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Original Papers Alm, Bastian, Dirk Engel, Antje Weyh: Does Switching to a Western German Employer Still Pay Off? An Analysis for Eastern Germany JBNST - Vol. 234/5 - 2014, pp. 546-571.
+ show abstract- hide abstractThis paper deals with the medium-term effects of job mobility on the average wage growth of
job-movers in eastern Germany. The analysis is based on all employees subject to social insurance
contributions working in eastern Germany in 2004. Using a statistical matching procedure
combined with a difference-in-differences estimator, we observe that job-movers achieve
an average annual wage increase of 2.68% between 2004 and 2009, which is significantly
higher than the annual wage growth of selected non-movers (1.34 %). The finding is very robust
against changes in the matching procedure. The positive wage differential due to changing jobs
was found for a variety of subgroups of individuals that were formed on the basis of sociodemographic
and firm-specific characteristics. In contrast to the evidence in the 1990¡¯s, the
positive wage effect is now significantly lower for movers from eastern to western Germany
compared to movers within eastern Germany. Großmaß, Lidan: Liquidity and the Value at Risk JBNST - Vol. 234/5 - 2014, pp. 572-602.
+ show abstract- hide abstractWe 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. Leppin, Julian S.: The Estimation of Reservation Wages: A Simulation-Based Comparison JBNST - Vol. 234/5 - 2014, pp. 603-634.
+ show abstract- hide abstractThis paper examines the predictive power of different estimation approaches for reservation
wages. It applies stochastic frontier models for employed persons and the approach from Kiefer
and Neumann (1979b) for unemployed persons. Furthermore, the question of whether or not
reservation wages decrease over the unemployment period is addressed. This is done by a simulated
panel with known reservation wages which uses data from the Socio-Economic Panel
as a basis. The comparison of the estimators is carried out by a Monte Carlo simulation. In
case of employed persons, the cross-sectional stochastic frontier model shows the best performance.
The Kiefer-Neumann approach for unemployed persons is able to predict decreasing
reservation wages but the rise of the mean reservation wage in case of a constant simulated
reservation wage went undetected. In general, the Kiefer-Neumann approach overestimates the
reservation wage.
Comment with Reply Ludsteck, Johannes, Stefan Seth: Comment on: "Unemployment Compensation and Wages: Evidence from the German Hartz Reforms" by Stefan Arent and Wolfgang Nagl JBNST - Vol. 234/5 - 2014, pp. 635-644.
+ show abstract- hide abstractArent 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. Arent, Stefan, Wolfgang Nagl: Unemployment Compensation and Wages: Evidence from the German Hartz Reforms – Reply JBNST - Vol. 234/5 - 2014, pp. 645-646.
Book Reviews Peukert, Helge: Das Moneyfest – Ursachen und Lösungen der Finanzmarkt- und Staatsschuldenkrise JBNST - Vol. 234/5 - 2014, pp. 647-648.
Quaas, Friedrun, Georg Quaas: Die Österreichische Schule der Nationalökonomie: Darstellung, Kritiken und Alternativen JBNST - Vol. 234/5 - 2014, pp. 649-652.
Scheubel, Beatrice: Bismarck’s Institutions. A Historical Perspective on the Social Security Hypothesis JBNST - Vol. 234/5 - 2014, pp. 652-652.
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