Predicting Earnings and Cash Flows: The Information Content of Losses and Tax Loss Carryforwards
Sandra Dreher, Sebastian Eichfelder, Felix Noth
Abstract
We analyse the relevance of losses, accounting information on tax loss carryforwards, and deferred taxes for the prediction of earnings and cash flows up to four years ahead. We use a unique hand-collected panel of German listed firms encompassing detailed information on tax loss carryforwards and deferred taxes from the tax footnote. Our out-of-sample predictions show that considering accounting information on tax loss carryforwards and deferred taxes does not enhance the accuracy of performance forecasts and can even worsen performance predictions. We find that common forecasting approaches that treat positive and negative performances equally or that use a dummy variable for negative performance can lead to biased performance forecasts, and we provide a simple empirical specification to account for that issue.
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Financial Transaction Taxes: Announcement Effects, Short-run Effects, and Long-run Effects
Sebastian Eichfelder, Mona Noack, Felix Noth
Abstract
We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In addition, we consider long-run volatility measures that better fit the French FTT’s legislative design. While we find strong evidence of a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence of a long-run treatment effect. Thus, evidence of a strong reduction of trading volumes resulting from the French FTT might be driven by announcement effects and short-term treatment effects. We find evidence of an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets.
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Real Estate Transaction Taxes and Credit Supply
Michael Koetter, Philipp Marek, Antonios Mavropoulos
Deutsche Bundesbank Discussion Paper,
No. 4,
2021
Abstract
We exploit staggered real estate transaction tax (RETT) hikes across German states to identify the eff ect of house price changes on mortgage credit supply. Based on approximately 33 million real estate online listings, we construct a quarterly hedonic house price index (HPI) between 2008:q1 and 2017:q4, which we instrument with state-speci c RETT changes to isolate the e ffect on mortgage credit supply by all local German banks. First, a RETT hike by one percentage point reduces HPI by 1.2%. This e ffect is driven by listings in rural regions. Second, a 1% contraction of HPI induced by an increase in the RETT leads to a 1.4% decline in mortgage lending. This transmission of fiscal policy to mortgage credit supply is eff ective across almost the entire bank capitalization distribution.
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Advances in Using Vector Autoregressions to Estimate Structural Magnitudes
Christiane Baumeister, James D. Hamilton
Econometric Theory,
forthcoming
Abstract
This paper surveys recent advances in drawing structural conclusions from vector autoregressions (VARs), providing a unified perspective on the role of prior knowledge. We describe the traditional approach to identification as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns from both a frequentist and a Bayesian perspective about the way that results are typically reported for VARs that are set-identified using sign and other restrictions. We call attention to a common but previously unrecognized error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one only knows the effects of a single structural shock.
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Advances in Using Vector Autoregressions to Estimate Structural Magnitudes
Christiane Baumeister, James D. Hamilton
Abstract
This paper discusses drawing structural conclusions from vector autoregressions. We call attention to a common error in estimating structural elasticities and show how to correctly estimate elasticities even in the case when one knows only the effects of a single structural shock and the covariance matrix of the reduced-form residuals. We describe the traditional approach to identification as a claim to have exact prior information about the structural model and propose Bayesian inference as a way to acknowledge that prior information is imperfect or subject to error. We raise concerns about the way that results are typically reported for VARs that are set-identified using sign and other restrictions.
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Expectations, Infections, and Economic Activity
Martin S. Eichenbaum, Miguel Godinho de Matos, Francisco Lima, Sergio Rebelo, Mathias Trabandt
NBER Working Paper,
April
2022
Abstract
The Covid epidemic had a large impact on economic activity. In contrast, the dramatic decline in mortality from infectious diseases over the past 120 years had a small economic impact. We argue that people's response to successive Covid waves helps reconcile these two findings. Our analysis uses a unique administrative data set with anonymized monthly expenditures at the individual level that covers the first three Covid waves. Consumer expenditures fell by about the same amount in the first and third waves, even though the risk of getting infected was larger in the third wave. We find that people had pessimistic prior beliefs about the case-fatality rates that converged over time to the true case-fatality rates. Using a model where Covid is endemic, we show that the impact of Covid is small when people know the true case-fatality rate but large when people have empirically-plausible pessimistic prior beliefs about the case-fatality rate. These results reconcile the large economic impact of Covid with the small effect of the secular decline in mortality from infectious diseases estimated in the literature.
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Durch eine Ausbildung erworbene Kompetenzen zahlen sich auf dem Arbeitsmarkt aus
Christina Langer, Jakob Peiffer, Simon Wiederhold
ifo Schnelldienst,
No. 7,
2023
Abstract
Ein Großteil der Jugendlichen in Deutschland beginnt nach der Schule eine duale Berufsausbildung. Die Inhalte dieser Berufsausbildungen und die dort vermittelten Kompetenzen sind bundesweit einheitlich in Ausbildungsplänen geregelt. Wir erfassen insgesamt mehr als 13 000 verschiedene Kompetenzen aus diesen Ausbildungsplänen, sowie deren genaue Lerndauer. Vor allem kognitive, soziale und digitale Kompetenzen, die während der Ausbildung erworben wurden, zahlen sich auf dem Arbeitsmarkt aus. Dabei steigen die Einkommenserträge höherer Kompetenzen über die Karriere hinweg an. Das zeigt unsere Analyse der Ausbildungsplandaten kombiniert mit administrativen Lohndaten des Instituts für Arbeitsmarkt- und Berufsforschung (IAB) über einen Zeitraum von insgesamt 30 Jahren. Außerdem dokumentieren wir steigende Erträge von digitalen und sozialen Kompetenzen seit den 1990er Jahren, während die Erträge von kognitiven Kompetenzen nur geringfügig zugenommen haben.
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05.04.2023 • 9/2023
East German economy has come through energy crisis well so far – Implications of the Joint Economic Forecast Spring 2023 and new data for the East German economy
In 2022, the East German economy expanded by 3.0%, significantly stronger than the economy in West Germany (1.5%). The background is a more robust development of labour and retirement incomes. For 2023, the Halle Institute for Economic Research (IWH) forecasts a higher GDP growth rate of 1% in East Germany than in Germany as a whole (0.3%). The unemployment rate is expected to stagnate, with 6.8% in 2023 and 6.7% in the following year.
Oliver Holtemöller
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