Econometrics and models

Econometric Time Series Identification Verification for Structural Vector Autoregressions with Sparse Heterogeneous Markov Switching Heteroskedasticity We propose a structural vector autoregressive model with a new and flexible specification of the volatility process which we call Sparse Heterogeneous Markov-Switching Heteroskedasticity. In this model, the conditional variance of each structural shock changes in time according to its own Markov process. Additionally, it features a sparse represe...

Dynamic General Equilibrium Fiscal Theory of the Price Level in Small and Open Economies #Fiscal_theory_of_the_price_level_inflation_exchange_rate_fiscal_and_monetary_policy_interactions_currency_composition_of_government_debt A salient feature of many emerging and developing economies is that a substantial fraction of government debt is denominated in foreign currency. We study the implications of the Fiscal Theory of the Price Level (FTPL) in a standard New Keynesian small and open economy mod...

German Papers Arbeitsbedingungen vor, während und nach der Covid-19-Pandemie: Die Beschäftigungsqualität ist weitgehend stabil geblieben (Working conditions before, after and during the Covid-19 pandemic: Job quality mostly remained stable) #IAB_Haushaltspanel "This study investigates the trajectories of the Covid-19 pandemic for different job quality dimensions between essential and non-essential workers, namely: Work-life-balance, pay satisfaction, autonomy, job demands, and career prospects. ...

German Papers Strukturwandel in Mitteldeutschland "Technologischer Wandel, darunter die Digitalisierung vieler Wirtschaftsbereiche, die Verschiebung von Märkten und nicht zuletzt die demografische Entwicklung prägten den beruflichen Strukturwandel in Mitteldeutschland in der letzten Dekade. Diese Entwicklung abzubilden ist das Ziel der vorliegenden Studie. Dabei liegt der Fokus auf Mitteldeutschland, seine Kreise und Arbeitsmarktregionen; zum Vergleich wurden allerdings häufig die Werte aller 16...

Econometric Time Series Testing for Endogeneity: A Moment-Based Bayesian Approach A standard assumption in the Bayesian estimation of linear regression models is that the regressors are exogenous in the sense that they are uncorrelated with the model error term. In practice, however, this assumption can be invalid. In this paper, using the exponentially tilted empirical likelihood framework, we develop a Bayes factor test for endogeneity that compares a base model that is correctly specified und...

Econometric Time Series Testing the Exclusion Restriction in IV Models Using Non-Gaussianity: A LiNGAM-Based Approach Instrumental variable (IV) methods rely critically on the exclusion restriction, which is untestable in exactly-identified models under standard assumptions. We propose a framework combining IV analysis with the LiNGAM method to test this restriction by exploiting non-Gaussianity in the data. Under non-Gaussian structural errors, the exclusion violation parameter is point-identif...

Econometric Time Series Same Error, Different Function: The Optimizer as an Implicit Prior in Financial Time Series Neural networks applied to financial time series operate in a regime of underspecification, where model predictors achieve indistinguishable out-of-sample error. Using large-scale volatility forecasting for S$\&$P 500 stocks, we show that different model-training-pipeline pairs with identical test loss learn qualitatively different functions. Across architectures, pr...

Econometric Time Series Long-Run Linkages and Parameter Instability in the Gold–Silver Relationship, 2010–2025 #gold_silver_cointegration_fractional_integration_structural_breaks_PELT_algorithm_Bai–Perron_test_fractional_cointegration_FCVAR This paper examines long-run linkages and possible instabilities in the gold–silver price relationship using daily futures prices over the period from 4 January 2010 to 28 November 2025. The empirical analysis includes unit-root and cointegration tests as wel...

German Papers Push- und Pull-Faktoren transnationaler Geldwäscheströme in Deutschland Geldwäsche ist ein transnationales Phänomen. Inkriminierte Vermögenswerte werden über Grenzen hinweg verschoben – gerade im Bereich organisierter Kriminalität gelangen die in einem Staat erzielten Erträge aus kriminellen Aktivitäten regelmäßig ins Ausland, um sie dem Zugriff der nationalen Strafverfolgungsbehörden zu entziehen. Die vorliegende Studie widmet sich erstmals systematisch der transnationalen Dimensi...

Dynamic General Equilibrium Intertemporal Self-insurance and Excess Sensitivity of Affluent Households #Incomplete_Markets_Self_Insurance_Sorting_Marginal_Propensity_to_Consume This paper studies household consumption behavior when saving motives differ due to preference or income risk heterogeneity. I show that self-insurance operates along two margins: a standard liquidity margin determined by the level of current resources and an intertemporal margin governed by target savings. Stronger savin...