Sven Schreiber's research papers
(Diese Seite ist nur auf Englisch verfügbar./ This
page is available only in English; Latest update: September 2019
Some of the material on this page is also
on my Repec page, but
the forthcoming papers are typically missing in Repec until they have
appeared in print.)
Research interests: Quite broad (as you can see on this page), but mostly related to time series econometrics and macroeconomics. Other keywords are labor/unemployment issues, pensions, inflation.
Entries are mostly listed in reverse chronological order. Note that contact information given in older papers may be obsolete, but comments are still and always welcome!
Published papers
Assessing Causality and Delay within a Frequency Band (with Jörg Breitung)
The estimation uncertainty of permanent-transitory decompositions in cointegrated systems
Reassessing the impact of the US Fiscal Stimulus: The role of the monetary policy stance (with Andrew Hughes Hallett and Ansgar Rannenberg)
Anticipating business-cycle turning points in real time using density forecasts from a VAR (with Natalia Soldatenkova)
Europe's Looming Pension Divide (with Hubert Beyerle)
Random number generation in gretl (with A.T. Yalta)
Evidence on the effects of inflation on price dispersion under indexation (with Juliane Scharff)
Estimating the natural rate of unemployment in euro-area countries with co-integrated systems
Unemployment and Productivity, Slowdowns and Speed-Ups: Evidence Using Common Shifts
The Hausman test statistic can be negative even asymptotically
Did work-sharing work in France? Evidence from a structural cointegrated VAR model
The long-run Phillips curve revisited: Is the NAIRU framework data-consistent? (with Jürgen Wolters)
Testing the effectiveness of the French work-sharing reform: a forecasting approach (with Camille Logeay)
Pensions and insider-outsider unemployment
Will a productivity-oriented wage policy stabilize the labor share?
Current working papers
On (bootstrapped) cointegration tests in partial systems
Keywords: bootstrap, cointegration rank test, empirical size
IMK Working paper: version August 2019
Abstract: As applied cointegration analysis faces the challenge that (a) potentially relevant variables are unobservable and (b) it is uncertain which covariates are relevant, partial systems are often used and potential (stationary) covariates are ignored. Recently it has been argued that a nominally significant cointegration outcome using the bootstrapped rank test (Cavaliere, Rahbek, and Taylor, 2012) in a bivariate setting might be due to test size distortions when a larger data-generating process (DGP) with covariates is assumed. This study reviews the issue systematically and generally finds noticeable but only mild size distortions, even when the specified DGP includes a large borderline stationary root. The previously found drastic test size problems in an application of a long-run Phillips curve (inflation and unemployment in the euro area) appear to hinge on the particular construction of a time series for the output gap as a covariate. We conclude that the problems of the bootstrapped rank test are not severe and that it is still to be recommended for applied research.
Weather Adjustment of Economic Output
Keywords: weather, business cycle, nowcasting
Download:
version September 2016
based on the presentation at,
and prepared for the conference proceedings of
the Joint Statistical Meetings.
This is a follow-up paper and fairly thorough revision of "Adjusting production indices
for varying weather effects",
IMK Working paper 171, June 2016 (with Erik Haustein).
Abstract: While recurring and regular variations of weather conditions are implicitly addressed by standard seasonal adjustment procedures of economic time series, extraordinary weather outcomes are not. We propose a way of measuring aggregate abnormal weather conditions based on available local measurements and a straightforward regression-based framework to analyze their impact on German monthly total industrial and construction-sector production data, and find noticeable effects. In the historical --and seasonally adjusted-- construction sector growth data the extra explanatory power of the weather regressors over a benchmark univariate autoregressive model even exceeds 50% of the variation. The estimated effects of weather deviations can be subtracted from the already seasonally adjusted data to obtain (seasonally as well as) weather adjusted series, which might capture economic developments better. Given the timely availability of the weather data compared to the publication lag of economic measurements, we also point out how measuring the weather impact may help short-term forecasting or nowcasting of industrial production in real time.
The Life-Cycle Hypothesis Revisited: Evidence on Housing Consumption after Retirement (with Miriam Beblo)
Keywords: consumption smoothing, retirement-consumption puzzle, SOEP
Download: version May 2016
.
This paper has waited a long time for more data from recent SOEP waves, and for more explicit theory.
Older versions had the title "Housing consumption
after retirement: Is there a puzzle?", for example that's the
title which appears in the programme of the Econometric Society
World Congress 2010.
Abstract: We revisit the alleged retirement consumption puzzle. According to the life-cycle theory, foreseeable income reductions such as those around retirement should not affect consumption. However, we first recall that given higher leisure endowments after retirement, the theory does predict a fall of total market consumption expenditures. In order not to mistake this predicted drop for a puzzle we focus on housing consumption which can be plausibly regarded as complementary to leisure, and we control for the leisure change in our empirical specifications, using micro data for Germany (SOEP), where housing expenditures are observable as rents for the majority (60%), as well as dwelling relocations. We still find significant negative impacts of the retirement status on housing consumption, which is hard to reconcile with the life-cycle theory. For retirees we also find significant effects of the income reduction at retirement on housing. However, the effects are small in quantitative terms, given the lock-in nature of past housing decisions.
(When) Does Money Growth Help to Predict Euro-area Inflation at Low Frequencies?
Keywords: money growth, Granger causality, quantity theory, unemployment
Download: revised version February 2015,
.
An earlier version is available as
Free University Berlin discussion paper 10/2013.
Abstract:
Short answer: It helps a lot when other important variables are
excluded from the information set.
Longer answer: We revisit claims in the literature that money growth is Granger-causal
for inflation at low frequencies. Applying frequency-specific tests to euro-area data in
a system with various potentially important variables, money growth is not a significant
low-frequency predictor of inflation. A general-to-specific testing strategy reveals
a recursive structure where only the unemployment rate and long-term interest rates are
directly Granger-causal for low-frequency inflation movements, and all variables affect
money growth. We therefore interpret opposite results from bivariate inflation/money
growth systems as spurious due to omitted-variable biases. We also analyze the resulting
four-dimensional system in a cointegration framework and find structural changes in the
long-run adjustment behavior, which do not affect the main conclusions, however.
Older stuff
Estimating the cost of the minimum pension guarantee in Chile
An earlier version was presented at the 2001 International Institute of Public Finance meeting. A still older version was presented in 1999 at the Fiscal Affairs Department of the International Monetary Fund (IMF), where it all started as my summer internship project.
Abstract: This paper estimates the cost of the minimum pension
guarantee in Chile’s individually funded pension system. It
uses a stochastic simulation to assess the fiscal impact of the
dynamics of the relevant variables, namely wages and asset
prices.
This is the first aggregate study with wage stochastics, and it
also accounts for so-called “recognition bonds”
reflecting workers’ contributions to the previous defined
benefit system. It is found that the beneficiaries of the
guarantee are mainly the currently non-contributing affiliates of
the system, provided they will not permanently drop out of the
labor force. Women as a group also tend to receive more transfers
than men.
The ex-ante cost distribution for the baseline case lies in the
range of 0 to 20% of Chile’s 1998 GDP with a median of
about 4%. The impact of various institutional settings and
parameter values is assessed.