By computing a volatility index (CVX) from cryptocurrency option prices, we analyze this market’s expectation of future volatility. Our method addresses the challenging liquidity environment of this young asset class and allows us to extract stable market implied volatilities. Two alternative methods are considered to compute volatilities from granular intra-day cryptocurrency options data, which spans over the COVID-19 pandemic period. CVX data therefore capture ‘normal’ market dynamics as well as distress and recovery periods. The methods yield two cointegrated index series, where the corresponding error correction model can be used as an indicator for market implied tail-risk. Comparing our CVX to existing volatility benchmarks for traditional asset classes, such as VIX (equity) or GVX (gold), confirms that cryptocurrency volatility dynamics are often disconnected from traditional markets, yet, share common shocks.

My dissertation consists of three studies, all viewing aggregate productivity as driven by the individual decisions of firms and the inventors that work for them. I use microeconometric analysis to study why firms innovate and economic theory to link these decisions to macroeconomic outcomes. The first paper in this dissertation studies how German manufacturing firms adjust their productivity in response to an increase in competition from foreign markets. German firms only increase their productivity if their new competitors come from other industrialized economies. This productivity increase is not driven by innovation. Instead, firms cut input expenses and prices while maintaining their output. The second paper traces the matching decisions of firms and inventors on the labor markets of developed economies. It adapts empirical techniques used in labor economics to this special segment of the labor market and shows that assortative matching has been increasing from 1974 to 2012: High quality inventors go to high quality firms more often than was the case in previous decades. This cannot be explained by changes in the patent invention function: The productivity of a match between a firm and an inventor of constant quality remains roughly unchanged. The third paper develops an endogenous growth model with inventor labor markets and two types of innovation: disruptive inventions that change the underlying technology of firms’ products and incremental improvements over existing products. Firms acquire expertise in certain technologies by hiring the inventors who are experts in these fields. This gives them a strong incentive to prevent disruptive inventions: If the underlying technology changes, their investment in these inventors becomes worthless. Large firms inhibit aggregate growth by poaching inventors from firms engaged in disruptive innovation.

This paper investigates how foreign ownership shapes bank information environments. Using a sample of listed banks from 60 countries over 1997–2012, we show that foreign ownership is significantly associated with greater (lower) informativeness (synchronicity) in bank stock prices. We also find that stock returns of foreign-owned banks reflect more information about future earnings. In addition, the positive association between price informativeness and foreign ownership is stronger for foreign-owned banks in countries with stronger governance, stronger banking supervision, and lower monitoring costs. Overall, our evidence suggests that foreign ownership reduces bank opacity by exporting governance, yielding important implications for regulators and governments.

In this paper we analyse how the terms of trade (TOT) – the ratio of export prices to import prices – affect total factor productivity (TFP). We provide empirical macroeconomic evidence for the European Union countries based on the times series SVAR analysis and microeconomic evidence based on industry level data from the Competitiveness Research Network (CompNet) database which shows that the terms of trade improvements are associated with a slowdown in the total factor productivity growth. Next, we build a theoretical model which combines open economy framework with the endogenous growth theory. In the model the terms of trade improvements increase demand for labour employed in exportable goods production at the expense of technology production (research and development – R&D) which leads to a shift of resources from knowledge development towards physical exportable goods. This reallocation has a negative impact on the TFP growth. Under a plausible calibration the model is able to replicate the observed empirical pattern.