Browsing by Person "Wagenhals, Gerhard"

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Auswirkungen von Steueränderungen im Bereich Entfernungspauschale und Werbungskosten : ein Mikrosimulationsmodell
(2006) Wagenhals, Gerhard; Buck, Jürgen
To overcome a lack of information in official income tax statistcs, we developed a statistical matching approach for adding additional data from the German Socio-Economic Panel (GSOEP) to the most recent official income tax statistics data as of 2002. Based on a representative dataset of more than 35000 original tax report extracts, we implemented a microsimulation model that calculates the fiscal impact of changes in the area of tax deductible income related expenses, in particular tax deductible expenses for traveling from home to work and the lump sum deductible for all income related expenses. The new model allows a more detailed simulation of the fiscal impact of changes in the German income tax law than previously possible.
Dynamik von Armut in Deutschland - Ergebnisse mikroökonometrischer Analysen
(2006) Moll, Sebastian; Wagenhals, Gerhard
While the focus of traditional poverty research is on a cross-sectional perspective, this empirical study is concerned with the individual dynamics of poverty in Germany. Based on longitudinal data from the Socio-Economic Panel (SOEP), several aspects like the duration of poverty or the extent of chronic poverty are adressed. The organization of the book is as follows: After a short introduction in Chapter 1, necessary basics for the empirical analysis of poverty are discussed in Chapter 2. Chapter 3 deals with the measurement of chronic poverty over a fixed period of time. Microeconometric methods are adopted for a differenciated analysis of chronic poverty. In Chapter 4 a spell-based approach is applied to estimate poverty exit and re-entry rates. Finally, all important results are summarized in Chapter 5.
Essays on occupational choice
(2013) Schlenker, Eva Gabriele; Wagenhals, Gerhard
Occupational choices have far-reaching consequences for young adults. Occupations do not only influence career opportunities and earnings. They also have an impact on status and reputation in society. The importance of occupational choice is reinforced because occupational choice is hardly reversible and, therefore, creates path dependencies in one's life. This issue is especially crucial if job mobility is low, as it is the case in Germany. Changes in occupations are less common in Germany in comparison to labour markets that are characterised by lower levels of employment protection such as Great Britain. Additionally, the importance of educational credentials is high in Germany compared to other countries. Therefore, occupational choices are hardly revisable and, if at all, at high monetary and non-monetary costs such as student fees and a loss of leisure time while participating in adult education. However, in times of aging societies and shrinking labour forces, occupational choices are not only a matter of an individual's well-being. The match of individuals and their occupations is also of crucial importance for the efficiency of labour markets because a worker's productivity is increased if the job requirements match the worker's skills. This thesis addresses the question of how occupational choices are affected by exogenous circumstances and social environments. When analysing occupational choices, it is crucial to recognise that occupational choices are highly ramified and cannot be modelled by a single self-contained decision process. Occupational choices must be understood as the result of decisions during childhood and adolescence because these decisions condition individual opportunities afterwards. Thus, education choices during childhood affect occupational choices to a large extent because the access to occupations depends on educational credentials. This thesis considers the described multi-layered structure of occupational choice by analysing different decisions made during childhood and adolescence and their implication on occupational outcomes. On the one hand, the thesis examines whether parents influence their children's education and occupational choices. One hypothesis is that parental influence can decrease the efficiency of these choices because choices do not simply present the child's abilities and interests but also parental interests. On the other hand, the consequences of occupational choices on labour market outcomes are analysed in terms of labour supply in this thesis. The effect of institutional settings on the labour market behaviour of different occupation groups is tested conditionally with respect to selection effects. The author shows different patterns of behaviour in terms of labour supply using the example of women in STEM. A review of the existing literature shows that shortcomings exist in the economic understanding of occupational choice. This thesis contributes to the improvement of this understanding and fills some of the existing knowledge gaps. The author's empirical findings show that parents substantially influence their children's education and occupational choices. It is not certain that parental influence improves the efficiency of these choices, however. Further research has to answer this question by measuring costs and benefits. Additionally, further research is needed to improve the understanding of differences in labour supply between occupational groups. This thesis shows that significant differences in the labour supply of women in STEM exist compared to women in other occupations. Future studies are required to answer the research question of how other occupational groups, such as sales or education, react to different institutional settings. These scientific results are crucial to develop policies that meet the needs of the occupational groups in focus and that take into account group-specific employment patterns.
Essays on public and private antitrust enforcement
(2015) Smuda, Florian; Wagenhals, Gerhard
This dissertation contributes to the economic literature on public and private antitrust enforcement by providing four chapters with innovative and policy-relevant contents that allow the deduction of important implications for the enforcement of antitrust law. In particular, econometric and statistical methods are applied and extended in order to explore the price-setting behavior of cartels in Europe and the status quo of cartel deterrence (chapter 2), to provide new insights regarding the quantification of cartel damages of cartel suppliers (chapter 3) and final consumers (chapter 4), and to analyze the relation between cartel breakdowns and merger activity in former cartel industries (chapter 5). Chapter 6 concludes the thesis by summarizing the main results and emphasizing the contribution of each preceding chapter to the literature on public and private antitrust enforcement. In addition, policy implications as well as new fields of research that arose from the results of the investigated subtopics are described.
Forecasting DAX Volatility: A Comparison of Time Series Models and Implied Volatilities
(2016) Weiß, Harald; Wagenhals, Gerhard
This study provides a comprehensive comparison of different forecasting approaches for the German stock market. Additionally, this thesis presents an application of the MCS approach to evaluate DAX volatility forecasts based on high-frequency data. Furthermore, the effects of the 2008 financial crisis on the prediction of DAX volatility are analysed. The empirical analysis is based on data that contain all recorded transactions of DAX options and DAX futures traded on the EUREX from January 2002 to December 2009. The volatility prediction models employed in this study to forecast DAX volatility are selected based on the results of the general features of the forecasting models, and the analysis of the considered DAX time series. Within the class of time series models, the GARCH, the Exponential GARCH (EGARCH), the ARFIMA, and the Heterogeneous Autoregressive (HAR) model are chosen to fit the DAX return and realised volatility series. Additionally, the Britten-Jones and Neuberger (2000) approach is applied to produce DAX implied volatility forecasts because it is based on a broader information set than the BS model. Finally, the BS model is employed as a benchmark model in this study. As the empirical analysis in this study demonstrates that DAX volatility changes considerably over the long sample period, it investigates whether structural breaks induce long memory effects. The effects are separately analysed by performing different structural break tests for the prediction models. A discussion of the impact on the applied forecasting methodology, and how it is accounted for, is also presented. Based on the MCS approach, the DAX volatility forecasts are separately evaluated for the full sample and the subperiod that excludes the two most volatile months of the financial crisis. Because the objective of this work is to provide information to investment and risk managers regarding which forecasting method delivers superior DAX volatility forecasts, the volatilities are predicted for one day, two weeks, and one month. Finally, the evaluation results are compared with previous findings in the literature for each forecast horizon.
Die Intensität der Leiharbeitsnutzung in Deutschland. Eine empirische Analyse von betrieblichen Determinanten
(2013) Schröpfer, Stefanie; Wagenhals, Gerhard
Since the legal basis of temporary agency work has been relaxed in the context of the Hartz reforms in 2003/2004, firms use of temporary work has come under severe criticism: Firms are accused of using temporary work not only for flexibility reasons, but also to reduce costs strategically. As a result, permanent employees would be replaced by temporary workers. The use of temporary work as a strategic instrument has only been confirmed by qualitative studies so far. In particular, these studies show that a persistently intensive use aims at reducing the current personnel costs and avoiding costs of institutional arrangements arising from permanent but not from temporary employees. Given the increasing number of temporary workers in German firms, microeconometric studies have investigated the impact of high shares of temporary employees on firms’ performance. However, up to now, there is no quantitative evidence to what extent firms demand for temporary work can be explained by motives of strategic use. This thesis empirically examines the quantitative relevance of firms motives to use temporary work strategically with regard to the intensity of use. More specifically, this thesis addresses two main questions: First, what is the impact of the strategic motives of firms on the scale of employing temporary workers? Second, to what extent has the relevance of specific strategic motives changed after the deregulation of the temporary employment industry? To this end, this study draws on data from the Establishment Panel of the Institute for Employment Research (IAB) to analyse firms demand on temporary work using microeconometric methods, which are predominantly applied for the first time in this context. In a nutshell, the estimation results indicate that temporary work as a strategic instrument for cutting costs has become more important after the deregulation of the temporary employment industry. There is strong evidence that firms use temporary work more intensively and also persistently intensive to reduce their current personnel costs particularly in the low-skill sector. In addition, firms apparently use temporary work to avoid potential lay-off costs since the deregulation took place. While the results further suggest that firms try to strengthen their competitiveness by using temporary work, there are no clear signs for circumventing costs arising from collective agreements.
Steuerschätzung und Analyse der Prognosegüte für die Bundesrepublik Deutschland
(2012) Berberich, Ulrike; Wagenhals, Gerhard
Tax revenue forecasts are the basis for the budgeting and intermediate-term financial planning of the federal government, state governments, and local authorities. In Germany, the so-called working party on tax revenue estimates (Arbeitskreis ?Steuerschätzungen?/ AKS) undertakes the task of forecasting tax revenue since 1955. The participation of many independent experts is supposed to yield political independence. However, the AKS has to account for the basic assumptions about the macroeconomic development provided by the federal government of Germany. This implies the possibility of implicit political influence and poses the risk of a systematic overestimation of the tax revenues, which would be reflected in biased forecasts conducted by the AKS. Therefore, the question arises whether the official estimations by the AKS are rational, namely unbiased and information-efficient. Previous empirical studies imply that the forecasts conducted by the AKS are unbiased and in most analyzed cases also efficient. However, all authors conducted separate tests for selected forecast horizons following the traditional approach. The study at hand provides the first investigation whether the official forecasts by the AKS are still unbiased and information-efficient when the tests for forecast rationality are conducted simultaneously for all forecast horizons according to the pooled approach of Clements, Joutz and Stekler (2007). Additionally, so-called Seasonal Autoregressive Integrated Moving Average (SARIMA) models are proposed as an alternative direct estimation technique and their forecast quality is analyzed in comparison to the forecasting power of the forecasts conducted by the AKS. Therefor, a comparative horizontal, vertical and pooled accuracy analysis of the SARIMA and AKS forecasts between 2001 and 2010 is carried out using descriptive quality measures. An analysis of the official May forecasts conducted by the AKS for the current and four following years and for the target years 1981 to 2010 shows that the official tax revenue forecasts exhibit a significant (negative) bias according to the model with the most reasonable assumptions. On the one hand, this result contradicts previous empirical studies. On the other hand, it confirms the trend for an overestimation of tax revenue by the AKS as suspected in the literature. Testing for information-efficiency implies in most cases that the forecasts conducted by the AKS are efficient, but the test results are not very robust with respect to the significance level, the sample range and the different model assumptions. However, the significant bias in the model with the most plausible assumptions already leads to the conclusion that the official forecasts by the AKS are not rational applying the pooled approach. In contrast to the forecasts conducted by the AKS, the alternative SARIMA forecasts are under all assumptions unbiased and information-efficient if only the one and two years ahead forecasts are considered. Moreover, the latter achieve a higher forecast quality than the official tax revenue estimations, which leads to the recommendation to apply direct stochastic time series models for a short term horizon up to two years. However, the three and four years ahead SARIMA forecasts perform worse than the official forecasts conducted by the AKS, which implies that the SARIMA models are not suitable for the middle-term tax revenue estimation. Furthermore, the forecasting power of the direct stochastic time series models diminishes seriously in comparison to the forecasts conducted by the AKS when an exogenous shock like the financial crisis occurs at the end of the estimation period.