## BERG working paper series

### Filtern

#### Dokumenttyp

- Arbeitspapier (33)
- Buch (Monografie) (2)

#### Schlagworte

- Albania (1)
- Albania, Political Business Cycle, Privatization (1)
- Albanien ; Privatisierung ; Politischer Konjunkturzyklus ; Online-Publikation (1)
- Automatic Stabilizers, Business Cycles, Public Budget (1)
- Bank Concentration, Concentration ratios, HHI index, Market Structure (1)
- Budget deficit (1)
- Capital-Asset-Pricing Modell ; Mehragentensystem ; Volabilität ; Online-Publikation (1)
- Crowding out (1)
- Currency crises; Current account reversals; Treatment Model; Discrete dependent variable; Efficient Importance Sampling; Panel Data (1)
- Electricity (1)

#### Institut

- Lehrstuhl für Volkswirtschaftslehre, insbesondere Finanzwissenschaft (16)
- Lehrstuhl für Volkswirtschaftslehre, insbesondere Wirtschaftspolitik (12)
- Lehrstuhl für Volkswirtschaftslehre, insbesondere Empirische Mikroökonomik (5)
- Lehrstuhl für Volkswirtschaftslehre, insbesondere Internationale Wirtschaft (2)
- Wissenschaftliches Institut für Hochschulsoftware der Universität Bamberg (ihb) (2)
- Bamberg Graduate School of Social Sciences (BAGSS) (1)
- Lehrstuhl für Statistik und Ökonometrie in den Sozial- und Wirtschaftswissenschaften (1)
- Professur für Volkswirtschaftslehre, insbesondere Industrieökonomik |-2013| (1)

- 85a
- Working time preferences, hours mismatch and well-being of couples: Are there spillovers? (2013)

- 83
- Why a Simple Herding Model May Generate the Stylized Facts of Daily Returns: Explanation and Estimation (2012)
- The paper proposes an elementary agent-based asset pricing model that, invoking the two trader types of fundamentalists and chartists, comprises four features: (i) price determination by excess demand; (ii) a herding mechanism that gives rise to a macroscopic adjustment equation for the market fractions of the two groups; (iii) a rush towards fundamentalism when the price misalignment becomes too large; and (iv) a stronger noise component in the demand per chartist trader than in the demand per fundamentalist trader, which implies a structural stochastic volatility in the returns. Combining analytical and numerical methods, the interaction between these elements is studied in the phase plane of the price and a majority index. In addition, the model is estimated by the method of simulated moments, where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. A (parametric) bootstrap procedure serves to set up an econometric test to evaluate the model’s goodness-of-fit, which proves to be highly satisfactory. The bootstrap also makes sure that the estimated structural parameters are well identified.

- 65
- The relationship between public balance and inflation in Europe (2014)
- The study considers some of the factors determining budget balance. In particular, it investigates the relationship between budget balance and inflation. The analysis focuses on European states in the period between 1999 and 2007, and concludes that the relationship between budget balance and inflation is not demonstrable. In the literature, attempts to quantify the relationship between the two factors have faced severe difficulties. Inflation influences both the revenue side and the expenditure side of the budget, often increasing one and reducing the other at the same time. These effects might balance each other out, leaving the budget balance unchanged.

- 74
- The mission and culture of the corporation (2014)
- The economic crisis has brought a new situation also for the Hungarian economic policy, as neoliberalism as the main trend in economic thought is no longer valid. This phenomenon cannot be reduced to be a mere macroeconomic course shift, as an entire economic philosophy and approach has lost its relevance. One consequence of this is the need for a thorough revision of the theory and practice of business management, along with the re-evaluation of the notion and position of the corporation. Our study aims to contribute to this theoretical reformation, presenting that social values derived from psychological and sociological findings such as human motivational theories or trust are fundamental elements of the 21st century corporate model. To point to this, we use the ideological correspondences, while proving that our national research on corporate theory and even rather its application are far behind the 21st century requirements and lack even the Western view of the 20th century.

- 78
- Structural Stochastic Volatility in Asset Pricing Dynamics: Estimation and Model Contest (2013)
- In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It advances several different specifications of the endogenous switching between the trading strategies and then estimates these models by the method of simulated moments (MSM), where the choice of the moments reflects the basic stylized facts of the daily returns of a stock market index. In addition to the standard version of MSM with a quadratic loss function, we also take into account how often a great number of Monte Carlo simulation runs happen to yield moments that are all contained within their empirical confidence intervals. The model contest along these lines reveals a strong role for a (tamed) herding component. The quantitative performance of the winner model is so good that it may provide a standard for future research.