Kiel Institute for the World Economy

About: Kiel Institute for the World Economy is a facility organization based out in Kiel, Germany. It is known for research contribution in the topics: Foreign direct investment & Productivity. The organization has 318 authors who have published 1909 publications receiving 42832 citations. The organization is also known as: Institut für Weltwirtschaft an der Universität Kiel.

A Markov-switching multifractal approach to forecasting realized volatility

Abstract: The volatility specification of the Markov-switching Multifractal (MSM) model is proposed as an alternative mechanism for realized volatility (RV). We estimate the RV-MSM model via Generalized Method of Moments and perform forecasting by means of best linear forecasts derived via the Levinson-Durbin algorithm. The out-of-sample performance of the RV-MSM is compared against other popular time series specfications usually employed to model the dynamics of RV as well as other standard volatility models of asset returns. An intra-day data set for five major international stock market indices is used to evaluate the various models out-of-sample. We find that the RV-MSM seems to improve upon forecasts of its baseline MSM counterparts and many other volatility models in terms of mean squared errors (MSE). While the more conventional RV-ARFIMA model comes out as the most successful model (in terms of the number of cases in which it has the best forecasts for all combinations of forecast horizons and criteria), the new RV-MSM model seems often very close in its performance and in a non-negligible number of cases even dominates over the RV-ARFIMA model.

The Role of Proximity to Universities for Corporate Patenting - Provincial Evidence from China

Abstract: This paper investigates whether proximity to universities matters for corporate patenting in Chinese provinces The investigation is based on estimating regional knowledge production functions using a Chinese provincial data set for the years from 2000 to 2008 Geographic proximity of companies to universities is taken as a key element to measure firms’ accessibility to university research In addition, quality-adjusted accessibility measures are considered in extended models to take into account quality difference in university research The results suggest the existence of spatial academic effects on corporate patenting activities in China as found in the previous literature for Western economies In China, however, these effects are especially strong for realising technologically less demanding non-invention corporate patents than for invention corporate patents Moreover, companies’ geographic proximity to universities dominates over university research quality difference for determining the relevance of universities as knowledge sources for companies Extended models are estimated for robustness checks which ascertain the main results

The political business cycle under rational voting behavior

Abstract: This essay argues that politically motivated business cycles could persist in a democratic society even if the electorate votes in a rational, fully informed manner, provided that government policymakers have the means to systematically generate macroeconomic fluctuations. This cyclic outcome reflects the pReferences of an electorate that is composed of imperfectly altruistic voters belonging to different overlapping generations. Since each generation has a different horizon over which it would like to have elected politicians provide an optimal economic policy plan, an intergenerational conflict of interests situation arises. This conflict is placed into an explicit political context, whereby cycles become generated under the institutional constraint of periodic elections.

Monetary policy committee size and inflation volatility

Abstract: Previous research on the optimal size of a monetary policy committee (MPC) focused on theoretical analyses and experimental studies. These studies suggest that the ideal monetary policy committee may not have many more than five members. In this paper we conduct an empirical cross-country study to explore whether there is a link between the size of an MPC and inflation volatility. The analysis for 75 countries which have adopted MPCs provides some support for the above suggestion: countries with less than five MPC members tend to have larger deviations from trend inflation than MPCs with five members; raising the number of MPC members above five does not contribute to a further reduction in volatility.

Modelling Consumption and Constructing Long-Term Baselines in Final Demand

Abstract: Modelling and projecting consumption, investment and government demand by detailed commodities in CGE models poses many data and methodological challenges We review the state of knowledge of modelling consumption of commodities (price and income elasticities and demographics), as well as the historical trends that we should be able to explain We then discuss the current approaches taken in CGE models to project the trends in demand at various levels of commodity disaggregation We examine the pros and cons of the various approaches to adjust parameters over time or using functions of time and suggest a research agenda to improve modelling and projection We compare projections out to 2050 using LES, CES and AIDADS functions in the same CGE model to illustrate the size of the differences In addition, we briefly discuss the allocation of total investment and government demand to individual commodities