We examine patterns of earnings volatility for male employees who are subject to statutory social security contributions in West Germany over the period 1986 - 2005. For this purpose, we analyse individual records covering highly reliable earnings biographies provided by the German Social...

We consider the covariance structure of health. Agents report their health status on the basis of a latent health stock that is determined by permanent and transitory shocks, and time invariant fixed effects. At age 25, permanent shocks account for 5% to 10% of the variation in health. At age...

Cheung et al. (2004) use a vector error correction model (VECM) for the current float nominal exchange rate and the relative price data and claim that the sluggish Purchasing Power Parity (PPP) reversion is primarily driven by the nominal exchange rate, not by relative price adjustment, which is...

In addition to containing stable information to explain inflation, state-local expenditures have also a larger share of the forecast error variance of US inflation than the Federal funds rate. Non-defense federal expenditures are useful in predicting real output variations and, starting from the...

I decompose the variance of earnings of Finnish male and female workers to its permanent and transitory components and study their evolution between the years 1998 and 2007. I find that the increasing earnings inequality of men and women is driven by both transitory and permanent components of...

We provide an axiomatization-based justification for applying the Owen value to decompose R2 in OLS models if prior knowledge can be used to form groups of regressor variables. The assumptions made by the axioms are not only plausible with respect to the variables but also clarify the meaning of...

This paper studies domestic volatility transmission in an emerging economy. Daily volatility spillover indices, relating to South African (SA) currencies, bonds and equities, are estimated using variance decompositions from a generalised vector autoregressive (GVAR) model (Pesaran and Shin...

This paper extends Nolan and Thoenissen (2009), hence NT, model with an explicit financial intermediary that transfer funds from households to entrepreneurs subject to a well defined loan production function. The loan productivity shock is treated as the supply side financial disturbance....