This article considers three standard asset pricing models with adaptive agents and stochastic dividends. The models only differ in the parameters to be estimated. We assume that only limited information is used to construct estimators. Therefore, parameters are not estimated consistently. More precisely, we assume that the parameters are estimated by exponential smoothing, where past parameters are down-weighted and the weight of recent observations does not decrease with time. This situation is familiar for applications in finance. Even if time series of volatile stocks or bonds are available for a long time, only recent data is used in the analysis. In this situation the prices do not converge and remain a random variable. This raises the question how to describe equilibrium behavior with stochastic prices. However, prices can reveal properties such as ergodicity, such that the law of the price process converges to a stationary law, which provides a natural and useful extension of the idea of equilibrium behavior of an economic system for a stochastic setup. It is this implied law of the price process that we investigate in this paper. We provide conditions for the ergodicity and analyze the stationary distribution. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Okun's Law postulates an inverse relationship between movements of the unemployment rate and the real gross domestic product (GDP). Empirical estimates for US data indicate that a two to three percent GDP growth rate above the natural or average GDP growth rate causes unemployment to decrease by one percentage point and vice versa. In this investigation we check whether this postulated relationship exhibits structural breaks by means of Markov-Chain Monte Carlo methods. We estimate a regression model, where the parameters are allowed to switch between different states and the switching process is Markov. As a by-product we derive an estimate of the current state within the periods considered. Using quarterly Austrian data on unemployment and real GDP from 1977 to 1995 we infer only one state, i.e. there are no structural breaks. The estimated parameters demand for an excess GDP growth rate of 4.16% to decrease unemployment by one percentage point. Since only one state is inferred, we conclude that the Austrian economy exhibits a stable relationship between unemployment and GDP growth. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

This article considers three standard asset pricing models with adaptive agents and stochastic non-stationary dividends. We assume that the parameters are estimated by exponential smoothing, such that prices and returns remain random variables. This paper provides sufficient conditions for the ergodicity of the return process and checks whether the perceived law assumed by the bounded rational agents can be considered to be sound with the returns observed. (author's abstract) / Series: Report Series SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Adaptive agent models are supposed to result in the same limit behavior as models with perfectly rational agents. In this article we show that this claim cannot by accepted in general, even in a simple capital market model, where the agents apply sample autocorrelation learning to perform their forecasts. By applying this learning algorithm, the agents use sample means, the sample autocorrelation coefficient, and the sample variances of prices to predict the future prices, and to determine the demand for the risky asset. Therefore, even if the agents are not perfectly rational, we require that the agents' forecasts are consistent with the underlying information. In this article a sufficient condition for convergence is derived analytically, and checked by means of simulations. The price sequence as well as the sequence of parameters - estimated by means of sample autocorrelation learning - converge, if the initial value of the price sequence is sufficiently close to the steady-state equilibrium, and a random variable derived from the dividend process is not too volatile to skip the price trajectory out of the attracting region. Therefore, the market price can even diverge, and the region of convergence could become very small depending on the underlying parameters. Thus, divergence of the price sequences is not a pathological example, since it possibly occurs over a wide range of parameters. Therefore, the often claimed coincidence of adaptive agents models and ration agent models cannot be observed even in a simple capital market model. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Pollution is one of humanity's most pressing problems. Although there are many types of pollution, air pollution is one of the main causes of global warming. Therefore, simultaneously improving environmental quality and economic growth, and studying the variables that affect this relationship, has been one of the key issues for researchers and policymakers in recent years, especially in the wake of the United Nations 2030 Agenda for Sustainable Development.This paper aims to estimate the relationship between carbon emissions, GDP per capita, renewable energy and non-renewable energy sources as well environmental taxes in G10 industrialized countries over the period 1972-2020. Regression analysis and panel data were used to answer the questions. Previous studies of the Ecological Kuznets Curve (EKC) for CO2 emissions, with most samples based on G10 member countries, have had mixed results. The environmental Kuznets curve shows that economic development initially leads to environmental degradation, but once economic growth reaches a certain level, the relationship between society and the environment begins to improve and the degree of environmental degradation decreases. From a very simple perspective, this might suggest that economic growth is good for the environment. Critics, however, argue that economic growth is not guaranteed to lead to environmental improvements, which can often backfire. At the very least, it requires very targeted policies and attitudes to ensure that economic growth goes hand in hand with environmental improvement. / <p> Tre helt olika miljö-/BNP-kurvor</p><p>Studien undersöker etablerade teorier för att beskriva sambandet mellan miljöskador och ekonomisk aktivitet, inklusive Environmental Kuznets Curve (EKC), Brundtland Curve Hypothesis (BCH) och Environmental Daly Curve (EDC).</p>

We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach to foreign exchange markets under transaction costs. The financial market is modelled by a d x d matrix-valued stochastic process Sigma_t_t=0^T specifying the mutual bid and ask prices between d assets. We introduce the notion of ``robust no arbitrage", which is a version of the no arbitrage concept, robust with respect to small changes of the bid ask spreads of Sigma_t_t=0^T. Dually, we interpret a concept used by Kabanov and his co-authors as "strictly consistent price systems". We show that this concept extends the notion of equivalent martingale measures, playing a well-known role in the frictionless case, to the present setting of bid-ask processes Sigma_t_t=0^T. The main theorem states that the bid-ask process Sigma_t_t=0^T satisfies the robust no arbitrage condition if it admits a strictly consistent pricing system. This result extends the theorems of Harrison-Pliska and Dalang-Morton-Willinger to the present setting, and also generalizes previous results obtained by Kabanov, Rasonyi and Stricker. An example of a 5-times-5-dimensional process Sigma_t_t=0^2 shows that, in this theorem, the robust no arbitrage condition cannot be replaced by the so-called strict no arbitrage condition, thus answering negatively a question raised by Kabanov, Rasonyi and Stricker. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

Applying a growth accounting framework and a wide range of static and dynamic panel data estimators on a panel covering 22 market economies and 11 transition countries over 1990-2001, we find a weak and fragile finance-growth link in market economies, but strong financial sectorinduced short-run growth effects in transition countries. The main growth effect hereby runs via the productivity channel. Parametric heterogeneity and financial structure seem to play a more important role than hitherto assumed: The financial sector and its different segments trigger different growth effects in different countries. (author's abstract) / Series: EI Working Papers / Europainstitut

This paper examines the impact of financial sector foreign direct investment (FSFDI) on economic growth by estimating a panel data model for 11 Central and Eastern European countries (CEECs) between 1996 and 2003 in a cross-country growth accounting framework. The analysis concentrates on the efficiency channel linking FSFDI to economic growth. The results clearly indicate that there can be a relationship between FSFDI and economic growth. Approaching a medium degree of financial M&A is rewarded by higher economic growth after two periods. Beyond it, FSFDI seems to spur economic growth depending on a higher human capital stock. FSFDI-induced knowledge-spillovers to domestic banks can be an explanation for this phenomenon. Above a certain threshold, the crowding-out of local physical capital caused by the entry of a foreign bank seems to hamper economic growth. The value of the paper lies in (1) providing novel data on FSFDI in CEECs, (2) analyzing the impact of FDI on a sectoral level and (3) in modeling the hitherto only qualitatively discussed relationship between foreign banks and economic development into a structural, econometric model that combines two streams of economic research: the FDI-growth-literature and the finance-growth-literature. (author's abstract) / Series: EI Working Papers / Europainstitut

Can momentum trading strategies beat Dutch or German stock market indices? If so, dothose strategies show significant positive net returns? For the period from March 2009 to March 2016this appears to be the case for only one out of the nine momentum trading strategies investigated withrespect to the Dutch stock market and for none of those same momentum trading strategiesinvestigated with respect to the German stock market. Furthermore, this research finds that the netmomentum returns seem to be winner- instead of loser-portfolio driven and that the longer the holdingperiod, the higher the net momentum returns realized.

This report describes the aim, scope, underlying literature and results of the research project "The Nexus between the Financial and the Real Sector". We studied the contribution of the financial sector as a whole and its individual segments (bank credits, the issuance of bonds and shares) to real economic growth in EU Member and Candidate Countries, the United States and Japan. We supplement existing approaches with the inclusion of the bond market and of foreign direct investment in the banking sector, wherein for the first time, we provide empirical evidence for slightly positive effects thereof. Methodically, we extend previous research by the production-function approach and document the importance of the market microstructure. We recommend to include liberalisation and integration effects, the bond and insurance sector, and effects of foreign bank entry and investment into future research on the Finance-Growth-Nexus. (author's abstract) / Series: EI Working Papers / Europainstitut