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Working Paper Series in Economics
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No. wp2020-5
(Download at EconPapers)
- Nataliia Ostapenko
- Macroeconomic expectations: news sentiment analysis
I investigate the role that news sentiment plays in the macroeconomy. Using an approach
that combines Doc2Vec embedding and Latent Dirichlet Allocation with lexical-based models
I show that the news the media choose to report and the tone of these reports contain impor-
tant information for household unemployment, interest rates, and in
ation expectations. Topic
time series derived from the news and the sentiments they express are employed to estimate
how the news a ects the macroeconomy.
- JEL-Codes: E52, E31, E00
- Keywords: expectations, sentiment, news, Latent Dirichlet Allocation (LDA), Doc2Vec
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No. wp2020-4
(Download at EconPapers)
- Karsten Staehr
- Export performance and capacity pressures in Central and Eastern Europe
This paper investigates whether various measures of capacity pressure or available
production capacity may help predict the dynamics of exports from the EU
countries in Central and Eastern Europe. The analysis uses annual panel data for
the 11 countries from 2001 to 2019. Reduced form estimations reveal that cost competitiveness
measures have little or no predictive power. The measures of capacity
pressure comprise capacity utilisation in industry, the unemployment rate and the
output gap, and the measures are all robust predictors of future export dynamics.
The results are robust to various changes in the time and country sample, control
variables and specification, and also hold in panel vector autoregressive models
- JEL-Codes: F14, F17, E32
- Keywords: export, competitiveness, capacity utilisation, output gap, unemployment, Central and Eastern Europe
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No. wp2020-3
(Download at EconPapers)
- Orsolya Soosaar, Allan Puur and Lauri Leppik
- Does raising the pension age prolong working life?
Evidence from pension age reform in Estonia
We estimate how raising the statutory retirement age affects employment by
considering the pension age reform in Estonia, that gradually raised the normal
retirement age (NRA) for women from 58 to 61.5 and the early retirement age
(ERA) from 56 to 59.5 during the period of 2001 to 2011. The analysis employs a
difference-in-differences estimation strategy on register data covering women born
between 1943 and 1952. The reform did have an impact on the employment rate of
affected women, with an estimated increase of 4.1 percentage points associated with
the rise in the NRA, and 3.4 percentage points with the rise in the ERA. These
estimates are at the lower end of those found in previous studies for other countries,
pointing to the role of contextual features such as lower replace-ment rates and
fewer disincentives to work while drawing pensions.
- JEL-Codes: H31, H55, J14, J26
- Keywords: retirement age, older workers, employment
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No. wp2020-2
(Download at EconPapers)
- Natalia Levenko
- Elevated survey uncertainty after the Great Recession:
a non-linear approach
The European Survey of Professional Forecasters (SPF) is a dataset that is
widely used to derive measures of forecast uncertainty. Participants in the SPF
provide not only point estimates but also density forecasts for key macroeconomic
variables. The mean individual variance, defined as the average of the variances
of individual forecasts, shifted up during the Great Recession and has remained
elevated since the crisis. This shift is not typical since proxies for uncertainty are
usually counter-cyclical. The paper seeks to explain this puzzling lack of countercyclicality
by applying a smooth transition analysis on data from the European
SPF. The analysis indicates that the mean individual variance has a non-linear relationship
with the share of non-rounded responses in the survey and consequently
the upward shift in individual variance is likely to be associated with changes in
the modelling preferences of forecasters. The results remain robust after potential
endogeneity has been accounted for
- JEL-Codes: C25, C32, C83, D81, E32, E37
- Keywords: survey uncertainty; forecast disagreement; density forecasts; surveys of professional forecasters; Great Recession; smooth transition; instrumental variables
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No. wp2020-1
(Download at EconPapers)
- Merike Kukk and W. Fred van Raaij
- Joint and individual savings within families:
evidence from bank accounts
In this paper, we investigate the ownership of financial assets within families
and how pooling affects the individual savings of the partners. We use anonymised
monthly transactional data from ING Bank to observe the financial data of
Dutch couples for 2014–2016. We find that savings are quite equally allocated in
almost half of households but in one-fifth of households there is only one partner
who owns an individual account. The estimations show that joint savings contribute
to a more equal division of savings since they are held equally. However, we
find larger differences in individual savings among partners who pool, suggesting
that the use of joint savings does not lead to individual savings being more evenly
distributed, but rather to the opposite. The pattern is more apparent for households
in their 20s and for saving accounts. The results of the study highlight the need to
understand how families make decisions about applying the sharing rule to joint
and individual savings
- JEL-Codes: G51, D13, D14, D31
- Keywords: household, savings, financial assets, financial management, allocation of resources in households, sharing rule, pooling, joint and separate/ individual assets, bank and savings accounts
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No. wp2019-9
(Download at EconPapers)
- Remi Generoso, CĂ©cile Couharde and Olivier Damette
- The effects on growth of El Nino and La Nina:local weather conditions matter
This paper contributes to the climate-economy literature by analysing
the role of weather patterns in in
uencing the transmission of global climate
cycles to economic growth. More speci cally, we focus on El Ni~no Southern
Oscillation (ENSO) events and their interactions with local weather
conditions, taking into account the heterogeneous and cumulative e ects of
weather patterns on economic growth and the asymmetry and nonlinearity
in the global in
uence of ENSO on economic activity. Using data on 75
countries over the period 1975{2014, we provide evidence for the negative
growth e ects of ENSO events and show that there are substantial
di erences between its warm (El Ni~no) and cold (La Ni~na) phases and
between climate zones. These di erences are due to the heterogeneity in
weather responses to ENSO events, known as teleconnections, which has so
far not been taken into account by economists, and which will become more
im-portant in the climate-economy relationship given that climate change
may substantially strengthen long-distance relationships between weather
patterns around the world. We also show that the negative growth e ects
associated with these teleconnections are robust to the de nition of ENSO
events and more important over shorter meteorological onsets
- JEL-Codes: C33, O40, Q54
- Keywords: economic growth, ENSO events, weather shocks, climate change
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No. wp2019-8
(Download at EconPapers)
- Dmitry Kulikov and Nicolas Reigl
- Inflation expectations in Phillips Curves models for the euro area
This paper takes a fresh look at the use of the Phillips curve and various in
ation
expectation proxies for tracking euro area in
ation dynamics in the aftermath of
the global nancial crisis of 2008. Because in
ation expectations can be measured
in a multitude of alternative ways and the Phillips curve model itself is subject to
many potential speci cation choices, we employ a novel thick modelling perspective
that is data and model-agnostic and estimate a large number of di erent Phillips
curve models using di erent data series for di erent components of our models. We
nd that Phillips curve models without any forward-looking expectational terms
are uniformly the worst predictors of euro area in
ation rates after 2013, when
measured for the RMSE criterion across all models and speci cations. This result
underlines the importance of in
ation expectations in tracking the recent dynamics
of euro area in
ation and shows that in
ation persistence alone or in combination
with di erent slack and cost push terms cannot satisfactorily explain the euro
area in
ation story during the period of missing in
ation after 2012. We also
illustrate the usefulness of the thick modelling approach for practical modelling
and forecasting of the euro area in
ation series.
- JEL-Codes: E31, E37, E58, C13, C15, C52
- Keywords: data-rich models, thick modelling, data and model uncertainty, Phillips curve, in ation expectations, in ation dynamics, euro area
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