This thesis is, to my knowledge, the first study utilising data from the Swedish population and housing censuses between 1960 and 1990 merged with other data from the same period in order to estimate extensive margin labour supply responses to changes in municipal tax rate changes. Given that women historically have not faced the same structural labour market preconditions as men, the empirical strategy is designed to allow for an analysis of gender-based heterogeneity in labour supply responses. Using a weighted fixed effects framework, estimates of the average over time between municipal effects of tax rate increases are presented. Using the preferred main model specification, the estimate for the average tax rate elasticity is -0.165 for men and 0.3513 for women. Additionally, an attempt is made to estimate an effect using a difference-in-difference framework, treating the overall largest municipal tax rate changes as a form of quasi-experimental treatment. The results of the main analysis indicate the presence of gender-based heterogeneity in extensive margin labour supply responses during 1960 to 1990 within the administrative region in question.

The employment effect of hosting the FIFA world cup has been researched multiple times with city, municipality, or state data using a variety of methods. Arguably, the Difference-In-Difference (DID) method, first used by Hotchkiss et al. (2003) then refined by countless others, is the most common method for measuring both short-term and long-term employment effects of mega sporting events (Hagn & Maennig, 2008). This event study applies a static and a dynamic two-way fixed effects difference-in-difference model (TWFEDD) to national employment data for 24 nations throughout 42 years between 1979 and 2021. The World Cup hosts included in the study are Mexico 1986, Italy 1990, USA 1994, France 1998, Korea & Japan 2002, Germany 2006, and Russia 2018. The two TWFEDD models fail to reject the hypothesis that there is no causal employment effect when hosting a World Cup.

Information technology (IT) investments have increased over the last half-century without clear justification in academic or practice-based literatures. One area that has not been adequately addressed in the past literature is the role of IT investments in mitigating firm financial vulnerability. This dissertation specifically attempts to understand the marginal effects of IT investments on financial vulnerability as defined by firm risk and R&D depreciation. Two research questions are pursued to help explain the role IT investments play in firm financial vulnerability: 1) What is the relationship between IT investments and R&D depreciation? and 2) What is the relationship between IT investments and firm risk? For this, I draw testable from the Real Options Theory. In addition, I develop measures of firm risk and the Depreciation of Business R&D capital. I source the data from three archival sources: Compustat, The Center for Research in Security Prices (CRSP), and the Ci Technology Database (CiTDB). This dissertation uses panel regression models using fixed effects to control the unobservable time invariant firm heterogeneity. To alleviate potential endogeneity and sampling biases, I use generalized method of moments models. The results suggest the relationships between IT investments and both firm risk and depreciation, namely that IT investments increase firm risk and decrease R&D depreciation.

No description available.

This is a study on the effect of management and CEO stock ownership on company performance. A regression analysis is performed on panel data consisting of a sample of 30 companies listed on OMX Stockholm Mid Cap. A total of 210 and 2520 observations is considered on a yearly and monthly basis, respectively, for seven years (2010-2016). The Hausman test is applied for determining between the fixed effects and random effects regression models. Results show that management relative stock ownership has a significant positive effect on company net income growth and return on assets. The effect is not significant for CEO stock ownership, which is contrary to what commonly has been shown for large companies in previous research. Moreover, alternative methodology is discussed for the benefit of the future researcher. The authors illustrate how the selection of dummy variables can be vital for final model outcomes, and it is thus an important aspect to consider when performing panel data analysis. / I den här studien undersöks hur aktieinnehav hos ledning och den verkställande direktören i ett företag påverkar företagsutvecklingen. Studien genomförs med regressionsanalys på paneldata som består av 30 företag, samtliga noterade på OMX Stockholm Mid Cap. Totalt samlas 210 och 2520 observationer på årsbasis respektive månadsbasis över sju år (2010-2016). Hausman-testet används för att bestämma vilken av fixed effects-modellen och random effects-modellen som ska användas i regressionen. Resultaten visar att relativt aktieinnehav hos ledningen har en positiv signifikant påverkan på ett företags nettoinkomstutveckling och avkastning på tillgångar. Den verkställande direktörens aktieinnehav visas inte vara signifikant, vilket är motsatt till det som generellt har visats för stora företag i tidigare forskning. Regressionerna genomförs även med alternativa metoder, vilka det resoneras kring i en diskussion som bör vara till gagn för vidare forskning. Författarna illustrerar hur val av dummy-variabler kan ha en avgörande betydelse för regressionsanalysen, och att det således är en viktig aspekt att ta hänsyn till när regressioner genomförs på paneldata.

本文採雙因子固定效果模型(Two-Factor Fixed-Effects Model)，利用中 華人民共和國國家統計局1998 年至2007 年資料，排除台港澳等旅客，研 究中國大陸各省市地區國外入境遊客人次，探討影響各地區入境遊客人次 之決定因素，以及其影響程度。實證模型採用之解釋變數分別為各地區交 通便利性、星級飯店旅館數、人均可支配所得、外資投入總額、製造業比 重、人均醫療機構數、園林與綠地面積、鄰近地區旅遊到訪人數、前兩年 旅遊到訪人數、人均貿易額、平均降水量、降水量變異數以及各地區特質 效果以及時間效果。而被解釋變數為中國大陸各省市地區接待國外入境遊 客人次，經由迴歸分析發現影響中國大陸各地區吸引外國遊客之決定因素 有、星級飯店旅館數、外資投入總額、人均醫療機構數、園林與綠地面積、 前兩年旅遊到訪人數、人均貿易額、平均降水量。並分析中國大陸各地區 之旅遊觀光產業之發展方向，最後則是對觀光產業發展進行政策建議。 / This article is aimed at the factors why visitors visit those regions in mainland China. This study will firstly review literatures about the demand of tourism. By viewing all the discussions, we tried to find out the most likely factors, and the two-factor fixed-effects model was used to analyze these various factors. Data for this analysis was provided by the National Bureau of Statistics People's Republic of China from 1998 to 2007. Several likely factors were taken into consideration as independent variables: the convenience of local traffic, the number of hotels, per capita disposable income, the total amount of foreign investment, the manufacturing sector, the per capita number of medical institutions, gardens and green area, the number of tourist visits around, The number of tourist visiting the first two years, the per capita volume of trade, the average rainfall, rainfall variation and the characteristics effects, and time effects. We used the numbers of foreign visitors of each region of China as dependent variables. The results showed that the factors which would significantly attract foreign tourists were the number of hotels, the total amount of foreign investment, per capita number of medical institutions, gardens and green area, the first two years the number of visiting tourists, the per capita volume of trade, and the average rainfall.

Ma thèse est composée de trois essais sur l'inférence par le bootstrap à la fois dans les modèles de données de panel et les modèles à grands nombres de variables instrumentales #VI# dont un grand nombre peut être faible. La théorie asymptotique n'étant pas toujours une bonne approximation de la distribution d'échantillonnage des estimateurs et statistiques de tests, je considère le bootstrap comme une alternative. Ces essais tentent d'étudier la validité asymptotique des procédures bootstrap existantes et quand invalides, proposent de nouvelles méthodes bootstrap valides. Le premier chapitre #co-écrit avec Sílvia Gonçalves# étudie la validité du bootstrap pour l'inférence dans un modèle de panel de données linéaire, dynamique et stationnaire à effets fixes. Nous considérons trois méthodes bootstrap: le recursive-design bootstrap, le fixed-design bootstrap et le pairs bootstrap. Ces méthodes sont des généralisations naturelles au contexte des panels des méthodes bootstrap considérées par Gonçalves et Kilian #2004# dans les modèles autorégressifs en séries temporelles. Nous montrons que l'estimateur MCO obtenu par le recursive-design bootstrap contient un terme intégré qui imite le biais de l'estimateur original. Ceci est en contraste avec le fixed-design bootstrap et le pairs bootstrap dont les distributions sont incorrectement centrées à zéro. Cependant, le recursive-design bootstrap et le pairs bootstrap sont asymptotiquement valides quand ils sont appliqués à l'estimateur corrigé du biais, contrairement au fixed-design bootstrap. Dans les simulations, le recursive-design bootstrap est la méthode qui produit les meilleurs résultats. Le deuxième chapitre étend les résultats du pairs bootstrap aux modèles de panel non linéaires dynamiques avec des effets fixes. Ces modèles sont souvent estimés par l'estimateur du maximum de vraisemblance #EMV# qui souffre également d'un biais. Récemment, Dhaene et Johmans #2014# ont proposé la méthode d'estimation split-jackknife. Bien que ces estimateurs ont des approximations asymptotiques normales centrées sur le vrai paramètre, de sérieuses distorsions demeurent à échantillons finis. Dhaene et Johmans #2014# ont proposé le pairs bootstrap comme alternative dans ce contexte sans aucune justification théorique. Pour combler cette lacune, je montre que cette méthode est asymptotiquement valide lorsqu'elle est utilisée pour estimer la distribution de l'estimateur split-jackknife bien qu'incapable d'estimer la distribution de l'EMV. Des simulations Monte Carlo montrent que les intervalles de confiance bootstrap basés sur l'estimateur split-jackknife aident grandement à réduire les distorsions liées à l'approximation normale en échantillons finis. En outre, j'applique cette méthode bootstrap à un modèle de participation des femmes au marché du travail pour construire des intervalles de confiance valides. Dans le dernier chapitre #co-écrit avec Wenjie Wang#, nous étudions la validité asymptotique des procédures bootstrap pour les modèles à grands nombres de variables instrumentales #VI# dont un grand nombre peu être faible. Nous montrons analytiquement qu'un bootstrap standard basé sur les résidus et le bootstrap restreint et efficace #RE# de Davidson et MacKinnon #2008, 2010, 2014# ne peuvent pas estimer la distribution limite de l'estimateur du maximum de vraisemblance à information limitée #EMVIL#. La raison principale est qu'ils ne parviennent pas à bien imiter le paramètre qui caractérise l'intensité de l'identification dans l'échantillon. Par conséquent, nous proposons une méthode bootstrap modifiée qui estime de facon convergente cette distribution limite. Nos simulations montrent que la méthode bootstrap modifiée réduit considérablement les distorsions des tests asymptotiques de type Wald #$t$# dans les échantillons finis, en particulier lorsque le degré d'endogénéité est élevé. / My dissertation consists of three essays on bootstrap inference in both large panel data models and instrumental variable (IV) models with many instruments and possibly, many weak instruments. Since the asymptotic theory is often not a good approximation to the sampling distribution of test statistics and estimators, I consider the bootstrap as an alternative. These essays try to study the asymptotic validity of existing bootstrap procedures and when they are invalid, to propose new valid bootstrap methods. The first chapter (co-authored with Sílvia Gonçalves) studies the validity of the bootstrap for inference on a stationary linear dynamic panel data model with individual fixed effects. We consider three bootstrap methods: the recursive-design wild bootstrap, the fixed-design wild bootstrap and the pairs bootstrap. These methods are natural generalizations to the panel context of the bootstrap methods considered by \citeasnoun{GK} in pure time series autoregressive models. We show that the recursive-design wild bootstrap fixed effects OLS estimator contains a built-in bias correction term that mimics the incidental parameter bias. This is in contrast with the fixed-design wild bootstrap and the pairs bootstrap whose distributions are incorrectly centered at zero. As it turns out, both the recursive-design and the pairs bootstrap are asymptotically valid when applied to the bias-corrected estimator, but the fixed-design bootstrap is not. In the simulations, the recursive-design bootstrap is the method that does best overall. The second chapter extends our pairwise bootstrap results to dynamic nonlinear panel data models with fixed effects. These models are often estimated with the Maximum Likelihood Estimator (MLE) which also suffers from an incidental parameter bias. Recently, \citeasnoun{DhaeneJochmans} have proposed the split-jackknife estimation method. Although these estimators have asymptotic normal approximations that are centered at the true parameter, important size distortions remain in finite samples. \citeasnoun{DhaeneJochmans} have proposed the pairs bootstrap as an alternative in this context without a theoretical justification. To fill this gap, I show that this method is asymptotically valid when used to estimate the distribution of the half-panel jackknife estimator although it does not consistently estimate the distribution of the MLE. A Monte Carlo experiment shows that bootstrap-based confidence intervals that rely on the half-panel jackknife estimator greatly help to reduce the distortions associated to the normal approximation in finite samples. In addition, I apply this bootstrap method to a canonical model of female-labor participation to construct valid confidence intervals. In the last chapter (co-authored with Wenjie Wang), we study the asymptotic validity of bootstrap procedures for instrumental variable (IV) models with many weak instruments. We show analytically that a standard residual-based bootstrap and the restricted efficient (RE) bootstrap of Davidson and MacKinnon (2008, 2010, 2014) cannot consistently estimate the limiting distribution of the LIML estimator. The foremost reason is that they fail to adequately mimic the identification strength in the sample. Therefore, we propose a modified bootstrap procedure which consistently estimates this limiting distribution. Our simulations show that the modified bootstrap procedure greatly reduces the distortions associated to asymptotic Wald ($t$) tests in finite samples, especially when the degree of endogeneity is high.

Cette thèse est consacrée à l'étude de la transmission des chocs réels et financiers en Europe, en traitant le canal du capital bancaire. La démarche suivie consiste à combiner des approches théoriques et empiriques de façon à mettre en évidence empiriquement l'hétérogénéité de transmission au niveau européen et l'ampleur du canal du capital bancaire. Le premier chapitre consiste à faire un tour d’horizon sur les fonds propres et la structure financière des banques, tout en analysant leur impact au niveau micro et macroéconomique. D'après l’analyse de la littérature relative à ce champ, le processus de transmission semble bien influencé par la spécificité des banques et leur niveau de fonds propres réglementaires. La contrainte exercée sur ces derniers détermine l’ampleur de la transmission des chocs. Le deuxième chapitre est consacré à l'étude des déterminants de la réaction des banques face à un choc. D'après les résultats, le niveau ex ante des fonds propres mais également les différentes composantes du capital réglementaire influencent la réaction des banques. Le troisième chapitre analyse les effets de Bâle I et II sur le mécanisme de transmission des chocs à partir d’un modèle d’équilibre général. Les résultats des simulations montrent que la prise en compte simultanée d’un canal du capital bancaire et d’un mécanisme d’accélérateur financier amplifie la propagation des chocs monétaires à travers un effet prime de liquidité. Le dernier chapitre est consacré à examiner un aspect particulier de la réglementation prudentielle : la résolution des défaillances des institutions financières. L’accent est mis sur les banques d’importance systémique. L’analyse des politiques de résolution adoptées montre que ces dernières ne permettent pas de réduire le risque moral. Aussi, pour prévenir de leur défaut, des règles de fermeture sont mises en place. À cette fin, une modélisation théorique conduit à conclure que des sanctions monétaires, couplées à une surveillance accrue peuvent limiter les incitations des banques à prendre des risques excessifs. Cette présente thèse a apporté de nouveaux résultats par rapport à la littérature et elle a montré le rôle à court et long terme des différents éléments de la structure du bilan des banques résultant de l'estimation du modèle VECM. / In this thesis, we study the transmission of real and financial shocks in Europe focusing on the bank capital channel. In our approach, we consider both theoretical and empirical issues. The ai mis to empirically emphasize the heteregeneity in the transmission of shocks at a European level and the extent of the bank capital channel. In Chapter 1, we do a survey on the structure of bank capital and balance sheet to analyse their impact at micro and macro levels. Considering the existing literature on bank capital and transmission channel, the transmission process seems to be influenced by banks’ specificities and by their level of regulatory capital. Regulatory constraint on bank capital determines the magnitude of the transmission of shocks. In Chapter 2, we study the determinants of banks’ reaction to a shock. Or results show that, the ex ante level of capital and the various components of regulatory capital significantly impact banks’ behaviour. In Chapter 3, we focus on the impact of Basel I and II regulatory frameworks on the transmission of shocks from a general equilibrium model. The simulation results point out that considering simultaneously the bank capital channel and the financial accelerator mechanism increases the propagation of monetary shocks through the liquidity premium effect. In Chapter 4, we examine a singular aspect of the prudential regulation : the resolution of failing financial institutions. We focus on the systemic importance banks. Current policy statements have not reduced moral hazard behaviour of such financial institutions. Thus, to prevent the catastrophic consequences of their failure, bankruptcy laws have been adopted. Considering a theoretical model, we conclude that monetary sanctions, strengthen by stronger monitoring pressures may limit banks’ incentives to take excessive risks. This thesis provides new results to the existing literature. It emphasizes the role of the several components of bank balance sheet structure in both short and long runs, resulting from an estimated VECM.

Syftet med denna undersökning har varit att studera vad RUT-avdragets införande 2007 har inneburit för anställda inom befintliga svenska aktiebolag inom RUT-branschen. RUTavdraget är en skattesubvention som innebär att privatpersoner kan få hushållsnära tjänster utförda till ett reducerat pris. Undersökningen har gjorts genom att empiriskt studera hur genomsnittlig lönesumma per anställd och genomsnittligt antal anställda i befintliga svenska aktiebolag har förändrats inom RUT-branschen mellan åren 2006 och 2008, allt annat lika. För att studera detta användes en difference-in-difference-metod med fixa effekter och robusta standardfel. Datamaterialet som användes till undersökningen var bokföringsdata från aktiebolag som samlats in av PAR. I undersökningen ingick 2 506 företag inom RUTbranschen och totalt 74 798 observationer. Resultatet visar att i genomsnitt har det inom de befintliga aktiebolagen inom branschen skapats 1,4 nya jobb per företag och årslönerna för de anställda i dessa företag har i genomsnitt ökat med 10 931 kronor per anställd. Totalt innebär det att 3 065 nya jobb har skapats i dessa befintliga aktiebolag, vilket kan sättas i relation till tidigare undersökningar som visat att den totala ökningen av antal anställda i genomsnitt varit ca 5 700 personer. Tidigare har inte löneeffekter till följd av RUT-avdraget studerats, vilket innebär att detta arbete bidrar med ny forskning inom ett område som inte studerats tidigare. / The purpose of this thesis has been to study what the introduction of the RUT deduction 2007 has meant for employees in existing Swedish limited companies in the RUT industry. The RUT deduction is a tax subsidy that allows the public to buy household services at a reduced price. The study has been conducted by empirically studying how average wages per employee and average number of employees in existing Swedish limited companies have changed within the RUT industry between 2006 and 2008, ceteris paribus. For this, a Difference-in-Difference method was used with fixed effects and robust standard errors. The data used for the study was accounting data from companies, collected by PAR. The dataset consisted of 2,506 companies in the RUT industry and a total of 74,798 observations. The result shows that on average, within the existing companies in the industry, 1.4 new jobs have been created per company and the annual salary for employees in these companies has increased by an average of SEK 10,931 per employee. In total, 3,065 new jobs have been created in these existing limited companies, which can be compared with previous studies where the average number of employees on average was approximately 5,700. Previously, wage effects resulting from the RUT deduction have not been studied, which means that this work contributes to new research in a previously unexplored area.

Die vorliegende Dissertation besteht aus drei Kapiteln über die Investmentfonds. Das erste Kapitel befasst sich mit der Rolle der Fondsmanager in der Bilanzverschönerung. Auf Basis der Analyse der Karrierewege von amerikanischen Fondsmanagern werden signifikante zusammenwirkende Manager-Fixed-Effects identifiziert, die nach der Kontrolle der endogenen Matching-Probleme immer noch robust sind. Die geschätzten Manager-Fixed-Effects haben signifikante Einflüsse auf die Out-of-Sample-Vorhersagen. Außerdem wird festgestellt, dass die Verriegelungen der Investmentfonds, die von gemeinsamen Managern verwaltet wurden, wichtige Kanäle für die Bilanzverschönerung verursachen. Das zweite Kapitel beschäftigt sich mit den Investmentstrategien der Fonds im Hinblick auf die Nutzung von Credit Default Swaps (CDS). Die Zuordnung der CDS-Positionen der Investmentfonds zu ihrem Bestandportfolio bietet eine neue Methodik zur Identifizierung der CDS-Strategien und kompensiert somit die Analysen der existierenden Literatur auf der Makroebene. Die Ergebnisse zeigen, dass die Anreize zur Risikoreduzierung die Spekulationsanreize dominieren, insbesondere, wenn die Kreditexposition durch ungedeckte Leerverkäufe der CDS-Verträge erhöht wird. Die erfahrenen Fondsmanager tendieren dazu, mehr Kreditrisiko in Kauf zu nehmen, während es für die Fondsmanagerinnen wahrscheinlicher als für ihre männlichen Kollegen ist, gegen das bestehende Risiko abzusichern. Der letzte Teil nimmt die Pleite von Lehman Brothers unter die Lupe, um sich mit der daraus resultierenden unerwarteten Schließung der CDS-Positionen als einem natürlichen Experiment auseinanderzusetzten. Diese Studie dient zur Untersuchung der Risiko- und Leistungsimplikationen der CDS-Investments der Fonds. Die Investmentfonds besitzen bei ihren CDS-Transaktionen im Durchschnitt einen beachtlichen Teil Extremrisiko. Während die CDS-Nutzer von guten Gesamtmarktlagen profitieren, erleiden sie unter Verlusten bei geclusterten Ausfällen. / This dissertation comprises of three chapters on mutual funds. The first chapter establishes the role of managers in the deceptive practice of window dressing. Employing comprehensive career history of U.S. mutual fund managers, I find strong jointly significant manager fixed effects, which are robust after addressing endogenous matching concerns. The estimated manager fixed effects are significant in making out-of-sample predictions. Further I establish that mutual fund interlocks through common managers are important channels that spread window dressing. The second chapter studies the investment strategies of mutual funds regarding their use of credit default swaps (CDS). Matches between mutual funds’ CDS positions and their underlying portfolio in the holdings facilitate a new approach in identifying CDS strategies that complements the “macro” level analyses in the existing literature. I find risk reducing incentives are dominated by speculative incentives, especially those to increase credit exposure via naked short CDS contracts. Experienced fund managers tend to take on more credit risk, while female managers are more likely to hedge comparing with their male peers. The third chapter employs the collapse of Lehman Brothers and the resulting sudden closures of CDS positions as a natural experiment to examine the risk and performance implications of mutual funds’ CDS investments. Funds on average load up on a significant amount of tail risk by trading CDS. While CDS users benefit when market conditions are favorable, they suffer during periods of clustered defaults.