We assess how well measures of disagreement in qualitative survey expectations reflect disagreement in corresponding quantitative expectations. We consider a variety of measures, belonging to two categories: measures of dispersion in nominal and ordinal variables and measures based on the probability approach of Carlson and Parkin (Economica, 1975; 42, 123–138). Using data from two household surveys that collect both qualitative and quantitative inflation expectations, we find that the probability approaches with time‐varying categorization thresholds and either a piecewise uniform or t distribution perform best and the resulting disagreement estimates are highly correlated with the benchmark. Copyright © 2015 John Wiley & Sons, Ltd.

We study how the exposure of fundamental and financial traders affects the futures curve of WTI oil and the market integration between WTI and Brent as measured by their price spread. To obtain a parsimonious representation of the futures curve, we decompose it into a level-, a slope-and a curvature factor. In a second step, we separately regress each extracted factor on measures of the market exposure of fundamental and financial traders revealing whether and how the exposure of the two trader groups affects the different dimensions of the futures curve. Spanning from 2006 until 2012, our dataset covers sub-periods of a sharp WTI-price rise as well as a diverging Brent-WTI-spread. Our contribution is threefold: First, we suggest that it is important to distinguish between level and slope as we find that fundamental traders have a measurable impact on the level of the futures curve, but do not play much of a role for its slope or curvature, whereas the exposure of financial traders mainly influences the slope of the futures curve. Despite allegations to the contrary, we find no evidence of a systematic impact of non-fundamental traders on the level of the futures curve, for example during the 2006-2008 oil price surge. Second, we suggest using relative short-and relative long positions for fundamental and financial traders instead of the net position as the former reflect better the overall group exposure and yield more significant results. Third, we find that the exposure of financials is the key driver of the Brent-WTI spread. It confirms that financial rather than fundamental traders are responsible for integrating the two markets.

SUMMARYWe propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters. In particular, we augment the vector of dependent variables by their survey nowcasts, and claim that each variable modelled in the VAR and its nowcast are likely to depend in a similar way on the lagged dependent variables. In an application to macroeconomic data, we find that the forecasts obtained from a VAR fitted by our new shrinkage approach typically yield smaller mean squared forecast errors than the forecasts obtained from a range of benchmark methods.

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Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW. Non-Technical SummaryThis paper examines the effect of an investigation report by the competition authority on the pass-through of EU emission allowance (EUA) prices to German electricity wholesale prices. Since January 2005, the European Emissions Trading Scheme (EU ETS) has obligated larger greenhouse gas emitters in the EU to measure their emissions and submit a corresponding amount of allowances by the end of each year. As a result, rising electricity prices could be observed in several European countries. For the German electricity wholesale market, Zachmann and von Hirschhausen (2008) found an asymmetric response to the price for emission allowances: The increase of the electricity price in response to increasing prices on the EUA market was more pronounced than the decrease in response to decreasing EUA prices.This paper confirms the result of Zachmann and von Hirschhausen (2008) with different data and a more subtle identification strategy, but also limits the time frame for which the asymmetry can be observed. In March 2006, the German competition authority published a paper in order to prepare for a hearing on emissions trading and electricity price formation with a surprisingly critical assessment of the pass-through of EUA prices to electricity prices. The asymmetric pricing pattern, however, was not detected at the time of the report, nor had it been part of the investigations. Nevertheless, our results suggest that the asymmetric pricing pattern disappeared by the time the report was published. By means of the chosen methodology, we can exclude other major events, such as the sharp fall of EUA prices in April 2006, as driving factors for our results. Our findings therefore evidence the deterring effect of regulatory oversight on firms, exhibiting non-competitive pricing behavior on concentrated markets. For recent years, we cannot find any asymmetric pass-through of EUA prices. Several robustness checks support our results. Das Wichtigste in Kürze AbstractWe find an asymmetric pass-through of European Emission Allowance (EUA) prices to wholesale electricity prices in Germany and show that this asymmetry has disappeared in response to a report on investigations by the competition authority. The asymmetric pricing pattern, however, was not detected at the time of the report, nor had it been part of the investigations. Our results therefore provide evidence of the deterring effect of regulatory monitoring on firms which exhibit non-competitive pricin...

Die Dis cus si on Pape rs die nen einer mög lichst schnel len Ver brei tung von neue ren For schungs arbei ten des ZEW. Die Bei trä ge lie gen in allei ni ger Ver ant wor tung der Auto ren und stel len nicht not wen di ger wei se die Mei nung des ZEW dar.Dis cus si on Papers are inten ded to make results of ZEW research prompt ly avai la ble to other eco no mists in order to encou ra ge dis cus si on and sug gesti ons for revi si ons. The aut hors are sole ly respon si ble for the con tents which do not neces sa ri ly repre sent the opi ni on of the ZEW. Non-Technical SummaryThis paper examines the effect of an investigation report by the competition authority on the pass-through of EU emission allowance (EUA) prices to German electricity wholesale prices. Since January 2005, the European Emissions Trading Scheme (EU ETS) has obligated larger greenhouse gas emitters in the EU to measure their emissions and submit a corresponding amount of allowances by the end of each year. As a result, rising electricity prices could be observed in several European countries. For the German electricity wholesale market, Zachmann and von Hirschhausen (2008) found an asymmetric response to the price for emission allowances: The increase of the electricity price in response to increasing prices on the EUA market was more pronounced than the decrease in response to decreasing EUA prices.This paper confirms the result of Zachmann and von Hirschhausen (2008) with different data and a more subtle identification strategy, but also limits the time frame for which the asymmetry can be observed. In March 2006, the German competition authority published a paper in order to prepare for a hearing on emissions trading and electricity price formation with a surprisingly critical assessment of the pass-through of EUA prices to electricity prices. The asymmetric pricing pattern, however, was not detected at the time of the report, nor had it been part of the investigations. Nevertheless, our results suggest that the asymmetric pricing pattern disappeared by the time the report was published. By means of the chosen methodology, we can exclude other major events, such as the sharp fall of EUA prices in April 2006, as driving factors for our results. Our findings therefore evidence the deterring effect of regulatory oversight on firms, exhibiting non-competitive pricing behavior on concentrated markets. For recent years, we cannot find any asymmetric pass-through of EUA prices. Several robustness checks support our results. Das Wichtigste in Kürze AbstractWe find an asymmetric pass-through of European Emission Allowance (EUA) prices to wholesale electricity prices in Germany and show that this asymmetry has disappeared in response to a report on investigations by the competition authority. The asymmetric pricing pattern, however, was not detected at the time of the report, nor had it been part of the investigations. Our results therefore provide evidence of the deterring effect of regulatory monitoring on firms which exhibit non-competitive pricin...

This paper reinterprets Maganelli's (2009) idea of "Forecasting with Judg ment" to obtain a dynamic algorithm for combining survey data and time series models for macroeconomic forecasting. Unlike existing combination ap proaches which typically assign weights to alternative forecasts, the algorithm uses survey forecasts in estimating the parameter vector of a time series model. The methodology is applied to mid-term forecasts of the three-month Euribor.

Reproduction permitted only if source is stated. ISBN 978-3-95729-680-1 (Printversion) Non-technical summary Research questionThe two-sided Hodrick-Prescott filter (HP-2s) is a popular tool for detrending macroeconomic time series, such as the gross domestic product (GDP). The one-sided Hodrick-Prescott filter (HP-1s) is a version of this filter, which is often used for predictive tasks, where there are no future values of a time series available yet. Furthermore, Basel III regulations recommend using HP-1s to construct a reference indicator for setting the countercylical capital buffer: the credit-to-GDP gap. HP-1s is usually applied under the assumption that the properties of HP-2s carry over one-to-one to HP-1s. ContributionIn this study, we explore whether the properties of HP-1s resemble those of HP-2s and find pronounced differences. Therefore, we propose adjustments to HP-1s that align its properties closely to those of HP-2s. Nichttechnische Zusammenfassung FragestellungDer zweiseitige Hodrick-Prescott-Filter (HP-2s) ist ein gängiges Verfahren, um makrookonomische Zeitreihen wie das Bruttoinlandsprodukt (BIP) um ihren Trend zu bereinigen. Der einseitige Hodrick-Prescott-Filter (HP-1s) ist eine Variante dieses Filters, die zum Beispiel für Prognoseaufgaben verwendet wird, da in diesem Fall noch keine zukünftigen Werte der Zeitreihe verfügbar sind. Der HP-1s wird unter Basel III vorgeschlagen, um den Indikator zur Ermittlung des antizyklischen Kapitalpuffers zu bestimmen: die Kredit/BIP-Lücke. Gewöhnlich wird der HP-1s unter der Annahme verwendet, dass seine Eigenschaften sich praktisch nicht von denen des HP-2s unterscheiden. BeitragIn dieser Studie untersuchen wir, inwieweit die Eigenschaften des HP-1s tatsächlich denen des HP-2sähneln und finden ausgeprägte Unterschiede. Daher schlagen wir Anpassungen des HP-1s vor, die seine Trendbereinigung jener des HP-2s angleichen. ErgebnisseDie Verwendung des HP-1s erzeugt trendbereinigte Komponenten, deren Eigenschaften oft stark von denen des HP-2s abweichen. Durch zwei einfache Anpassungen des HP-1s können diese Unterschiede jedoch drastisch reduziert werden: die Verwendung eines kleineren Werts für den Glättungsparameter und eine Skalierung der trendbereinigten Komponente. Wenn man zum Beispiel einen HP-2s mit dem häufig genutzten Wert 1600 als Glättungsparameter betrachtet, benutzt der entsprechende adjustierte HP-1s statt des Wertes 1600 den Wert 650. Zudem multipliziert er die trendbereinigte Komponente mit einem Faktor von 1,15. Anhand von simulierten und empirischen Daten verdeutlichen wir die Relevanz dieser Anpassungen. Ohne Anpassungen des HP-1s könnten zum Beispiel Finanzzyklen 1,7-mal volatiler erscheinen als Konjunkturzyklen, wenn sich die wahren Volatilitäten nur marginal unterscheiden. AbstractWe show that one should not use the one-sided Hodrick-Prescott filter (HP-1s) as the real-time version of the two-sided Hodrick-Prescott filter (HP-2s): First, in terms of the extracted cyclical component, HP-1s fails to remove low-frequency fluctuations to ...