Shrabani Saha, Anindya Sen, Christine Smith-Han and Dennis Wesselbaum
This paper aims to examine the impact of the Brexit referendum on the risk structure of financial asset prices. Co-movements are analysed using daily price returns of major stock…
Abstract
Purpose
This paper aims to examine the impact of the Brexit referendum on the risk structure of financial asset prices. Co-movements are analysed using daily price returns of major stock and bond indices as well as commodities and exchange rates from June 2014 to June 2018. The authors used a multivariate GARCH model to study the dynamics of the conditional correlation matrix of asset returns. It was found that the conditional variances and correlations of assets spike on and after the Brexit referendum and then quickly revert to normal levels, suggesting that the effect of the referendum was transient rather than structural. The findings are of interest to investors as co-movements of financial assets can significantly impact financial portfolios and hedging strategies.
Design/methodology/approach
The authors used a multivariate GARCH model to study the dynamics of the conditional correlation matrix of asset returns.
Findings
It was found that the conditional variances and correlations of assets spike on and after the Brexit referendum and then quickly revert to normal levels, suggesting that the effect of the referendum was transient rather than structural.
Research limitations/implications
The findings are of interest to investors as co-movements of financial assets can significantly impact financial portfolios and hedging strategies.
Originality/value
To the best of the authors’ knowledge, research studying the underlying asset co-movements around Brexit does not exist.
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Keywords
The purpose of this paper is to focus on the role of unions for job flow rates.
Abstract
Purpose
The purpose of this paper is to focus on the role of unions for job flow rates.
Design/methodology/approach
The author uses a longitudinal data set emphasizing the importance of the time dimension.
Findings
Using the fixed effects estimator, the author finds that unions decrease the job separation rate and the job finding rate.
Originality/value
The findings support that the implications of the insider-outsider model by Lindbeck and Snower (1986): unions are beneficial for insiders but harm outsiders.
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Extensive literature studies the causes of crime and crime reporting behaviour. In contrast, there is hardly any scholarship on delays in reporting a crime and what drives them…
Abstract
Purpose
Extensive literature studies the causes of crime and crime reporting behaviour. In contrast, there is hardly any scholarship on delays in reporting a crime and what drives them. Understanding delays in reporting crimes is important for various reasons, for example, because they could decrease the likelihood of an arrest or lead to an issue with the statute of limitations. This paper is the first to analyse the delay in reporting crimes and environmental drivers of these delays.
Design/methodology/approach
The authors construct a novel data set combining all crimes reported in New York City from 2006 to 2020 (N = 2,442,288) with station-level data on weather variables (temperature, rainfall, relative humidity, visibility and wind speed) and four types of air pollutants (carbon monoxide, ozone, sulphur dioxide, nitrogen dioxide). Matching these three data sets using the geolocation occurs at an hourly frequency. Importantly, the crime data provided by the NYPD allows us to control for several other factors that could potentially affect crime reporting behaviour.
Findings
The authors show that 30 percent of reported crimes in New York City were reported with a delay. The average reporting delay was 10.79 days. Carbon monoxide influences for delays in reporting violent crimes and rainfall affects delays in reporting property crimes. Relative humidity, as a driver of wet bulb temperature, affects delays in reporting violent crimes as well.
Research limitations/implications
The authors present novel facts about delays in reporting crimes and how these are related to weather and air pollution. The authors’ findings have implications for government regulation of air pollution as well as for real-time crime forecasting. They should also aid victim support groups in providing services.
Originality/value
This paper is the first to analyse the impact of environmental factors on the delay in reporting crimes.
The purpose of this paper is to compare two elements of lay-off costs in a dynamic model of the labor market and analyze the differences for business cycle dynamics and welfare…
Abstract
Purpose
The purpose of this paper is to compare two elements of lay-off costs in a dynamic model of the labor market and analyze the differences for business cycle dynamics and welfare.
Design/methodology/approach
The paper builds a general equilibrium Real Business Cycle model and introduces firing costs and severance payments. Labor market frictions are assumed to follow the famous search and matching approach.
Findings
The paper finds that firing costs imply a higher volatility over the cycle and have stronger negative welfare effects. Severance payments have a lower volatility, reduce unemployment, and reduce welfare by a smaller amount.
Practical implications
Policy reforms should be aimed to use severance payments and reduce the ring cost component of lay-off costs.
Originality/value
Increasing welfare and a more stable business cycle could be supported by using severance payments instead of firing costs.
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The purpose of this paper is to introduce productivity-dependent firing costs into an otherwise standard endogenous separations matching model. The authors suggest an alternative…
Abstract
Purpose
The purpose of this paper is to introduce productivity-dependent firing costs into an otherwise standard endogenous separations matching model. The authors suggest an alternative to the standard fix cost approach and account for empirical evidence emphasizing that firing costs vary across workers. The authors show that the model with firing costs outperformes the model without firing costs and replicates the empirical facts fairly well. Furthermore, the authors present cross-country evidence that countries with stricter employment protection have a weaker Beveridge curve relation and surprisingly more volatile job flow rates.
Design/methodology/approach
The authors begin the analysis at the intersection of labor and product markets. For this purpose, the authors derive a real business cycle model with search and matching frictions and endogenous separations. The authors enrich this set-up by introducing productivity-dependent firing costs.
Findings
The authors show that the model with firing costs outperformes the model without firing costs and replicates the empirical facts fairly well. Furthermore, the authors present cross-country evidence that countries with stricter employment protection have a weaker Beveridge curve relation and surprisingly more volatile job flow rates.
Originality/value
This paper introduces productivity-dependent firing costs into an otherwise standard endogenous separations matching model. The authors suggest an alternative to the standard fix cost approach and account for empirical evidence emphasizing that firing costs vary across workers. The authors show that the model with firing costs outperformes the model without firing costs and replicates the empirical facts fairly well. Furthermore, the authors present cross-country evidence that countries with stricter employment protection have a weaker Beveridge curve relation and surprisingly more volatile job flow rates.