0.203 (Lakeside Park). Guests welcome!

Abstract

Using new quarterly narrative evidence, this paper examines the macro-economic impact of reforms of unemployment benefits (UB) and employment protection legislation (EPL) in the euro area from a Bayesian narrative panel VAR. The approach complements existing micro-econometric evidence by aligning short- and medium-term effects in a unified framework and assessing state dependencies. Liberalizing reforms result in temporary wage declines and highly persistent increases in economic activity and employment. In contrast to UB reforms, the effects of EPL reforms on employment emerge only gradually.

New Paper by Martin Wagner and Karsten Reichold Published in Econometric Reviews

“Panel cointegrating polynomial regressions: group-mean fully modified OLS estimation and inference” by Martin Wagner and Karsten Reichold has been published in Econometric Reviews.

New Master’s degree programme: Management, Economics, and Data Science

Digitalisation is revolutionising every aspect of economics. Thanks to this transformation, companies can use innovative tools to generate data volumes in the googol byte range. They need state-of-the-art management science methods to ensure that insights potentially contained in the data can be used in a meaningful and purposeful way to achieve success. Experts specialising in this cross-sectional subject – which cuts across all areas of data science and economics – will receive academic training at the University of Klagenfurt from the winter semester of 2023/24.

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Invited Talk: Jump Regressions Revisited

Prof. Mathias Vetter (Department of Mathematics, Kiel University) holds a talk on “Jump Regressions Revisited” on Thu. May 11, 2023 at 4:00pm in N.1.43. Guests welcome!

Abstract

A relevant question in the econometrics literature is whether a jump in one stochastic process Z triggers a jump in a related process Y. Starting with the work by Li, Todorov and Tauchen (2017), several papers have discussed this issue, typically in the situation where a jump in Z forces Y to have a jump as well, with the size of the jump in Y given as a function of the simultaneous jump in Z. Asymptotics are then derived in a high-frequency setting, often with the functional relation being linear and based on finite activity jumps in Y and Z. In this talk, we will discuss more realistic scenarios, including infinite activity jumps and a more classical regression assumption, namely that the jump sizes in Y are not given exactly by a function of the corresponding jump size in Z, but involving additional i.i.d. errors. We will sketch how asymptotical results can be obtained in two different situations.