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  1. Crossing the credit channel
    credit spreads and firm heterogeneity
    Erschienen: December 2020
    Verlag:  International Monetary Fund, [Washington, DC]

    Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms... mehr

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    Credit spreads rise after a monetary policy tightening, yet spread reactions are heterogeneous across firms. Exploiting information from a panel of corporate bonds matched with balance sheet data for U.S. non-financial firms, we document that firms with high leverage experience a more pronounced increase in credit spreads than firms with low leverage. A large fraction of this increase is due to a component of credit spreads that is in excess of firms' expected default. Our results suggest that frictions in the financial intermediation sector play a crucial role in shaping the transmission mechanism of monetary policy

     

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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9781513563336
    Weitere Identifier:
    Schriftenreihe: IMF working paper ; WP/20, 267
    Schlagworte: monetary policy; heterogeneity; credit spreads; excess bond premium; credit channel; financial accelerator; event study; Credit Channel; Credit Spreads; Excess Bond Premium; Heterogeneity; Monetary Policy
    Umfang: 1 Online-Ressource (circa 68 Seiten), Illustrationen
  2. Hang in there
    stock market reactions to withdrawals of COVID-19 stimulus measures
    Erschienen: December 2020
    Verlag:  International Monetary Fund, [Washington, DC]

    The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study... mehr

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    The COVID-19 pandemic prompted unprecedented economic stimulus worldwide. We empirically examine the impact of a withdrawal of fiscal stimulus policies on the stock markets. After constructing a database of withdrawal events, we use event study analysis and cross-country regressions to assess the difference between the pre- and post-event stock price returns. We find that markets react negatively to premature withdrawals-defined as withdrawals at a time when the daily COVID cases are high relative to their historical average-likely reflecting concerns about the withdrawal impact on the prospects for economic recovery. The design of a successful exit strategy from COVID-19 policy responses should account for these concerns

     

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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
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    Format: Online
    ISBN: 9781513564753
    Weitere Identifier:
    Schriftenreihe: IMF working paper ; WP/20, 285
    Schlagworte: Antizyklische Finanzpolitik; Aktienmarkt; Coronavirus; Ankündigungseffekt; Wirkungsanalyse; Börsenkurs; stock prices; event study; exit strategy; COVID-19; COVID-19; Event Study; Exit Strategy; Stock Prices
    Umfang: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  3. Chasing dividends during the COVID-19 pandemic
    Erschienen: 2020
    Verlag:  University of Fribourg, Switzerland, Faculty of Economics and Social Sciences, Fribourg

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    Sprache: Englisch
    Medientyp: Buch (Monographie)
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    Auflage/Ausgabe: This version: September 24, 2020
    Schriftenreihe: Working papers SES / Université de Fribourg, Faculté des sciences economiques et sociales ; n. 520 (10.2020)
    Schlagworte: COVID-19; dividend capture; price pressure; ex-dividend date; event study
    Umfang: 1 Online-Ressource (circa 16 Seiten), Illustrationen
  4. Understanding cognitive decline in older ages
    the role of health shocks
    Erschienen: 2021
    Verlag:  RWI - Leibniz-Institut für Wirtschaftsforschung, Essen, Germany

    Individual cognitive functioning declines over time. We seek to understand how adverse physical health shocks in older ages contribute to this development. By use of event-study methods and data from the USA, England and several countries in... mehr

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    Individual cognitive functioning declines over time. We seek to understand how adverse physical health shocks in older ages contribute to this development. By use of event-study methods and data from the USA, England and several countries in Continental Europe we find evidence that health shocks lead to an immediate and persistent decline in cognitive functioning. This robust finding holds in all regions representing different health insurance systems and seems to be independent of underlying individual demographic characteristics such as sex and age. We also ask whether variables that are susceptible to policy action can reduce the negative consequences of a health shock. Our results suggest that neither compulsory education nor retirement regulations moderate the effects, thus emphasizing the importance of maintaining good physical health in old age for cognitive functioning.

     

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    Sprache: Englisch
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    ISBN: 9783969730652
    Weitere Identifier:
    hdl: 10419/247686
    Schriftenreihe: Ruhr economic papers ; #919
    Schlagworte: Cognitive decline; health shocks; retirement; education; event study
    Umfang: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  5. Media abnormal tone, earnings announcements, and the stock market
    Erschienen: [2021]
    Verlag:  GERAD, HÉC Montréal, Montréal (Québec), Canada

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    Schriftenreihe: Les cahiers du GERAD ; G-2021, 50 (September 2021)
    Schlagworte: Abnormal returns; abnormal tone; earnings announcements; event study; news media; sentometrics
    Umfang: 1 Online-Ressource (circa 26 Seiten), Illustrationen
  6. Childbirth and women's labour market transitions in India (revised)
    Erschienen: October 2021
    Verlag:  United Nations University World Institute for Development Economics Research, Helsinki, Finland

    The impact of childbirth on women's employment has been discussed extensively in the context of developed countries. Constraints on mothers' labour market participation and consequent fall in earnings are characterised as the 'motherhood penalty'.... mehr

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    The impact of childbirth on women's employment has been discussed extensively in the context of developed countries. Constraints on mothers' labour market participation and consequent fall in earnings are characterised as the 'motherhood penalty'. This phenomenon is relatively less explored in developing countries primarily because of the lack of suitable data. In this paper, we use primary data from India, collected via a life history calendar administered to men and women separately. Using an event study method, we estimate the impact of the first childbirth on women's labour market participation. Our main finding is that the birth of the first child does not impose a penalty, in the traditional understanding, on a mother's labour supply. While overall employment does not show any association with childbirth, women's paid work registers a significant increase two to three years post childbirth. This impact is largely due to an increase in informal paid work and driven by women with lower levels of education and from relatively poorer households. Our results suggest that in a developing country like India, characterised by informal labour markets, and early age of childbirth, the impact of motherhood on employment may need an alternate framing rather than one based on developed countries.

     

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    Sprache: Englisch
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    Format: Online
    ISBN: 9789292670894
    Weitere Identifier:
    hdl: 10419/248363
    Schriftenreihe: WIDER working paper ; 2021, 149
    Schlagworte: Frau; Arbeitsmarkt; Partizipation; Geburt; Wirkung; Auswirkung; motherhood penalty; childbirth; event study; life history calendar; India
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  7. The causal effect of transport infrastructure
    evidence from a new historical database
    Erschienen: [2021]
    Verlag:  Stockholm University, Department of Economics, Stockholm, Sweden

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    Auflage/Ausgabe: This version: May 28, 2021
    Schriftenreihe: Research papers in economics / Stockholm University, Department of Economics ; no. 2021, 1
    Schlagworte: railways; transport infrastructure; real income; land value; event study; treatment heterogeneity
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  8. Measuring the child penalty early in a career: the case of young adults in France
    Erschienen: October 2021
    Verlag:  IZA - Institute of Labor Economics, Bonn, Germany

    There is a large literature on the existence of a child penalty for mothers after the birth of a child. There is little discernible effect on fathers' labour incomes, although some studies find that there is a premium. We measure the penalty due to... mehr

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    There is a large literature on the existence of a child penalty for mothers after the birth of a child. There is little discernible effect on fathers' labour incomes, although some studies find that there is a premium. We measure the penalty due to the birth of a first child for both parents for cohorts of young adults after leaving the educational system. Using an event study approach, this paper contributes to the literature by examining the child penalty in France not only in terms of monthly earnings, but also the employment rate, working hours, hourly earnings, and other outcomes. Using on a rich dataset, we estimate child penalty by educational level and for different cohorts. We find evidence of a significant child penalty for mothers: 23% in monthly earnings overall, rising to 35% for those with secondary education only. For the 2010 cohort, we observe the same level of absolute child penalties for mothers, whereas the relative penalty has narrowed. This is due to a decrease in monthly earnings, and more precisely in employment rate of fathers before and after the birth of the child in the aftermath of the 2008 crisis.

     

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    Weitere Identifier:
    hdl: 10419/250424
    Schriftenreihe: Discussion paper series / IZA ; no. 14763
    Schlagworte: child penalty; young adults; event study
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  9. How do investors value the publication of tax information?
    evidence from the European public country-by-country reporting
    Erschienen: [2021]
    Verlag:  ZEW - Leibniz Centre for European Economic Research, Mannheim, Germany

    We examine the capital market reaction to the announcement of the European Union (EU) to introduce a public tax country-by-country reporting (CbCR) regime. By employing an event study methodology, we find a significant cumulative average abnormal... mehr

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    We examine the capital market reaction to the announcement of the European Union (EU) to introduce a public tax country-by-country reporting (CbCR) regime. By employing an event study methodology, we find a significant cumulative average abnormal return (CAAR) of -0.699%, which translates into a monetary value drop of approximately EUR 65 billion. We conclude that investors evaluate reputational risks arising from public scrutiny and competitive disadvantages to outweigh potential benefits of an extended information environment or more sustainable corporate tax strategies. In cross-sectional tests, we find that the average investor reaction is more pronounced for firms with low effective book tax rates, indicating that reputational concerns play a significant role in the marginal investor's investment behavior. Furthermore, our cross-sectional results indicate that the market reaction is stronger for firms operating in industries with high growth in market participants, providing an initial indication for the role of the competitive environment as an additional channel. Our inferences are of particular importance in light of the current ongoing debates on similar disclosure rules (particularly in the United States; cf. "Disclosure of Tax Havens and Offshoring Act") as well as for sustainability standard setters.

     

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    Weitere Identifier:
    hdl: 10419/244406
    Auflage/Ausgabe: This version: October 2021
    Schriftenreihe: Discussion paper / ZEW ; no. 21, 077 (10/2021)
    Schlagworte: tax transparency; tax disclosure; tax avoidance; event study; country-by-country reporting
    Umfang: 1 Online-Ressource (44 Seiten), Illustrationen
  10. Impact of EU-wide insurance stress tests on equity prices and systemic risk
    Erschienen: [2021]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    Since the global financial crisis in 2007, stress tests have become standard tools for regulators and supervisors to assess the risks and vulnerabilities of financial sectors. To this end, the Insurance and Occupational Pensions Authority (EIOPA)... mehr

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    Since the global financial crisis in 2007, stress tests have become standard tools for regulators and supervisors to assess the risks and vulnerabilities of financial sectors. To this end, the Insurance and Occupational Pensions Authority (EIOPA) regularly performs EU-wide insurance stress tests. This paper analyses the impact of the conducted exercises in 2014, 2016 and 2018 on the equity prices of insurance companies. Using an event study framework, we find a statistically significant impact only for the publication of the 2018 exercise results. Our empirical analysis further suggests that the final version of technical specifications for the 2014 exercise, the initiation of public consultation, and the published stress test scenario of the 2018 exercise contributed to the decline in systemic risk. To our best knowledge, this is the first paper that investigates this topic for the European insurance sector. Our empirical results could help improve the communication and design of future stress test exercises.

     

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    Weitere Identifier:
    hdl: 10419/247392
    Schriftenreihe: IES working paper ; 2021, 25
    Schlagworte: European insurance sector; EU-wide insurance stress test; systemic risk; event study; equity prices
    Umfang: 1 Online-Ressource (circa 23 Seiten)
  11. Childbirth and women's labour market transitions in India
    Erschienen: July 2021
    Verlag:  United Nations University World Institute for Development Economics Research, Helsinki, Finland

    The impact of childbirth on the labour market participation of women has been discussed extensively in the context of developed countries, constraints on mothers labour market participation and earnings being characterized as the motherhood penalty .... mehr

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    The impact of childbirth on the labour market participation of women has been discussed extensively in the context of developed countries, constraints on mothers labour market participation and earnings being characterized as the motherhood penalty . In the developing country context, and specifically for India, similar studies are limited, primarily due to the lack of longitudinal data. In this paper, using a Life History Calendar approach, we collect retrospective information on major events (education, marriage, and childbirth) and the concurrent employment status of men and women over their adult lives. Using an event study method, we estimate the impact of first childbirth on women s labour market participation. Our main finding is that the birth of the first child does not impose a penalty on the mother s labour supply. While, overall, employment does not show any association with childbirth, women s paid work actually registers a significant increase two to three years post childbirth even after controlling for several other factors. The life history analysis also shows that, conditional on participating in the labour market, women are unlikely to have several episodes of entry and exit. We hypothesize that, in a developing country context such as India s, motherhood may not be accompanied by a penalty in terms of labour market participation given the predominance of informal and flexible employment arrangements and the early age of marriage and childbirth for women.

     

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    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9789292670689
    Weitere Identifier:
    hdl: 10419/248342
    Schriftenreihe: WIDER working paper ; 2021, 128
    Schlagworte: motherhood penalty; childbirth; event study; life history calendar; India
    Umfang: 1 Online-Ressource (circa 20 Seiten), Illustrationen
  12. Human capital and education policy
    evidence from survey data
    Erschienen: [2021]
    Verlag:  ifo Institut, München

    Elisabeth Grewenig prepared this study while she was working at the Center for Economics of Education at the ifo Institute. The study was completed in March 2021 and accepted as doctoral thesis by the Department of Economics at the LMU Munich. It... mehr

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    Elisabeth Grewenig prepared this study while she was working at the Center for Economics of Education at the ifo Institute. The study was completed in March 2021 and accepted as doctoral thesis by the Department of Economics at the LMU Munich. It consists of five distinct empirical essays that address various aspects of human capital formation and education policy. Chapters 2 and 3 are concerned with the determinants of human capital formation. In particular, chapter 2 investigates the impact of gender norms on labor-supply expectations of adolescents. Chapter 3 analyzes the effects of the Corona-induced school closures on students' time spent with different educational activities. Chapters 4 and 5 are concerned with the implementation and feasibility of educational reforms. Thereby, chapter 4 evaluates the impact of recent reforms on binding teacher recommendations by studying educational outcomes of students in primary and secondary schools. Chapter 5 examines whether support for educational policies is amenable to information provision about party-positions. Finally, chapter 6 contributes to the methodological debate around survey measurement by investigating belief elicitation in large-scale online surveys.

     

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    Sprache: Englisch
    Medientyp: Dissertation
    Format: Online
    ISBN: 9783959420990
    Weitere Identifier:
    hdl: 10419/243180
    Schriftenreihe: ifo Beiträge zur Wirtschaftsforschung ; 96 (2021)
    Schlagworte: Stranded assets; climate policy; expectations; utilities; event study; green innovation; patents; panel analysis; green finance; climate risk; intangible assets; institutional investors; renewable energy; crowding-out; regional economics; input-output ana; Gender Norms; Female Labor Supply; Survey Experiments; EducationalInequality; COVID-19; Low-Achieving Students; Home Schooling; DistanceTeaching; School Tracking; Admission Policies; Student Performance; Political Parties; Partisanship; Information; Endogenous Preferences; Voters,Family Policy; Beliefs; Incentives; Online Search
    Umfang: 1 Online-Ressource (circa 294 Seiten), Illustrationen
    Bemerkung(en):

    Erscheint auch als Druck-Ausgabe

    Dissertation, Universität München, 2021

  13. The Fed takes on corporate credit risk: an analysis of the efficacy of the SMCCF
    Erschienen: 2021
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 963 (September 2021)
    Schlagworte: Covid-19; credit market support facilities; diff-in-diff; event study; purchase effects
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  14. Elections and government efficiency
    Autor*in: Dorn, Florian
    Erschienen: November 2021
    Verlag:  ifo Institute - Leibniz Institute for Economic Research at the University of Munich, Munich, Germany

    Politicians are expected to influence policy outcomes in a way to gain electoral advantage. There is, however, a pending question whether efficiency in the provision of public goods and services is affected by strategic behavior. I examine how... mehr

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    Politicians are expected to influence policy outcomes in a way to gain electoral advantage. There is, however, a pending question whether efficiency in the provision of public goods and services is affected by strategic behavior. I examine how electoral cycles influence local government efficiency by using OLS fixed effects, event study, and instrumental variable estimations in a large balanced panel of around 2,000 municipalities in the German state of Bavaria. Cost efficiency is estimated by employing a fixed effects semi-parametric stochastic frontier analysis. The results show that electoral cycles increase government efficiency in election and pre-election years by around 0.75- 0.85 %. The effect is larger when executive and council electoral cycles coincide, and when incumbent mayors run for office again. My findings suggest an efficiencyenhancing effect of elections at given institutional conditions.

     

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    hdl: 10419/248561
    Schriftenreihe: Ifo working papers ; 363 (2021)
    Schlagworte: Electoral cycle; efficiency; local government; stochastic frontier analysis (sfa); panel data; event study; instrumental variables
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
    Bemerkung(en):

    Erscheint auch als Druck-Ausgabe

  15. Wage effects of employer
    mediated transfers
    Erschienen: July 2021
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We explore whether the way in which tax credits are disbursed affects the gross wage of workers. We exploit an unusual reform in Argentina that shifted the disbursement responsibility of child benefits from employers to a government agency in a... mehr

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    We explore whether the way in which tax credits are disbursed affects the gross wage of workers. We exploit an unusual reform in Argentina that shifted the disbursement responsibility of child benefits from employers to a government agency in a staggered fashion, from 2003 to 2010. Using population-wide administrative data and an event-study approach based on firms’ switching dates set by the government, we show that the way tax credits are disbursed matters for the final economic incidence. Our evidence suggests that employers capture about 6-14 percent of the transfers through lower wages when they mediate the payments. We argue that in the firm-based system, transfers were likely understood as part of the starting compensation package and employers exploited this confusion to extract rents. Our findings therefore accord with the hypothesis that transfers are not entirely captured dollar for dollar by workers. More generally, this paper suggests that relying on firms as mediators in the tax-benefit system could have unintended consequences; as less salient schemes may lead to rent capture.

     

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    hdl: 10419/245357
    Schriftenreihe: CESifo working paper ; no. 9176 (2021)
    Schlagworte: tax credits; family allowances; means-tested transfers; incidence; wage effects; event study
    Umfang: 1 Online-Ressource (circa 83 Seiten), Illustrationen
  16. Policy shocks and stock market returns
    evidence from Chinese solar panels
    Erschienen: February 2019
    Verlag:  University of Cambridge, Faculty of Economics, Cambridge

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    Schriftenreihe: Cambridge working paper in economics ; 1529
    Cambridge-INET working paper series ; no.: 2015, 24
    Schlagworte: Chinese exports; antidumping; solar panels; event study
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  17. Effects of Banco de la Republica's communication on the yield curve
    Erschienen: [2020]
    Verlag:  Banco de la Republica Colombia, Bogotá, Colombia

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    Schriftenreihe: Borradores de economía ; no. 1137 (2020)
    Schlagworte: communication; monetary policy; text mining; event study; yield curve
    Umfang: 1 Online-Ressource (circa 22 Seiten), Illustrationen
  18. Investor rewards to climate responsibility: stock-price responses to the opposite shocks of the 2016 and 2020 U.S. elections
    Erschienen: 2021
    Verlag:  Harvard Kennedy School, John F. Kennedy School of Government, [Cambridge, MA]

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    Schriftenreihe: Faculty research working paper series / Harvard Kennedy School, John F. Kennedy School of Government ; RWP21, 011 (March 2021)
    Schlagworte: Börsenkurs; Ankündigungseffekt; Klimapolitik; Präsidentschaftswahl; Regierungschef; USA; Climate finance; climate policy; CSR; election surprise; ESG; event study; institutional investors; policy boomerang; stock returns
    Umfang: 1 Online-Ressource (circa 74 Seiten), Illustrationen
  19. Motherhood and flexible jobs
    evidence from Latin American countries
    Erschienen: February 2021
    Verlag:  United Nations University World Institute for Development Economics Research, Helsinki, Finland

    We study the causal effect of motherhood on labour market outcomes in Latin America by adopting an event study approach around the birth of the first child based on panel data from national household surveys for Chile, Mexico, Peru, and Uruguay. Our... mehr

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    We study the causal effect of motherhood on labour market outcomes in Latin America by adopting an event study approach around the birth of the first child based on panel data from national household surveys for Chile, Mexico, Peru, and Uruguay. Our main contributions are: (i) providing new and comparable evidence on the effects of motherhood on labour outcomes in developing countries; (ii) exploring the possible mechanisms driving these outcomes; (iii) discussing the potential links between child penalty and the prevailing gender norms and family policies in the region. We find that motherhood reduces women's labour supply in the extensive and intensive margins and influences female occupational structure towards flexible occupations- part-time work, self-employment, and labour informality-needed for family-work balance. Furthermore, countries with more conservative gender norms and less generous family policies are associated with larger differences between mothers' and non-mothers' labour market outcomes.

     

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    ISBN: 9789292569716
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    hdl: 10419/243359
    Schriftenreihe: WIDER working paper ; 2021, 33
    Schlagworte: child penalty; event study; female labour supply; self-employment; labour informality; developing countries; Latin America
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  20. Pricing protest
    the response of financial markets to social unrest
    Erschienen: March 2021
    Verlag:  International Monetary Fund, [Washington, DC]

    Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative... mehr

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    Using a new daily index of social unrest, we provide systematic evidence on the negative impact of social unrest on stock market performance. An average social unrest episode in an typical country causes a 1.4 percentage point drop in cumulative abnormal returns over a two-week event window. This drop is more pronounced for events that last longer and for events that happen in emerging markets. Stronger institutions, particularly better governance and more democratic systems, mitigate the adverse impact of social unrest on stock market returns

     

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    Sprache: Englisch
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    ISBN: 9781513572765
    Weitere Identifier:
    Schriftenreihe: IMF working paper ; WP/21, 79
    Schlagworte: Social unrest; stock markets; abnormal returns; event study; institutions; Abnormal Returns; Event Study; Institutions; Social Unrest; Stock Markets
    Umfang: 1 Online-Ressource (circa 71 Seiten), Illustrationen
  21. Euro area sovereign bond risk premia during the Covid-19 pandemic
    Erschienen: [2021]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v)... mehr

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    We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk-free rates and a term premium, ii) default risk premium, iii) redenomination risk premium, iv) liquidity risk premium, and a v) segmentation (convenience) premium. Iden- tification is achieved by considering sovereign bond yields jointly with other rates, including sovereign credit default swap spreads with and without redenomination as a credit event fea- ture. We apply our framework to study the impact of European Central Bank (ECB) monetary policy and European Union (E.U.) fiscal policy announcements during the Covid-19 pandemic recession. We find that both monetary and fiscal policy announcements had a pronounced ef- fect on yields, mostly through default, redenomination, and segmentation premia. While the ECB's unconventional monetary policy announcements benefited some (vulnerable) countries more than others, owing to unprecedented exibility in implementing bond purchases, the E.U.'s fiscal policy announcements lowered yields more uniformly.

     

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    ISBN: 9789289947473
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    hdl: 10419/237700
    Schriftenreihe: Working paper series / European Central Bank ; no 2561 (May 2021)
    Schlagworte: Sovereign bond yields; ECB; Kalman lter; event study
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  22. Regulatory stress tests and bank responses
    Erschienen: [2020]
    Verlag:  Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis, Canberra

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    Schriftenreihe: CAMA working paper ; 2020, 77 (August 2020)
    Schlagworte: regulatory stress test; capital regulation; heterogeneous treatment effect; event study; instrumental variable
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  23. Macroeconomic surprises and the demand for information about monetary policy
    Autor*in: Tillmann, Peter
    Erschienen: February 23, 2020
    Verlag:  Verein für Socialpolitik, [Köln]

    This paper studies the demand for information about monetary policy, while the literature on central bank transparency and communication typically studies the supply of information by the central bank or the reception of the information provided. We... mehr

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    This paper studies the demand for information about monetary policy, while the literature on central bank transparency and communication typically studies the supply of information by the central bank or the reception of the information provided. We use a new data set on the number of views of the Federal Reserve's website to measure the demand for information. We show that exogenous news about the state of the economy as re ected in U.S. macroeconomic news surprises raise the demand for information about monetary policy. Surprises trigger an increase in the number of views of the policy-relevant sections of the website, but not the other sections. Hence, market participants do not only revise their policy expectations after a surprise, but actively acquire new information. We also show that attention to the Fed matters: a high number of views on the day before the news release weakens the high-frequency response of interest rates to macroeconomic surprises.

     

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    hdl: 10419/224545
    Schriftenreihe: Jahrestagung 2020 / Verein für Socialpolitik ; 40
    Schlagworte: website traffic; nonfarm payroll; attention; event study; centralbank communication
    Umfang: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  24. Do elections accelerate the COVID-19 pandemic?
    evidence from a natural experiment
    Erschienen: 2021
    Verlag:  Global Labor Organization (GLO), Essen

    Elections define representative democracies, but also produce spikes in physical mobility if voters need to travel to electoral rooms. In this paper, we examine whether large-scale, in-person elections propagate the spread of COVID-19. We exploit a... mehr

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    Elections define representative democracies, but also produce spikes in physical mobility if voters need to travel to electoral rooms. In this paper, we examine whether large-scale, in-person elections propagate the spread of COVID-19. We exploit a natural experiment from the Czech Republic which biannually renews mandates in 1/3 of Senate constituencies rotating according to the 1995 election law. We show that in the second and third weeks after the 2020 elections (held on October 9-10), new COVID-19 infections grow significantly faster in voting compared to non-voting constituencies. A temporarily-related peak in hospital admissions and essentially no changes in test positivity rates suggest that the acceleration is not merely due to increased testing. The acceleration is absent in population above 65, consistently with strategic risk-avoidance by older voters. Our results have implications for postal voting reforms or postponing of large-scale, in-person (electoral) events during viral outbreaks.

     

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    hdl: 10419/235583
    Schriftenreihe: GLO discussion paper ; no. 891
    Schlagworte: election; COVID-19; natural experiment; event study
    Umfang: 1 Online-Ressource (circa 47 Seiten)
  25. International yield spillovers
    Erschienen: December 11, 2020
    Verlag:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    Schriftenreihe: Finance and economics discussion series ; 2021, 001
    Schlagworte: Bond risk premia; foreign spillovers; event study; identification by heteroskedasticity; predictability
    Umfang: 1 Online-Ressource (circa 59 Seiten), Illustrationen