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    <title>EconStor Collection: Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank</title>
    <link>http://hdl.handle.net/10419/23</link>
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  <item rdf:about="http://hdl.handle.net/10419/55529">
    <title>U-MIDAS: MIDAS regressions with unrestricted lag polynomials</title>
    <link>http://hdl.handle.net/10419/55529</link>
    <description>Title: U-MIDAS: MIDAS regressions with unrestricted lag polynomials
&lt;br/&gt;
&lt;br/&gt;Authors: Foroni, Claudia; Marcellino, Massimiliano; Schumacher, Christian
&lt;br/&gt;
&lt;br/&gt;Abstract: Mixed-data sampling (MIDAS) regressions allow to estimate dynamic equations that explain a low-frequency variable by high-frequency variables and their lags. When the difference in sampling frequencies between the regressand and the regressors is large, distributed lag functions are typically employed to model dynamics avoiding parameter proliferation. In macroeconomic applications, however, differences in sampling frequencies are often small. In such a case, it might not be necessary to employ distributed lag functions. In this paper, we discuss the pros and cons of unrestricted lag polynomials in MIDAS regressions. We derive unrestricted MIDAS regressions (U-MIDAS) from linear high-frequency models, discuss identification issues, and show that their parameters can be estimated by OLS. In Monte Carlo experiments, we compare U-MIDAS to MIDAS with functional distributed lags estimated by NLS. We show that U-MIDAS generally performs better than MIDAS when mixing quarterly and monthly data. On the other hand, with larger differences in sampling frequencies, distributed lag-functions outperform unrestricted polynomials. In an empirical application on out-of-sample nowcasting GDP in the US and the Euro area using monthly predictors, we find a good performance of U-MIDAS for a number of indicators, albeit the results depend on the evaluation sample. We suggest to consider U-MIDAS as a potential alternative to the existing MIDAS approach in particular for mixing monthly and quarterly variables. In practice, the choice between the two approaches should be made on a case-by-case basis, depending on their relative performance.</description>
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  <item rdf:about="http://hdl.handle.net/10419/55528">
    <title>Transitions in the German labor market: Structure and crisis</title>
    <link>http://hdl.handle.net/10419/55528</link>
    <description>Title: Transitions in the German labor market: Structure and crisis
&lt;br/&gt;
&lt;br/&gt;Authors: Krause, Michael U.; Uhlig, Harald
&lt;br/&gt;
&lt;br/&gt;Abstract: Since the so-called Hartz IV reforms around 2005 and during the global crisis of 2008/2009, the German labor market featured mainly declining unemployment rates. We develop a search and matching model with heterogeneous skills to explore the role of structural and cyclical policies for this performance. Calibrating unemployment benefits to approximate legislation before and after the reforms, we find a large reduction in unemployment and its duration, with the transition concluding after about three years. During the crisis, the extended use of short-time labor subsidies that prevent jobs from being destroyed is likely to have prevented strong increases in unemployment.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/54986">
    <title>Cross-border bank lending, risk aversion and the financial crisis</title>
    <link>http://hdl.handle.net/10419/54986</link>
    <description>Title: Cross-border bank lending, risk aversion and the financial crisis
&lt;br/&gt;
&lt;br/&gt;Authors: Düwel, Cornelia; Frey, Rainer; Lipponer, Alexander
&lt;br/&gt;
&lt;br/&gt;Abstract: This study investigates the determinants of adjustments in the provision of cross-border loans by internationally active banks. For the period from 2002 to 2010, we look at quarterly transaction data (excluding valuation effects) on long-term loans issued by the largest 69 German banking groups to the private sector of 66 countries. We show that the parent bank's lending adjustment is based almost exclusively on supply-side determinants, in particular on bank-specific factors. However, foreign countries' demand and risk characteristics become more relevant when loans are distributed by banks' affiliates located abroad. Focusing on risk measures such as the parent bank's ratio of Tier I capital to risk-weighted assets, we find that rising risk aversion among banks curbed cross-border lending during the financial crisis, especially at a later stage following the collapse of Lehman Brothers. However, we find a threshold at around 11% of the Tier I capital ratio above which an increase in the ratio does not curb lending anymore.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/54985">
    <title>Optimal savings for retirement: The role of individual accounts and disaster expectations</title>
    <link>http://hdl.handle.net/10419/54985</link>
    <description>Title: Optimal savings for retirement: The role of individual accounts and disaster expectations
&lt;br/&gt;
&lt;br/&gt;Authors: Le Blanc, Julia; Scholl, Almuth
&lt;br/&gt;
&lt;br/&gt;Abstract: We employ a life-cycle model with income risk to analyze how tax-deferred individual accounts affect households' savings for retirement. We consider voluntary accounts as opposed to mandatory accounts with minimum contribution rates. We contrast add-on accounts with carve-out accounts that partly replace social security contributions. Quantitative results suggest that making add-on accounts mandatory has adverse welfare effects across income groups. Carve-out accounts generate welfare gains for high and middle income earners but welfare losses for low income earners. In the presence of rare stock market disasters, individual accounts with default portfolio allocation crowd out direct stockholding and substantially reduce welfare.</description>
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