TY - JOUR
AB - We propose an indicator for detecting anomalous stock market valuation in real time such that market participants receive timely signals so as to be able to take stabilizing action. Unlike existing approaches, our anomaly indicator introduces three methodological novelties. First, we use an endogenous, purely data-driven, nonparametric trend identification method to separate long-term market movements from more short-term ones. Second, we apply SETAR models that allow for asymmetric expansions and contractions around the long-term trend and find systematic stock price cycles. Third, we implement these findings in our indicator and conduct real-time market forecasts, which have so far been neglected in the literature. Applications of our indicator using monthly S&P 500 stock data from 1970 to the end of 2022 show that short-term anomalous market movements can be identified in real time up to one year ahead. We predict all major anomalies, including the 1987 Bubble and the initial phase of the Financial Crisis that began in 2007. In total, our anomaly indicator identifies more than 80% of all – even minor – anomalous episodes. Thus, smoothing market exaggerations through early signaling seems possible.
AU - Fritz, Marlon
AU - Gries, Thomas
AU - Wiechers, Lukas
ID - 50719
JF - Quantitative Finance
KW - General Economics
KW - Econometrics and Finance
KW - Finance
SN - 1469-7688
TI - An early indicator for anomalous stock market performance
ER -
TY - JOUR
AB - I study the effect of heterogeneous beliefs about asset prices on the long-term behavior of financial markets. Starting from the ideas of Abreu and Brunnermeier (Citation2003), a two-dimensional system of differential equations is developed. The first dynamic variable is the asset price growth rate. The second dynamic variable is the number of investors who believe that asset prices are abnormally high. In a phase plane analysis, I find both stable and unstable equilibria, depending on the spread of information and the response to other agents’ beliefs. If individuals try to increase their returns while perceiving more overpricing, these equilibria can be spirals or even approach limit cycles. Although I intend to study general price patterns, abnormally high asset prices can be caused by financial bubbles. In this model, bubbles can emerge and deflate both in cycles or directly, or they can grow until they burst. Further, I analyze market behavior after a central bank increases the interest rate. This can lead to new stable equilibria, but the emergence and bursting of bubbles cannot be prevented.
AU - Burs, Carina
ID - 49309
IS - 2
JF - Cogent Economics & Finance
KW - asset pricing
KW - subjective information
KW - stability conditions
KW - monetary policy
KW - risk aversion
SN - 2332-2039
TI - A model of cycles and bubbles under heterogeneous beliefs in financial markets
VL - 11
ER -
TY - JOUR
AB - Individuals strive to make decisions that are consistent with not only their consumer preferences but also their psychological needs. However, they are confronted with complex, ambiguous or even false information. Ideologies and belief systems provide guidance when processing and evaluating information and give a coherent and comprehensible interpretation of reality. The first question is: why is an individual attracted to a particular ideology? Individuals choose ideologies that resonate with their subjective psychological needs and preferences. Second, how do individuals search for ideologies and find out which suit them best? We model an individual’s sequential information search for the best matching ideologies by applying Bayesian learning and utility optimization. Additional information enhances utility by reducing uncertainty. As a search is costly, the process may stop once an individual adopts an ideology even if the information set remains incomplete. Third, once they have chosen a particular ideology, individuals adhere to its rules and norms when making everyday decisions. Consumers not only physically consume, but they also act in accordance with their psychological needs.
AU - Burs, Carina
AU - Gries, Thomas
AU - Müller, Veronika
ID - 48086
IS - 1
JF - Journal of Organizational Psychology
KW - Economics
KW - Ideology
KW - Decision-making
SN - 2158-3609
TI - The Choice of Ideology and Everyday Decisions
VL - 23
ER -
TY - JOUR
AB - AbstractThe ability of various policy activities to reduce the reproduction rate of the COVID-19 disease is widely discussed. Using a stringency index that comprises a variety of lockdown levels, such as school and workplace closures, we analyze the effectiveness of government restrictions. At the same time, we investigate the capacity of a range of lockdown measures to lower the reproduction rate by considering vaccination rates and testing strategies. By including all three components in an SIR (Susceptible, Infected, Recovery) model, we show that a general and comprehensive test strategy is instrumental in reducing the spread of COVID-19. The empirical study demonstrates that testing and isolation represent a highly effective and preferable approach towards overcoming the pandemic, in particular until vaccination rates have risen to the point of herd immunity.
AU - Fritz, Marlon
AU - Gries, Thomas
AU - Redlin, Margarete
ID - 44591
JF - International Journal of Health Economics and Management
KW - Health Policy
KW - Economics
KW - Econometrics and Finance (miscellaneous)
SN - 2199-9023
TI - The effectiveness of vaccination, testing, and lockdown strategies against COVID-19
ER -
TY - JOUR
AB - AbstractNon-pharmaceutical interventions are an effective strategy to prevent and control COVID-19 transmission in the community. However, the timing and stringency to which these measures have been implemented varied between countries and regions. The differences in stringency can only to a limited extent be explained by the number of infections and the prevailing vaccination strategies. Our study aims to shed more light on the lockdown strategies and to identify the determinants underlying the differences between countries on regional, economic, institutional, and political level. Based on daily panel data for 173 countries and the period from January 2020 to October 2021 we find significant regional differences in lockdown strategies. Further, more prosperous countries implemented milder restrictions but responded more quickly, while poorer countries introduced more stringent measures but had a longer response time. Finally, democratic regimes and stronger manifested institutions alleviated and slowed down the introduction of lockdown measures.
AU - Redlin, Margarete
ID - 33221
JF - Journal of Regulatory Economics
KW - Economics and Econometrics
SN - 0922-680X
TI - Differences in NPI strategies against COVID-19
ER -
TY - JOUR
AB - AbstractWe provide a partial equilibrium model wherein AI provides abilities combined with human skills to provide an aggregate intermediate service good. We use the model to find that the extent of automation through AI will be greater if (a) the economy is relatively abundant in sophisticated programs and machine abilities compared to human skills; (b) the economy hosts a relatively large number of AI-providing firms and experts; and (c) the task-specific productivity of AI services is relatively high compared to the task-specific productivity of general labor and labor skills. We also illustrate that the contribution of AI to aggregate productive labor service depends not only on the amount of AI services available but on the endogenous number of automated tasks, the relative productivity of standard and IT-related labor, and the substitutability of tasks. These determinants also affect the income distribution between the two kinds of labor. We derive several empirical implications and identify possible future extensions.
AU - Gries, Thomas
AU - Naudé, Wim
ID - 33220
IS - 1
JF - Journal for Labour Market Research
KW - General Medicine
SN - 2510-5019
TI - Modelling artificial intelligence in economics
VL - 56
ER -
TY - JOUR
AU - Gries, Thomas
AU - Müller, Veronika
AU - Jost, John T.
ID - 33219
IS - 2
JF - Psychological Inquiry
KW - General Psychology
SN - 1047-840X
TI - The Market for Belief Systems: A Formal Model of Ideological Choice
VL - 33
ER -
TY - GEN
AB - Information is one of the most important ingredients for decision-making. While the neoclassical assumption of perfect information is surely an important conceptual benchmark for discussing efficient allocations, it is obviously far from describing a rational choice under real conditions. In reality, optimal choices should be considered choices under imperfect information. Thus, decision-makers' information problem can be solved by two strategies. Either they collect an optimal set of information to make an optimal allocation choice under this imperfect information set or they can apply heuristic reasoning. In this paper, we suggest a formal model framework for the example of a simple consumer decision for the allocation of differentiated goods to explore information acquisition strategies in such a simple standard choice situation. Using the model variation under perfect information as a benchmark, we answer the following questions. First and most importantly, under imperfect information, can a heuristic rule substitute information acquisition as an optimal choice? Second, what is the role of risk aversion in the information acquisition process? Finally, we explore the differences to the benchmark, both ex ante the first purchase decision and ex post when repeated purchases and consumption allows for experiences with the choices made.
AU - Burs, Carina
AU - Gries, Thomas
ID - 49308
KW - information economics
KW - imperfect information
KW - Bayesian learning
KW - risk
KW - heuristics
KW - differentiated products
TI - Decision-making under Imperfect Information with Bayesian Learning or Heuristic Rules
VL - No. 149
ER -
TY - JOUR
AU - Feng, Yuanhua
AU - Gries, Thomas
AU - Letmathe, Sebastian
AU - Schulz, Dominik
ID - 33666
IS - 1
JF - The R Journal
KW - Statistics
KW - Probability and Uncertainty
KW - Numerical Analysis
KW - Statistics and Probability
SN - 2073-4859
TI - The smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series
VL - 14
ER -
TY - JOUR
AB - AbstractUsing data from the German Socio-Economic Panel for 1984–2018, we analyze the intergenerational education mobility of immigrants in Germany by identifying the determinants of differences in educational stocks for first- and second-generation immigrants in comparison to individuals without a migration background. Our results show that on average, first-generation immigrants have fewer years of schooling than native-born Germans and have a disproportionate share of lower educational qualifications. This gap is strongly driven by age at immigration, with immigration age and education revealing a nonlinear relationship. While the gap is relatively small among individuals who migrate at a young age, integrating in the school system at secondary school age leads to large disadvantages. Examining the educational mobility of immigrants in Germany, we identify an inter-generational catch-up in education. The gap in education between immigrants and natives is reduced for the second generation. Finally, we find that country of origin differences can account for much of the education gap. While immigrants with an ethnic background closer to the German language and culture show the best education outcomes, immigrants from Turkey, Italy, and other southern European countries and especially the group of war refugees from Syria, Afghanistan, Iraq and other MENA countries, have the lowest educational attainment.
AU - Gries, Thomas
AU - Redlin, Margarete
AU - Zehra, Moonum
ID - 22715
JF - Journal of International Migration and Integration
SN - 1488-3473
TI - Educational Assimilation of First-Generation and Second-Generation Immigrants in Germany
ER -
TY - JOUR
AB - AbstractUsing time series data for the period 1959–2015, our empirical analysis examines the simultaneous effects of the individual components of the global carbon budget on temperature. Specifically, we explore the possible effects of carbon emissions caused by fossil fuel combustion, cement production, land-use change emissions, and carbon sinks (here in terms of land sink and ocean sink) on climate change. The simultaneous inclusion of carbon emissions and carbon sinks allows us to look at the coexistent and opposing effects of the individual components of the carbon budget and thus provides a holistic perspective from which to explore the relationship between the global carbon budget and global warming. The results reveal a significant positive effect of carbon emissions on temperature for both fossil fuels emissions and emissions from land-use change, confirming previous results concerning carbon dioxide and temperature. Further, while ocean sink does not seem to have a significant effect, we identify a temperature-decreasing effect for land sink.
AU - Redlin, Margarete
AU - Gries, Thomas
ID - 23594
JF - Theoretical and Applied Climatology
SN - 0177-798X
TI - Anthropogenic climate change: the impact of the global carbon budget
ER -
TY - JOUR
AU - Feng, Yuanhua
AU - Gries, Thomas
AU - Fritz, Marlon
ID - 17072
JF - Journal of Nonparametric Statistics
SN - 1048-5252
TI - Data-driven local polynomial for the trend and its derivatives in economic time series
ER -
TY - JOUR
AU - Gries, Thomas
AU - Grundmann, Rainer
ID - 17074
JF - Review of Development Economics
SN - 1363-6669
TI - Modern sector development: The role of exports and institutions in developing countries
ER -
TY - JOUR
AU - Gries, Thomas
AU - Redlin, Margarete
ID - 17086
JF - International Economics and Economic Policy
SN - 1612-4804
TI - Trade and economic development: global causality and development- and openness-related heterogeneity
VL - 17
ER -
TY - JOUR
AU - Gries, Thomas
AU - Jungblut, Stefan
AU - Krieger, Tim
AU - Meyer, Henning
ID - 2808
IS - 2
JF - German Economic Review
TI - Economic Retirement Age and Lifelong Learning - a theoretical model with heterogeneous labor and biased technical change
VL - 20
ER -
TY - JOUR
AU - Fritz, Marlon
AU - Gries, Thomas
AU - Feng, Yuanhua
ID - 9920
JF - Economics Letters
SN - 0165-1765
TI - Secular stagnation? Is there statistical evidence of an unprecedented, systematic decline in growth?
VL - 181
ER -
TY - JOUR
AU - Gries, Thomas
AU - Fritz, Marlon
AU - Yuanhua, Feng
ID - 6734
IS - 1
JF - Oxford Bulletin of Economics and Statistics
TI - Growth Trends and Systematic Patterns of Boom and Busts –Testing 200 Years of Business Cycle Dynamics
VL - 81
ER -
TY - JOUR
AU - Gries, Thomas
ID - 10090
JF - The American Economist
SN - 0569-4345
TI - A New Theory of Demand-Restricted Growth: The Basic Idea
ER -
TY - JOUR
AU - Gries, Thomas
AU - Redlin, Margarete
ID - 2727
IS - 3
JF - Defence and Peace Economics
SN - 1024-2694
TI - Pirates – The Young and the Jobless: The Effect of Youth Bulges and Youth Labor Market Integration on Maritime Piracy
VL - 30
ER -
TY - JOUR
AU - Gries, Thomas
AU - Grundmann, Rainer
ID - 2814
IS - 3
JF - Journal of International Development
TI - Fertility and Modernization: The Role of Urbanization in Developing Countries
VL - 30
ER -
TY - JOUR
AU - Gries, Thomas
AU - Meierrieks, Daniel
ID - 8481
JF - Defence and Peace Economics
TI - "Pay for It Heavily": Does U.S. Support for Israel Lead to Anti-American Terrorism?
ER -
TY - JOUR
AU - Gries, Thomas
AU - Redlin, Margarete
AU - Ugarte, Juliette Espinosa
ID - 2728
JF - Theoretical and Applied Climatology
SN - 0177-798X
TI - Human-induced climate change: the impact of land-use change
ER -
TY - JOUR
AU - Gries, Thomas
AU - Fritz, Marlon
AU - Feng, Yuanhua
ID - 3070
IS - 2
JF - Review of Economics
TI - Slow Booms and Deep Busts: 160 Years of Business Cycles in Spain
VL - 68
ER -
TY - JOUR
AU - Gries, T.
AU - Grundmann, R.
AU - Palnau, Irene
AU - Redlin, Margarete
ID - 1372
IS - 2
JF - International Economics and Economic Policy
SN - 1612-4804
TI - Innovations, growth and participation in advanced economies - a review of major concepts and findings
VL - 14
ER -
TY - JOUR
AU - Gries, Thomas
AU - Grundmann, R.
AU - Palnau, Irene
AU - Redlin, Margarete
ID - 1371
IS - 1
JF - International Economics and Economic Policy
SN - 1612-4804
TI - Technology diffusion, international integration and participation in developing economies - a review of major concepts and findings
VL - 15
ER -
TY - JOUR
AU - Gries, Thomas
AU - Kraft, Manfred
AU - Simon, Manuel
ID - 2810
IS - 95
JF - Papers in Regional Science
TI - Explaining inter-provincial migration in China
VL - 4
ER -
TY - JOUR
AU - Gries, Thomas
AU - Haake, Claus-Jochen
ID - 2811
IS - 4
JF - Peace Economics and Peace Science
TI - Towards an Economic Theory of Destabilization War
VL - 22
ER -
TY - JOUR
AU - Gries, Thomas
AU - Jungblut, Stefan
AU - Naudé, Wim
ID - 2813
IS - 2
JF - International Journal of Economic Theory
TI - The Entrepreneurship Beveridge Curve
VL - 12
ER -
TY - JOUR
AU - Gries, Thomas
AU - Naudé, Wim
AU - Bilkic, Natascha
ID - 2815
JF - The Quarterly Review of Economics and Finance
TI - Playing the Lottery or Dressing Up? A Model of Firm-Level Heterogeneity and the Decision to Export
VL - 58
ER -
TY - JOUR
AU - Gries, Thomas
AU - Feng, Yuanhua
AU - Guo, Zhichao
ID - 2816
IS - 2
JF - China Agricultural Economic Review
TI - Changes of China’s agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis
VL - 7
ER -
TY - JOUR
AU - Gries, Thomas
AU - Palnau, Irene
ID - 3295
IS - 4
JF - Peace Economics, Peace Science and Public Policy
TI - Sustaining Civil Peace: a configurational comparative analysis
VL - 21
ER -
TY - JOUR
AU - Gries, Thomas
AU - Meierrieks, Daniel
AU - Redlin, Margarete
ID - 3296
IS - 1
JF - Oxford Economic Papers
TI - Oppressive Governments, Dependence on the United States and Anti-American Terrorism
VL - 67
ER -
TY - GEN
AU - Gries, Thomas
AU - Grundmann, Rainer
AU - Palnau, Irene
AU - Redlin, Margarete
ID - 2730
TI - Does technological change drive inclusive industrialization? - A review of major concepts and findings
VL - 2015-044
ER -
TY - GEN
AU - Gries, Thomas
AU - Grundmann, Rainer
AU - Palnau, Irene
AU - Redlin, Margarete
ID - 1374
TI - Does technological change drive inclusive industrialization? A review of major concepts and findings
ER -
TY - JOUR
AU - Gries, Thomas
AU - Grundmann, Rainer
ID - 2819
IS - 4
JF - Journal of Population Economics
TI - Trade and fertility in the developing world: the impact of trade and trade structure
VL - 27
ER -
TY - JOUR
AU - Gries, Thomas
AU - Dung, Ha Van
ID - 2842
JF - Modern Economy
TI - Household Savings and Productive Capital Formation in Rural Vietnam: Insurance vs. Social Network
VL - 5
ER -
TY - CHAP
AU - Gries, Thomas
ED - Jinjun, Xue
ID - 3289
SN - 978-9814383097
T2 - Low Carbon Economics
TI - Low Carbon Economics - Theory and application
VL - Chapter 22
ER -
TY - GEN
AU - Gries, Thomas
AU - Meierriecks, Daniel
AU - Redlin, Margarete
ID - 2731
TI - Providing aid to repressive terrorist source countries does not make the U.S. any safer
ER -
TY - GEN
AU - Gries, Thomas
AU - Redlin, Margarete
ID - 2732
TI - Maritime Piracy: Socio-Economic, Political, and Institutional Determinants
VL - 2014-75
ER -
TY - GEN
AU - Dimant, Eugen
AU - Krieger, Tim
AU - Redlin, Margarete
ID - 2738
TI - A Crook is a Crook ... But is He Still a Crook Abroad? On the Effect of Immigration on Destination-Country Corruption
VL - 5032
ER -
TY - JOUR
AU - Dimant, Eugen
AU - Krieger, Tim
AU - Redlin, Margarete
ID - 2729
IS - 4
JF - German Economic Review
SN - 1465-6485
TI - A Crook is a Crook … But is He Still a Crook Abroad? On the Effect of Immigration on Destination-Country Corruption
VL - 16
ER -
TY - JOUR
AU - Gries, Thomas
AU - Meierrieks, Daniel
AU - Redlin, Margarete
ID - 33087
IS - 1
JF - Oxford Economic Papers
KW - Economics and Econometrics
SN - 0030-7653
TI - Oppressive governments, dependence on the USA, and anti-American terrorism
VL - 67
ER -
TY - JOUR
AU - Gries, Thomas
AU - Bilkic, Natascha
AU - Carerras Painter, Ben
ID - 2843
IS - 1
JF - International Economics and Economic Policy
TI - Unsustainable Sovereign Debt - Is the Euro Crisis only the Tip of the Iceberg?
VL - 10
ER -
TY - JOUR
AU - Gries, Thomas
ID - 2844
JF - Oxford University Press
TI - Global Asymmetries and their Implications for Climate and Industrial Policies, in: Pathways to Industrialization in the Twenty-First Century - New Challenges and Emerging Paradigms
VL - ch. 11
ER -
TY - JOUR
AU - Gries, Thomas
AU - Meierrieks, Daniel
ID - 2845
IS - 3
JF - Economics Letters
TI - Do banking crises cause terrorism?
VL - 119
ER -
TY - JOUR
AU - Gries, Thomas
AU - Meierrieks, DAniel
ID - 2846
IS - 1
JF - Journal of Peace Research
TI - Causality Between Terrorism and Economic Growth
VL - 50
ER -
TY - GEN
AU - Dimant, Eugen
AU - Krieger, Tim
AU - Redlin, Margarete
ID - 2733
TI - A Crook is a Crook … But is He Still a Crook Abroad? - On the Effect of Immigration on Destination-Country Corruption
VL - 2013-14
ER -
TY - GEN
AU - Dimant, Eugen
AU - Krieger, Tim
AU - Redlin, Margarete
ID - 2739
TI - A crook is a crook ... but is he still a crook abroad? On the effect of immigration on destination-country corruption
VL - 2013-03
ER -
TY - JOUR
AU - Gries, Thomas
AU - Bilkic, Natascha
AU - Pilichowski, Margarethe
ID - 2949
IS - 5
JF - Labour Economics
TI - Stay in school or start working?- The human capital investment decision under uncertainty and irreversibility
VL - 19
ER -
TY - CHAP
AU - Gries, Thomas
AU - Xue, Jinjun
ED - Wang, Liming
ID - 2950
SN - 9781138816732
T2 - Rising China in the Changing World Economy
TI - Poverty in Shenzhen
ER -