bluuebunny/crossref_metadata_2025_split huggingface dataset:
Liquidity and the Value at Risk
Authors: Großmaß Lidan 
Published: April 2016

Summary
We introduce an intuitive method of enhancing low-frequency volatility measures used to compute Value-at-Risk (VaR) by incorporating intradaily liquidity information from the limit order book. Using the quote slope of Hasbrouck and Seppi (2001), a compound liquidity measure comprising the dimensions of bid-ask spread and log depths, as a proxy for latent liquidity, we assign states of liquidity that the asset instantaneously resides in to allow only extremal liquidity shocks to influence volatility. To forecast the liquidity states, we use the autoregressive conditional multinomial model of Liesenfeld et al. (2006). We test the method on a number of stocks and find that (1) for stocks in financial and technological sectors, only the extremal shocks to liquidity affect volatility significantly and such a liquidity-state adjusted volatility is likely to improve VaR forecasts; (2) the volatility of stock returns in most other sectors are less affected by extremal shocks to liquidity but the continuous liquidity proxy is able to explain some of the dynamics of volatility and (3) the inclusion of liquidity in VaR becomes increasingly important as the quantile under consideration becomes more extreme.
Comment on ‘‘Unemployment Compensation and Wages: Evidence from the German Hartz Reforms’’ by Stefan Arent and Wolfgang Nagl
Authors: Ludsteck Johannes , Seth Stefan 
Published: April 2016

Summary
Arent and Nagl (2013) use the BA Employment panel 1998-2007 to identify effects of the German Hartz reform and find that it caused a considerable reduction of wages. Our replication study suggests that their clear and strong conclusions are based on implausible assumptions regarding the error structure of their regression models and on a too coarse modelling of the time effects. They become blurred and weak once better estimates of the standard errors are obtained and the development of wages is investigated at a finer time grid. Furthermore, Arent and Nagl’s reform effects shrink considerably when a more appropriate price index is used to deflate the wages and when the censoring of wages is treated correctly. Methodological considerations suggest that their conclusions depend on several further daring and untested assumptions.
International Investment and Firm Performance: Empirical Evidence from Small Open Economies
Authors: Siedschlag Iulia , Kaitila Ville , McQuinn John , Zhang Xiaoheng 
Published: April 2016

SummaryThe global financial and economic crisis has severely affected foreign direct investment, particularly the cross-border mergers and acquisitions in advanced economies. This paper examines the effects of foreign mergers and acquisitions on labour productivity and employment growth over the period 2001-2009 in six small open economies in the European Union: Austria, Belgium, Denmark, Finland, the Netherlands and Sweden. We show that the severity of the crisis has been uneven across these six economies. Taken together, our estimates suggest that foreign direct investment had stronger effects on firm performance in services than in manufacturing.
How Fast Can Firms Grow?
Authors: Murmann Johann Peter , Korn Jenny , Worch Hagen 
Published: April 2016

Summary
Building on recent research on dynamic, high-growth firms - so-called “gazelles” - this paper explores a simple question that is important in both theoretical and practical terms: What is the fastest rate at which firms can grow? Based on a sample of seven high-growth firms (Cisco, GM, IBM, Microsoft, Sears, Starbucks, and US Steel), we find that 162% is the maximum sales growth rate in any one year that an established company can grow without mergers and acquisitions, while the maximum rate of employee growth is approximately 115% even including some mergers and acquisitions. All of the companies in our sample attained a maximum sales growth rate of above 50%, with most hovering around 75%. Furthermore, the firms’ growth rates exhibit similar patterns. No company experienced its maximum sales growth rate toward the latter part of its history. Every company experienced its slowest employee growth rate after attaining its maximum employee growth rate, usually within a decade of one another. Most importantly, all firms show an average sales growth that exceeds the average employee growth. This finding is an indication that successful growing firms have a superior capability to continuously improve employment efficiency and adjust organizational structures to suit an increasing workforce.
Innovation and Market Structure in Pharmaceuticals: An Econometric Analysis on Simulated Data
Authors: Garavaglia Christian , Malerba Franco , Orsenigo Luigi , Pezzoni Michele 
Published: April 2016

Summary
The contribution of this paper is twofold. First, it presents the results of a “history-friendly” simulation model of evolution of the pharmaceutical industry. Second, it aims at contributing to a more general methodological discussion about agent-based models by proposing an econometric analysis of the results of the simulations. The case of the pharmaceutical industry has been studied extensively by scholars because, despite the high level of R&D intensity, the industry has been characterized by a relatively low levels of concentration. The model is able to reproduce the main stylized facts of the industry in an evolutionary perspective. In this paper we extend the analysis conducted in two previous works (Garavaglia et al. 2012, 2013) by further qualifying the findings with an extensive econometric investigation of the model outputs. The paper focuses the attention on the determinants of market structure, the innovative performance of the industry, the diversification in multiple submarkets and the level of prices. We find that the properties of the technological and demand regimes are key determinants of the patterns of industry evolution and that the main mechanisms driving the model are the random processes of search, the discovery of new submarkets as well as the interactions between patent protection, imitation and price competition. In addition, this paper emphasizes how the emerging leaders in the industry are those innovative early entrants which entered in large submarkets, showing the importance of the first mover advantage and of the size of the “prize” accruing to innovators when they discover a new rich submarket.
Escaping Satiation Dynamics: Some Evidence from British Household Data
Authors: Chai Andreas , Moneta Alessio 
Published: April 2016

Summary
The tendency of sectoral demand to satiate has long been argued to be a key driver of the structural change in an economy (Pasinetti 1981; Saviotti 2001). This literature raises the question as to what extent cross-sectional patterns of household expenditure can be used to make inferences about how the demand for goods and services will grow over time. Moreover, if indeed satiation does take place, then firms and entrepreneurs could react to this situation by innovating goods and services in order to overcome stagnation in demand growth (Witt 2001). We empirically investigate this ‘satiation-escape’ hypothesis by examining the inter-temporal dynamics of Engel curves and their derivatives, which reflect how household spending on a good changes with income. Taking into account changes in the price level, we investigate whether Engel curves that exhibit cross-section satiation tend to exhibit over time an upwards shift in the satiation level jointly with a shift in position and shape. Evidence suggests that this is actually the case.
Evolutionary Political Economy in Crisis Mode
Authors: Hanappi Hardy 
Published: April 2016

Summary
This paper sets out to discuss recent economic developments from a twofold perspective. Both spotlights focus on the special role played by the current deep global crisis. The first line of argument centers on the history of economic ideas and shows how evolutionary economics has emerged as a promising alternative to mainstream neoclassical thought as well as to traditional Keynesian macroeconomics. The failure of standard macroeconomics to inform economic policy in the current situation shows that arguments of evolutionary political economists - from Malthus via Schumpeter to contemporary scholars - can and should substitute these inadequate models. The second part of the paper takes the argument for evolutionary political economy to a methodological level: The deep crisis of economic theory is necessarily also a crisis of the methodological apparatus used. Though evolutionary economics does not provide a welldefined alternative set of methods yet, it nevertheless seems to be the best foundation to build such a new combination, a methodological innovation, out of some of the most recent advances in formalization. These latter elements are briefly sketched.
Bribing Behaviour and Sample Selection: Evidence from Post-Socialist Countries and Western Europe
Authors: Ivlevs Artjoms , Hinks Timothy 
Published: April 2016

SummaryWe study the individual-level determinants of bribing public officials. Particular attention is paid to the issue of respondents’ non-random selection into contact with public officials, which may result in biased estimates. Data come from the 2010 Life in Transition Survey, covering 30 post-socialist and five Western European countries. The results suggest that the elderly tend to be less likely to bribe public officials, while people with higher income and, especially, low trust in public institutions are more likely to bribe. Several determinants of bribery - ethnic minority status, the degree of urbanisation, social trust - are context specific, i.e. they change signs or are statistically significant according to the geographical region or the type of public official. The results show that not accounting for sample selection effects may produce a bias in estimated coefficients.
Determinants of Willingness to Bribe: Micro Evidence from the Educational Sector in China
Authors: Liu Qijun , Peng Yaping 
Published: April 2016

Summary
We use a unique dataset based on reported direct personal bribes paid by arts students in China at examinations and in the college admissions process to study willingness to bribe. We find that individual willingness to bribe depends on personal characteristics rather than on the attributes of the admissions process at different colleges and universities. The perceived level of corruption, personal attitudes towards corruption, academic attainment, and the rank of a college are significant predictors of bribery. Based on self-reporting, students from middle-income families have a higher likelihood of engaging in bribery than students from poor or rich families. There are no significant gender differences in bribing behavior. We acknowledge and seek to account for the possibility of identity-confirming expressive behavior in the survey responses.
Family Culture and Fertility Outcomes – Evidence from American Siblings
Authors: Eschelbach Martina 
Published: April 2016

Summary
This paper contributes to the literature on the relationship between culture and socio-economic outcomes by examining the importance of family specific fertility culture for fertility outcomes. Family specific fertility culture is defined as systematic component in fertility preferences shared among family members. Using data from the NLSY79, we identify family culture by comparing preferences of siblings in early adulthood. Relating these preferences to completed fertility later in life, we find a significant influence of attitudes shared between siblings but almost no influence of preferences unrelated to family background. Our results suggest that fertility decisions are indeed affected by family culture which underlines the importance of family background in forming preferences and affecting socio-economic outcomes.
Why We Should Use High Values for the Smoothing Parameter of the Hodrick-Prescott Filter
Authors: Flaig Gebhard 
Published: April 2016

Summary
The HP filter is the most popular filter for extracting the unobserved trend and cycle components from a time series. Many researchers consider the smoothing parameter λ = 1600 as something like a universal constant. It is well known that the HP filter is an optimal filter under some restrictive assumptions, especially that the “cycle” is white noise. In this paper we show that we can get a good approximation of the optimal Wiener-Kolmogorov filter for autocorrelated cycle components by using the HP filter with a much higher smoothing parameter than commonly used. In addition, a new method - based on the properties of the differences of the estimated trend - is proposed for the selection of the smoothing parameter.
Spekulation am Terminmarkt und die Preisentwicklung von Agrarrohstoffen am Kassamarkt: Eine Zeitreihenanalyse der CFTC Berichte für Weizen, Mais und Sojabohnen / Speculation in Futures Markets and the Impact on Agricultural Commodity Prices: A Time Series Analysis of the CFTC Reports for Wheat, Corn and Soybeans
Authors: Maul Daniel , Fischer Martin , Schiereck Dirk 
Published: April 2016

SummaryOver the last few years, rising prices and increasing price volatility of major agricultural food commodities were observed. This caused a debate among various organizations about who is responsible for this development. While many Non-Governmental Organizations proclaim that speculations in future markets cause the rise in food prices, academic research provides ambiguous results on this topic. This controversy is the motivation for this study. In order to offer additional insights, the relationship between the price changes of corn, wheat, and soybeans and the corresponding changes in open interests are analyzed. Commitments of Traders as well as Disaggregated Commitments of Traders reports are investigated to determine whether the activities of speculators adversely affect food prices. First, Johansen cointegration tests are employed to analyze the relationship between price and position data. Second, VAR and VECM are used to analyze short- and long-term dynamics. The results of the empirical analysis demonstrate that in the short-run price changes precede changes in open interest. Additionally, soybeans show a long-run equilibrium relationship between both series, indicating that speculators influenced past prices to some extent. However, the percentage price change is rather low. Therefore, sharp rises in soybean prices cannot be explained by it.
Does the Forward Discount Represent a Long Memory Process or Short Memory Process with Multiple Changes in the Mean?
Authors: Shahrin Aidil Rizal 
Published: April 2016

Summary
This study aims to determine whether forward discount represents a long memory or short memory process with multiple changes in the mean. Based on the samples of six currencies from November 3, 1986, to March 6, 1998, using Baek and Pipiras’s (2012, 2014) statistical procedures, our findings suggest that forward discount is a short memory process with multiple changes in the mean rather than long memory. These changes in mean are the result of an intervention by monetary authorities in the forex market. Thus, earlier findings of long memory in forward discount, as reported in the extant literature, are questionable.
Career Planning, School Grades, and Transitions: The Last Two Years in a German Lower Track Secondary School
Authors: Fitzenberger Bernd , Licklederer Stefanie 
Published: April 2016

Summary
In Germany, students in lower track secondary schools (LTSS) typically receive intensive career guidance. Nevertheless, the majority of LTSS student graduates does not start an apprenticeship immediately after graduation. This paper analyzes career planning, school grades, and the first transition after graduation for LTSS students in Freiburg during the late 2000s. Only about 10% of LTSS students start an apprenticeship immediately after graduation. About half, typically those with better grades, participate in additional general teaching (AGT) and rather continue schooling after graduation, expecting that this will improve their future career options. The majority of students with poor school grades, especially male students with a migration background, continue with pre-vocational training, even though career guidance was effective in terms of the career planning activities reported by students. Our results suggest that a focus of career guidance on the immediate start of an apprenticeship after graduation may be misplaced for those students continuing in further schooling. Furthermore, such a focus potentially raises hopes for an immediate start of an apprenticeship among the other students, which may later on be frustrated when a student continues with pre-vocational training.
Coaching Disadvantaged Young People: Evidence from Firm Level Data
Authors: Mohrenweiser Jens , Pfeiffer Friedhelm 
Published: April 2016

Summary
In Germany, apprenticeship training firms currently face a shrinking number of qualified schoolleavers because of smaller birth cohorts and an increasing proportion of school leavers aiming for higher education. This paper investigates whether a programme that supports firms to train disadvantaged youth can reduce recruiting difficulties in apprentice training firms. Based on unique firm-level data from the metal and electronic industry in Baden-Württemberg from 2010 to 2013, we apply instrumental variable and difference-in-difference estimations and find no significant short-term causal impact of the programme.
Biochemical markers of bone turnover in children with clinical bone fragility
Authors: Bowden Sasigarn A. , Akusoba Chiazor I. , Hayes John R. , Mahan John D. 
Published: April 2016

AbstractThe role of biochemical bone turnover markers (BTMs) in assessing low bone mass and monitoring bisphosphonate treatment in pediatric patients with clinical bone fragility is not well established. The aim of the study was to examine the correlations of BTMs and the bone mineral density (BMD), and evaluate the effects of bisphosphonates therapy on BTMs in children with clinical bone fragility.Clinical data of 115 patients with clinical bone fragility (mean age 9.7±5.8 years), 102 of whom received bisphosphonates, were studied. Serum alkaline phosphatase (ALP), osteocalcin (OC), urine pyridinoline (PD) and deoxypyridinoline (DPD), BMD at baseline and subsequent years were analyzed.There was a significant negative correlation between urine PD and lumbar BMD (slope=–0.29, p<0.001). There were no correlations between BTMs and lumbar BMD Z-score. There was a significant positive correlation between serum OC and serum ALP, urine PD and DPD (p<0.001). Serum OC, urine PD and DPD index, as expressed as measured value/upper limit of normal value for age, decreased during the first 3 years of bisphosphonate therapy.In children with clinical bone fragility, BTMs correlated with each other, but not with lumbar BMD Z-score. While they were not reliable predictors of degree of low BMD, the bone markers showed suppression during bisphosphonate therapy and may be helpful in monitoring the response to therapy.
Correlation between markers of DNA and lipid oxidative damage in maternal and fetoplacental compartment in the mid-trimester of pregnancy
Authors: Rejc Barbara , Karas-Kuželički Nataša , Osredkar Joško , Geršak Ksenija 
Published: April 2016

Abstract

Objective:
To determine the levels of 8-isoprostane (8-IP) and 8-hydroxy-2′-deoxyguanosine (8-OHdG) in urine and in amniotic fluid (AF) of pregnant women and to assess the correlation between oxidative status in the maternal and fetal compartment in the second trimester of pregnancy.

Methods:
One hundred and forty-six women with singleton pregnancies, undergoing amniocentesis at the Department of Obstetrics and Gynaecology at the University Medical Centre Ljubljana, were prospectively enrolled. AF and maternal urine were collected in the second trimester of pregnancy. Paired urinary and AF 8-IP and 8-OHdG were measured and evaluated cross-sectionally.

Results:
8-IP and 8-OHdG concentrations were higher in maternal urine compared to AF and the ratios were 47:1 and 50:1, respectively. AF 8-OHdG was very low and in 74% was below the limit of detection (LOD). We found a positive correlation between 8-IP in maternal and fetal compartment (ρ=0.217, P=0.008), which stayed unchanged also after adjustment for possible confounding factors.

Conclusions:
Oxidative damage to lipids and DNA is also a part of physiologic processes during healthy pregnancy. 8-IP and 8-OHdG are constantly present in urine and AF. A weak positive correlation between maternal and fetal unit suggests a weak reflection of fetal oxidative status in maternal urine in the mid-trimester.
Fluorescence imaging for photodynamic therapy of non-melanoma skin malignancies – A retrospective clinical study
Authors: Gamayunov Sergey , Turchin Ilya , Fiks Ilya , Korchagina Kseniya , Kleshnin Mikhail , Shakhova Natalya 
Published: April 2016

Abstract

Background and objective: Photodynamic therapy (PDT) has been successfully used in clinical practice for decades; however, clinical outcome data are not always consistent resulting in a great necessity for real-time monitoring to predict the therapy outcome.

Study design and methods: In a retrospective clinical study, 402 patients with non-melanoma skin malignancies were enrolled who underwent PDT treatment and fluorescence real-time imaging. The photosensitizer used was a chlorine e6 derivative (Fotoditazin®); the tumors were irradiated with a 662 nm continuous wave diode laser with fiber delivery system and total fluence of up to 300 J/cm2. The fluorescence imaging was performed using a commercially available system with a camera and bandpass filter in the range of 710–800 nm. Fluorescence contrast (FC) of the tumor (the ratio of the average fluorescence intensities in the tumor and the surrounding tissues) and its change during the PDT treatment (photobleaching, dFC) was measured. Then the correlation between the clinical outcome (tumor response and recurrence rate) and measured fluorescence parameters was evaluated. The follow-up period was 6–53 months (median, 28 months).

Results:
FC or dFC below their median values independently correspond to a significant increase in tumor recurrence rate (p<0.05), and slight increase of partial or no tumor response cases. Tumor response is better correlated with the value of FC, and not correlated with the photobleaching.

Conclusion: Baseline FC and its change after PDT treatment may serve as a predictor of recurrence. This finding is a step towards individualized PDT cancer treatment.