Empirical Economics最新文献

We forecast excess returns of the S &P 500 index using a flexible Bayesian econometric state space model with non-Gaussian features at several levels. More precisely, we control for overparameterization via global-local shrinkage priors on the state innovation variances as well as the time-invariant part of the state space model. The shrinkage priors are complemented by heavy tailed state innovations that cater for potential large breaks in the latent states, even if the degree of shrinkage introduced is high. Moreover, we allow for leptokurtic stochastic volatility in the observation equation. The empirical findings indicate that several variants of the proposed approach outperform typical competitors frequently used in the literature, both in terms of point and density forecasts.

While the share of health spending from public sources dedicated to preventive care has increased, the extent to which this preventive care spending can reduce mortality is still uncertain, mainly since effects may occur only in the long run. This paper takes advantage of a recent econometric method to empirically examine the long-run relationship between mortality and public preventive care spending in 37 OECD countries from 1970 to 2019. We construct an unbalanced longitudinal dataset on all-cause mortality and public preventive spending from publicly available OECD datasets. We detect cointegration and cross-sectional dependence in our data. This leads us to use the dynamic common correlated effects (DCCE) panel error correction model from Chudik and Pesaran (2015) to address these issues and account for heterogeneity across OECD countries. Our results indicate a long-run preventive care spending elasticity of $-$ 0.10 in the OECD, and Granger non-causality tests suggest this may be a causal effect of spending on mortality. We also find that the long-run preventive care spending elasticity is of +0.04 for life expectancy at age 65. To better understand mechanisms, we explore the subcategories of preventive care spending and find that early disease detection programs and immunization programs drive the mortality reduction. To compare with other government health expenditures, we run our models using inpatient and outpatient healthcare expenditures as predictors and find the long-run association with mortality is less consistent. Overall, our findings indicate that higher preventive care spending may help reduce mortality in the long run in OECD countries, but this relationship is likely small.

Supplementary information: The online version contains supplementary material available at 10.1007/s00181-025-02820-2.

This research estimates the effect of a COVID-19 infection on the employment probabilities of two cohorts of labour-market entrants in the Netherlands. To identify the causal effect, we exploit variation in registered (positive) COVID-19 (PCR) test results among graduates over time and estimate a heterogeneity-robust difference-in-difference model. The empirical results suggest that a COVID-19 infection decreases the employment probabilities of positively tested labour-market entrants (ATT) by 0.5-1.1 percentage points over a three-month period within the first fifteen months after graduation. The effect size and duration are limited and predominantly driven by graduates from secondary vocational education and those who are just entering the labour market. The estimated coefficients for graduates from higher education and those who have already been employed for some months are economically small. Due to differences in group size and timing of the event, a direct comparison to the effect of lockdown measures is not possible. However, the effect size (ATT) seems to be at most ten percent of the average effect (ATE) of COVID-19 related lockdowns.

We estimate the effects of monetary policy on the aggregate economy in Japan during the last three decades when the effective lower bound (ELB) on interest rates was occasionally binding. We use monetary policy surprises from the interest rate futures market as the external instrument to identify monetary policy shocks in the vector autoregressive model. We find that monetary policy has been effective in Japan during the last three decades, and the effect was more persistent in the ELB regime than in the non-ELB regime. In a simulation exercise, we further show that a New Keynesian model with forward guidance can replicate our empirical finding.

This paper examines the nature of instability in stochastic dynamical systems. Relying on a quantile approach, we propose to measure dynamic instability by the average rate of divergence ((AR{D}^{text{s}})) of the state along a finite forward stochastic path. Under stochastic shocks, (AR{D}^{text{s}}) is a random variable with a given distribution function that depends on the nature of the underlying dynamic process as well as the nature of the shocks. We show how our approach can be made empirically tractable using a quantile autoregression (QAR) model. In an empirical application to futures price, the QAR estimates provide statistical evidence that futures price instability varies with market conditions: instability increases with the maturity of the futures contract as well as with higher quantiles (representing positive shocks located in the upper tail of the price distribution). We find that neglecting stochastic shocks (e.g., under a deterministic dynamic analysis) tends to overstate the presence of instability. The results stress the importance of evaluating the dynamic impacts of shocks across the whole distribution.

We test whether precious metals and their mining stock counterparts are hedges, diversifiers or safe-havens against equity markets. We resort to multidimensional scaling and wavelet-based quantile correlation method to examine the association between precious metals, indices of precious metal mining stocks and equity market over both quantiles and frequencies. Our results indicate that the white precious metals and the mining stocks of gold and silver are potential diversifier assets. We also find that gold maintains the exclusivity of being both hedge and safe-haven against equity market. The results drawn have important implications for investors and managers operating at different time horizons in the equity market.

This paper provides a comprehensive empirical analysis of the role of discretionary fiscal policy for inflation differentials across the 19 euro area countries over the period 1999–2019. The results confirm existing (older) literature that it is difficult to find robust evidence of the fiscal policy stance or impulse impacting directly on inflation differentials. We do find, however, support for an indirect effect of discretionary fiscal policy on inflation differentials working through the output gap channel. There is also some evidence that fiscal policy may be especially potent in influencing inflation differentials—with fiscal tightening cooling (and fiscal expansion increasing) inflation pressures—when the economy is above its potential. Finally, going from the overall fiscal stance or impulse to individual fiscal instruments, we find that value added tax rate changes and public wage growth are statistically significant determinants of inflation differentials in our sample.

This article introduces a latent class approach to estimate the impact of a continuous and endogenous treatment on a continuous outcome, incorporating observed and unobserved heterogeneity in both the treatment and instrument effects, and relaxing the monotonicity assumption across groups of individuals. Our approach, based on a fully parametric model estimated via maximum likelihood, allows the parameters to vary across different classes (groups) of individuals. Given that the membership of each individual to a given class is unknown, we jointly estimate it alongside class-specific parameters assuming a discrete distribution. We perform a Monte Carlo experiment to evaluate the performance of our estimator under assumptions similar to those of the traditional instrumental variables model. Our results indicate that when the model is well specified, our proposed estimator accurately estimates the true degree of unobserved heterogeneity across classes and the population average treatment effect. We illustrate the practical implementations of our approach with two empirical examples.

This study identifies central bank information shocks and pure monetary policy shocks for Japan by combining high-frequency identification with sign restrictions. The empirical findings provide robust evidence of the central bank information effect in Japan. Specifically, the central bank’s optimistic outlook, conveyed through contractionary monetary actions, reduces economic uncertainty and leads to increases in stock prices and output. Additionally, changes in uncertainty play a significant role in the transmission of the central bank’s information effect. The overall impact of monetary policy and information shocks, as identified through our method, is found to be larger than that identified using conventional techniques such as Cholesky decomposition.

This article analyses how hiring older workers adjusts to demographic change in the labour force by using information from more than 500,000 firms in Germany. We find robust evidence that firms faced with an ageing labour market hire relatively more older workers. However, the pace of this adjustment is relatively slow, particularly when ageing happens outside the firm. The tendency to employ older people is more considerable in East Germany, where the demographic change moves forward faster. Furthermore, part-time working models support hiring older workers, but this effect becomes less important in larger firms and East Germany. Finally, while partial retirement regulations enhance flexibility within the firm, they, unfortunately, diminish the employment opportunities for older external job seekers.