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REGENSBURGECONNEWS
NEWSLETTER 2014-26
CALENDAR:
Departmental Seminar
Christian Schumacher (Deutsche Bundesbank):
Relevant and irrelevant variables in sparse
factor models
Monday, November 17
16.30–18.00
H 13
IOS Seminar
Miriam Frey (IOS Regensburg):
Assessing the Impact of a Carbon Tax on the
Ukrainian Economy
Tuesday, November 18
13.30–15.00
AlFi 1.09 (Landshuter Str. 4)
Economic and Social History Seminar
Beatrix Purchart (Universität Zürich):
Die amerikanische Finanzkrise von 1907 und die
Auswirkungen auf Deutschland und die Schweiz
Wednesday, November 19
18:00–19:30
VG 1.37
ABSTRACTS:
Departmental Seminar
Christian Schumacher (with Sylvia Kaufmann):
Relevant and irrelevant variables in sparse factor models
Abstract: This paper considers factor estimation from heterogeneous data, where some of the variables
are noisy and only weakly informative for the factors. To identify the irrelevant variables, we search for
zero rows in the loadings matrix of the factor model. To sharply separate these irrelevant variables from
the informative ones, we choose a Bayesian framework for factor estimation with sparse priors on the
loadings. The choice of a sparse prior is an extension to the existing macroeconomic literature, which
predominantly uses normal priors on the loadings. We also discuss identification issues and different ways
how to identify relevant variables from the posterior samples. These tools augment the inferential toolbox
for structural factor analysis, as only relevant variables can be affected by identified structural shocks.
REGENSBURGECONNEWS 2014-26
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Simulations show that the sparse factor model can well detect various degrees of sparsity in the data. The
proposed testing procedures can identify irrelevant and relevant variables in the factor model well.
Empirical applications to a large multi-country GDP dataset and disaggregated CPI inflation data for the US
reveal that sparsity matters a lot, as the majority of the variables in both datasets are irrelevant for factor
estimation.
IOS Seminar
Miriam Frey:
Assessing the Impact of a Carbon Tax on the Ukrainian Economy
Abstract: Ukraine has still one of the highest levels of CO2 emissions per GDP in the world. On the other
hand, Ukraine ratified the Kyoto Protocol in 2004 which was followed by the adoption of a number of
legal acts. In 2010, the Ukrainian government passed a law to gradually implement a carbon tax on
energy commodities used by stationary sources. The tax was first levied in 2011 with a starting value of
0.1 Ukrainian Hryvnia (UAH) per tonne of CO2. In the following years it was increased step-by-step with
the current tax level being set at 0.26 UAH per tonne of CO2. As the level of the tax seems to be quite
low, the question about the appropriate tax level resulting in an emission reduction arises. Thus, using a
computable general equilibrium (CGE) model and an environmentally-extended dataset for Ukraine, this
paper assesses the impact of different carbon tax levels on the Ukrainian economy and the environment.
Economic and Social History Seminar
Beatrix Purchart:
Die amerikanische Finanzkrise von 1907 und die Auswirkungen auf Deutschland und die Schweiz
Abstract: Research on how the financial crisis of 1907 spread from its country of origin – the United States
– to other countries is mainly focused on monetary transmission channels, such as liquidity shortage and
rising interest rates, which arose as part of the transmission of monetary policy under the gold standard
system. This work outlines the economic consequences of the crisis of 1907 for Imperial Germany and
Switzerland, and it is shown that both countries were hit heavily by the crisis; their economies suffered
severe setbacks. However, the trigger which led to the transmission of the crisis was a sudden drop in the
American demand for consumer products. Even under a pegged exchange rate system – the classical
period of the gold standard before World War I – the real economy factors played a decisive role, and
demand-side shocks led to severe economic turbulences. The National banks of both countries fulfilled
their role as lender of last resort and bank lending worked in the crisis months. The German commercial
banks weathered the crisis extremely well, compared with previous crises and the crises which were
supposed to follow.
We gratefully acknowledge financial support of the
Departmental Seminar by the Regensburger
Universitätsstiftung Hans Vielberth.
RegensburgEconNews
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