if this message does not display correctly, click here | Table of Contents Vincenzo Atella, University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS), Department of Economics and Finance, University of Rome, Tor Vergata - Faculty of Economics
Lorenzo Carbonari, University of Rome - Tor Vergata
Paola SamĂ , University of Rome, Tor Vergata Rocco Ciciretti, University of Rome II - Department of Economics and Finance
Ambrogio Dalo, University of Rome, Tor Vergata - Department of Economics and Finance
Lammertjan Dam, University of Groningen - Faculty of Economics and Business Mariarosaria Comunale, Bank of Lithuania - Economics Department | |
CEIS: CENTRE FOR ECONOMIC & INTERNATIONAL STUDIES
Vincenzo Atella - Director "Hours Worked in Selected OECD Countries: An Empirical Assessment" 
CEIS Working Paper No. 412 VINCENZO ATELLA, University of Rome, Tor Vergata - Centre for International Studies on Economic Growth (CEIS), Department of Economics and Finance, University of Rome, Tor Vergata - Faculty of Economics
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LORENZO CARBONARI, University of Rome - Tor Vergata
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PAOLA SAMĂ€, University of Rome, Tor Vergata
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In this paper, we empirically assess the evolution of the aggregate hours worked, with a particular emphasis on their age structure, in a sample of OECD countries, along the period 1970-2007. We show that the age composition of the workforce has a large and statistically signicant effect on hours worked volatility. To exploit the multilevel structure of our data, we use a Mixed Linear Model to investigate the consequences of (i) demographic change, (ii) sector-specific and (iii) country-specific factors on hours worked by "young" (aged 15-29) and "prime-aged" (29 ) individuals. We show that changes in workforce demographics, captured by the ratio between population older than 29 and population younger than 29, are strongly and significantly correlated with the amount of hours worked by "young" individuals. We also document the impact of sectoral capital intensity and profitability on the dynamics of (aggregate) hours worked. Finally, we show that productive public expenditure, here proxied by the public investment in ICT, is beneficial for the hours worked both by young and prime-aged individuals. "The Price of Taste for Socially Responsible Investment"
CEIS Working Paper No. 413 ROCCO CICIRETTI, University of Rome II - Department of Economics and Finance
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AMBROGIO DALO, University of Rome, Tor Vergata - Department of Economics and Finance
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LAMMERTJAN DAM, University of Groningen - Faculty of Economics and Business
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The demand for socially responsible investment (SRI) might be driven by:
i) the risk characteristics of “responsible” assets, and/or
ii) investors’ taste for such assets.
The former driver positions SRI in the conventional risk-return framework, the latter entails that investors screen stocks out of their portfolios based purely on their taste for such assets, uncorrelated to risk and return considerations. Theoretically, the screening of certain assets based on investors’ taste should lead to a return premium on the screened assets in equilibrium. In this paper, we disentangle the different contributions of risk and taste in generating risk-adjusted returns for socially responsible assets. By ruling out both systematic and residual risk components, we try to quantify whether and to what extent investors pay a price, in terms of lower returns, due to their taste for responsible assets. Using a sample of 1000 firms from the U.S., Europe, and Asia, between 2005 and 2014, we find evidence for the taste effect and estimate the associated under performance at 4.8% annually. Our results are robust against different model specifications and test assets. "Synchronicity of Real and Financial Cycles and Structural Characteristics in EU Countries"
CEIS Working Paper No. 414 MARIAROSARIA COMUNALE, Bank of Lithuania - Economics Department
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In this paper, we examine the relationships between real, credit and house price cycles, by using a synchronicity index, and structural characteristics and macroeconomic variables of 17 EU countries. We find that the cycles between credit variables and the real cycle with the property or equity prices cycles seem relatively well synchronised. Credit and GDP fluctuations seem to be less synchronised, mostly because credit volumes tend to lag the real cycle by several quarters. The high rates of private homeownership tend to be associated with larger cycles in GDP, credit, and house prices. Higher Loan-To-Value ratios, seen as a proxy of borrowing constraints, and a higher percentage of flexible-rate mortgages, could also indicate that a country is more sensitive to shocks and possibly increase pro-cyclicality and increase cycle volatility. Finally, the pro-cyclicality of the credit and housing market to the GDP cycle can be linked to the fluctuation in current accounts and their misalignments with respect to the theoretical equilibrium value. The synchronicity and the cycles of credit may also be considered for signaling recessions. | | ^top
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