Forschungskolloquium Konjunkturforschungsstelle
Forschungskolloquium Konjunkturforschungsstelle
School/Professur:
"Economic Growth and Business Cycles in Liechtenstein -
Econometric Investigations Considering the Past, Present, and Future"
PhD-Thesis [University of Vienna]
Lic.rer.pol. Andreas Brunhart
[project collaborator (KOFL Liechtenstein Economic Institute)
and research fellow (Liechtenstein Institute)]
[1] Several economic data series of Liechtenstein are backwardly estimated in order to achieve consistent historic time series. The generated series consist for instance of the national income 1954-1992 (regressive inter- and retropolation with indicators) and 1993-1997 (approximative computation according to national accounting scheme), the sectoral and total employment of some missing years in the 70s, 80s and 90s and the gross domestic product 1972-1997 (approximative computation/estimation in line with generation of income account of national accounts). These series can be linked with the officially released results from the national accounts, which were introduced for the year 1998 and published until 2009 so far. Also, a benchmark model has been presented, which serves as a supporting supplement to the annual GDP-forecast for Liechtenstein's economy carried out by the KOFL Liechtenstein Economic Institute.
[2] The basis of data that are relevant for business cycle analysis in Liechtenstein is scarce, especially in sub-annual frequency. In this paper, the base of economic data is being extended by the development of a composite (coincident) business cycle indicator, the "KOFL KonSens". In this vein, a valuable complement to the ordinary business cycle definition, which concentrates on the cyclical deviation from the trend of certain separate economic aggregates, is being provided. By the detection and filtering of a common business cycle signal ("business cycle as a consensus") of multiple indicators, the KOFL KonSens as a "Konjunktur-Sensor" generates a broader foundation for business cycle analysis and therefore also a new base for prediction. All the work steps, relevant methods and first results are presented, whereby also quarterly figures for Liechtenstein's GDP are being estimated for the first time.
[3] Additionally to the financial crisis causing a world recession, Liechtenstein's financial sector has been challenged by the so-called "Zumwinkel-Affair", when a whistle-blower sold data of hundreds of tax evaders to international tax authorities. This paper investigates the impact of this affair, separated from the financial crisis, on the daily stock prices of banks from Liechtenstein. An "unconventional" augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and analyses the dynamical pattern and other influences on risk and average performance. Besides other findings, it can be concluded that the Zumwinkel-Affair had an (accumulating) effect on risk of stocks, but surprisingly no impact on average stock returns could be detected.
Econometric Investigations Considering the Past, Present, and Future"
PhD-Thesis [University of Vienna]
Lic.rer.pol. Andreas Brunhart
[project collaborator (KOFL Liechtenstein Economic Institute)
and research fellow (Liechtenstein Institute)]
[1] Several economic data series of Liechtenstein are backwardly estimated in order to achieve consistent historic time series. The generated series consist for instance of the national income 1954-1992 (regressive inter- and retropolation with indicators) and 1993-1997 (approximative computation according to national accounting scheme), the sectoral and total employment of some missing years in the 70s, 80s and 90s and the gross domestic product 1972-1997 (approximative computation/estimation in line with generation of income account of national accounts). These series can be linked with the officially released results from the national accounts, which were introduced for the year 1998 and published until 2009 so far. Also, a benchmark model has been presented, which serves as a supporting supplement to the annual GDP-forecast for Liechtenstein's economy carried out by the KOFL Liechtenstein Economic Institute.
[2] The basis of data that are relevant for business cycle analysis in Liechtenstein is scarce, especially in sub-annual frequency. In this paper, the base of economic data is being extended by the development of a composite (coincident) business cycle indicator, the "KOFL KonSens". In this vein, a valuable complement to the ordinary business cycle definition, which concentrates on the cyclical deviation from the trend of certain separate economic aggregates, is being provided. By the detection and filtering of a common business cycle signal ("business cycle as a consensus") of multiple indicators, the KOFL KonSens as a "Konjunktur-Sensor" generates a broader foundation for business cycle analysis and therefore also a new base for prediction. All the work steps, relevant methods and first results are presented, whereby also quarterly figures for Liechtenstein's GDP are being estimated for the first time.
[3] Additionally to the financial crisis causing a world recession, Liechtenstein's financial sector has been challenged by the so-called "Zumwinkel-Affair", when a whistle-blower sold data of hundreds of tax evaders to international tax authorities. This paper investigates the impact of this affair, separated from the financial crisis, on the daily stock prices of banks from Liechtenstein. An "unconventional" augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and analyses the dynamical pattern and other influences on risk and average performance. Besides other findings, it can be concluded that the Zumwinkel-Affair had an (accumulating) effect on risk of stocks, but surprisingly no impact on average stock returns could be detected.