Papers by Michael Frenkel
Zeitschrift für Marktwirtschaft und Ethik, Jun 1, 2021
Markets and Ethics/Zeitschrift für Marktwirtschaft und Ethik 75 percent of them between 2010 and ... more Markets and Ethics/Zeitschrift für Marktwirtschaft und Ethik 75 percent of them between 2010 and 2020 (Gentilini et al. 2020b). 2 Universal basic income is also a frequent topic of election programs and campaigns. One of the countries in which this concept is repeatedly debated is Germany. It is indeed amazing that it might be possible to provide every citizen of a country with an income high enough to allow them to live a decent life. It is therefore not surprising that this concept is a recurring theme in election campaigns. There is even a small political party in Germany whose sole aim is to introduce an unconditional basic income (Bündnis Grundeinkommen 2021). 3 Although the topic has not made it into the official election program of one of the major parties in Germany, significant portions of the Greens ("Bündnis 90/Die Grünen") and The Left ("Die Linke") support the 2 Two of the most comprehensive publications on unconditional basic income are Torry (2019a) and Gentilini et al. ( ). 3 The one-topic party is called "Bündnis Grundeinkommen", meaning 'Alliance Basic Income'.
This paper has four chapters. The first chapter serves as an introduction. The second chapter stu... more This paper has four chapters. The first chapter serves as an introduction. The second chapter studies the transaction fees in the bitcoin system. The transaction fees and transaction volume in the bitcoin system increase whenever the network is congested and results from a simple VAR show that it is indeed the case. To account for the empirical findings, we build a model where users and miners together determine the transaction fee and transaction volume endogenously. Even though the fluctuating transaction fee mechanism in bitcoin introduces the extra cost of uncertainty to users, a back-of-envelope calculation shows that the cost of using the bitcoin network for transactions is still smaller than the cost of using the current conventional payment system with a fix transaction fee rate. The second chapter studies the time-varying price dispersion among different bitcoin exchanges. We identify the sources of price dispersion using a standard time-varying vector autoregression model with stochastic volatility. The results show that shocks to transaction fees and bitcoin price growth explain on average 20%, and sometimes more than 60%, of the variation of price dispersion. The third chapter studies the relationship between connections and returns in the bitcoin investor network. Using transaction data from the bitcoin blockchain, we reach three conclusions. First, on average, the annualized returns of connected addresses in the network are 20.75% above those of their unconnected peers. Second, returns also differ among those connected addresses. By dividing the connected ad-dresses into ten deciles based on their centrality, we find that addresses in the two most-connected deciles earn higher returns than the other connected addresses. Third, eigenvector centrality is more related than degree centrality to higher returns, implying that quality of connections matters.
We use the ECB's Survey of Professional Forecaster to show that euro area expectations are consis... more We use the ECB's Survey of Professional Forecaster to show that euro area expectations are consistent with standard macroeconomic building blocks such as the Phillips curve, Okun's law, and the Taylor rule. Moreover, the paper finds that the financial and economic crisis of 2007-2009 did not change the expectation formation process as professional forecasters still adopt macroeconomic building blocks for their forecast. The scepticism that has recently been raised concerning macroeconomic building blocks has apparently not yet affected professional forecasts. On the contrary, we conclude that professional forecasters still have faith in macroeconomic building blocks.
Wirtschaftsdienst, Jun 1, 2021
IMF working paper, 2002
The views expressed in this Working Paper are those of the author(s) and do not necessarily repre... more The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or nvtF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate. In this paper, we use a structural vector autoregression model to identify and compare demand and supply shocks between euro area countries and central and eastern European countries (CEECs). The shocks and the shock adjustment dynamics of these countries arc also compared to EU countries that currently do not participate in the EMU. Focusing on the period 1993-2001, we find that there are still differences in the shocks and in the adjustment process to shocks between the euro area and the CEECs. However, several individual CEECs exhibit shocks and shock adjustment processes that are fairly similar to some euro area countries.
RePEc: Research Papers in Economics, 2012
Wirtschaftsdienst, 2000
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.
Jahrbucher Fur Nationalokonomie Und Statistik, Feb 1, 2022
We study the driving forces behind COVID-19 vaccination in German counties using a cross-sectiona... more We study the driving forces behind COVID-19 vaccination in German counties using a cross-sectional and a panel approach. We identify several factors that have a significant impact on vaccination rates. Our results are robust to different model specifications.
This paper studies the effect of the strength of Bilateral Investment Treaties (BITs) on FDI acti... more This paper studies the effect of the strength of Bilateral Investment Treaties (BITs) on FDI activity. We develop an index for the strength of international dispute settlement provisions included in BITs in order to examine the role the content of BITs plays in attracting FDI. To this end we make use of data from the UNCTAD's International Investment Agreement Mapping Project and measure the provision strength of 1,676 BITs. Using panel data of bilateral and total inward FDI flows and stocks we study the effect of BITs on FDI. Our main finding indicates that stronger international dispute settlement provisions in BITs are indeed associated with positive effects on FDI activity.
Social Science Research Network, 2002
Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may be saved and copied for your personal and scholarly purposes. You are not to copy documents for public or commercial purposes, to exhibit the documents publicly, to make them publicly available on the internet, or to distribute or otherwise use the documents in public. If the documents have been made available under an Open Content Licence (especially Creative Commons Licences), you may exercise further usage rights as specified in the indicated licence.
Kürzlich ist die ursprünglich von James Tobin vorgeschlagene Steuer auf Devisenmarkttransaktionen... more Kürzlich ist die ursprünglich von James Tobin vorgeschlagene Steuer auf Devisenmarkttransaktionen wieder in die politische Diskussion gerückt. Die deutsche und die französische Regierung haben sich bereits im vergangenen Jahr positiv zur Einführung einer Tobin-Steuer geäußert. Anfang 2002 legte Prof. Paul Bernd Spahn ein von der Bundesregierung in Auftrag gegebenes Gutachten vor, in dem eine aus zwei Teilen bestehende Steuer zur Einführung vorgeschlagen wird. Prof. Michael Frenkel und Prof. Rolf J. Langhammer setzen sich mit diesem Vorschlag kritisch auseinander.
This paper estimates demand functions for international reserves and projects the effects of EMU ... more This paper estimates demand functions for international reserves and projects the effects of EMU on the level and the composition of international reserves both of the European Central Bank and of non-EMU central banks. Furthermore, this paper investigates possible shifts in the currency composition of international bonds and bank deposits in private portfolios. Using different scenarios for the ultimate country composition of EMU, the analysis points to a sizable reduction in the level of international reserves in EMU and to a reduction in the demand for dollar assets both within and outside EMU. However, these changes require a high degree of price stability within the EMU and are expected to take place only gradually so that no immediate drastic effect on international financial markets may result from these shifts.
Volkswirtschaftliche Gesamtrechnung, 2023
Credit and Capital Markets - Kredit und Kapital
Merkmal des nach dem Zusammenbruch des Bretton-Woods-Systems zu Beginn der Siebzigerjahre in Kraf... more Merkmal des nach dem Zusammenbruch des Bretton-Woods-Systems zu Beginn der Siebzigerjahre in Kraft gesetzten Systems flexibler Wechselkurse besteht darin, dass Zentralbanken oftmals durch Interventionen am Devisenmarkt versucht haben, die Entwicklung der im Prinzip frei schwankenden Wechselkurse zu beeinflussen (vgl. z.B. Calvo/Reinhart (2002)). Die Frage, warum Zentralbanken auf das Instrument der Devisenmarktintervention zur Einflussnahme auf den Verlauf des Wechselkurses zurückgreifen, wird in der wirtschaftswissenschaftlichen Forschung kontrovers diskutiert und ist immer wieder Gegenstand empirischer Studien. In diesen empirischen Studien werden die Bestimmungsfaktoren der Devisenmarktinterventionen von Zentralbanken in der Regel unter Zuhilfenahme eines quantitativen Modells einer Zentralbankreaktionsfunktion analysiert. Besonderer Beliebtheit erfreuen sich in neueren Forschungsarbeiten zu diesem Themenkomplex Reaktionsfunktionen, in denen die Handlungsoptionen der jeweils betrachteten Zentralbank mittels einer binären Entscheidungsvariablen dargestellt werden. Da davon ausgegangen wird, dass die Zentralbank nur zwei Handlungsoptionen besitzt, kann diese Entscheidungsvariable nur zwei Ausprägungen annehmen: Die Zentralbank kann zwischen einer Intervention und einer Nicht-Intervention wählen. Empirische Arbeiten, in denen solche Zentralbankreaktionsfunktionen zur Ermittlung der Bestimmungsfaktoren von Devisenmarkt-* Dieser Beitrag wurde teilweise geschrieben während Christian Pierdzioch als Gastwissenschaftler am National Bureau of Economic Research (NBER), Cambridge, Mass., tätig war. Dem Team des NBER wird für seine Gastfreundschaft gedankt. Zudem bedanken wir uns bei einem anonymen Gutachter, dessen wertvolle Hinweise bei der Überarbeitung des Manuskripts sehr hilfreich waren.
International Journal of Management and Economics, 2020
This article reviews several hypotheses that aim at explaining the development of German merchand... more This article reviews several hypotheses that aim at explaining the development of German merchandise exports. Based on cointegration estimation techniques, we examine different determinants for their ability to explain German exports during the period 1992–2016. The estimation results indicate that, in addition to the traditional determinants (world demand and price competitiveness), other determinants, such as energy prices and the increasing fragmentation of production processes, are also crucial in explaining German exports.
Social Science Research Network, 1996
This paper analyzes the effects of anticipated inflation on the resource allocations between prod... more This paper analyzes the effects of anticipated inflation on the resource allocations between production and financial services. We develop a model with heterogeneous workers and two sectors economy. A manufacturing sector producing a final composite good and a financial sector providing monetary management services for manufacturers. Workers in this economy are heterogeneous in their productivity and are free to move between the two sectors. Hence workers with high productivity in the financial sector choose to work in the financial sector, where they can earn high wages, while workers with low productivity prefer to work in the manufacturing sector. In equilibrium, the allocation of workers between the two sectors, i.e., the size of each sector depends, among other factors, on the inflation rate. Higher inflation increases the marginal revenues of financial workers and decrease the marginal revenues of production workers. As a consequence, resources are shifted from the manufacturing sector to the financial sector. That is, the share of the financial services in output increases and production (output) decreases. The resulting decline in manufacturing sector output reduces consumption opportunities and represents costs of inflation. To estimate the change in the production structure and, thus, the costs of inflation we analyze data from 28 countries which had some notable inflation history during the period 1972-1995. We find strong support for the hypothesis that higher inflation increases the share of the financial sector output and employment relative to the manufacturing sector.
Uploads
Papers by Michael Frenkel