Collaborative Research Center 649
NL 2016 – Final Issue
Newsletter
CRC 649
Final ISSUE
Collaborative Research Center 649 „Economic Risk“
Editorial:
Collaborative Research Center 649:
“Economic Risk”
School of Business and Economics
Humboldt-Universität zu Berlin
Spandauer Straße 1
10178 Berlin – Germany
Prof. Dr. Wolfgang Härdle
Coordinator of the CRC 649
Phone: +49 (0)30 2093-5630
Fax:
+49 (0)30 2093-5649
Email: [email protected]
Prof. Michael C. Burda, Ph.D. Phone: +49 (0)30 2093-5650
+49 (0)30 2093-5696
Deputy Coordinator of the CRC Fax:
Email: [email protected]
649
Janine Tellinger-Rice, MBA
Managing Director of the CRC
649
Phone: +49 (0)30 2093-1471
Fax:
+49 (0)30 2093-5617
Email: [email protected]
Alona Zharova
Managing Director of the CRC
649
Phone: +49 (0)30 2093-5708
Fax:
+49 (0)30 2093-5617
Email: [email protected]
sfb649.wiwi.hu-berlin.de
CRC 649 Office
Raphael Reule
Phone: +49 30 2093 5708
Fax: +49 30 2093 5617
E-Mail: [email protected]
Office: Rooms 309 and 315
"There is no rain above the clouds"
Sonderforschungsbereich 649 “Ökonomisches Risiko”
Collaborative Research Center 649
NL 2016 – Final Issue
NEWS OF THE CRC
BMBF funding for Dr. Klinke’s FLIPPS
Sigbert Klinke (B1) received a funding from the Federal Ministry of Education and Research (BMBF) for the
joint research project "Förderung statistischer Lehr- und Lernprozesse in Großveranstaltungen mittels eines
Flipped-Classroom-Designs (FLIPPS)" (with Manuel Förster/Johannes-Gutenberg Universität Mainz and
Florian Heiss/Heinrich-Heine-Universität Düsseldorf). Congratulations!
“Beat the Prof - Risikoverhalten” Quiz on ZEIT Campus by Prof. Peter Mohr
Is danger categorized as disgust, joy or fear in the brain? No risk, no fun: a professor, seven questions on risk
behaviors. Beat the Prof!
http://www.zeit.de/campus/2016-09/beat-the-prof-risiko-psychologie-oekonomie
Nobel Prize Lecture
The CRC 649 "Economic Risk" invited to the annual Nobel Prize Lecture, which took place in the HeiligGeist-chapel at the School of Business and Economics of the Humboldt-Universität zu Berlin, dedicated to
Oliver Hart (Harvard University) and Bengt Holmström (Massachusetts Institute of Technology). They have
been awarded the prize for their vast and comprehensive scientific work on contract theory. Prof. Dr. Roland
Strausz presented an overview of Hart’s and Holmström’s interesting lives and work and pointed out, how
relevant their work is to today’s understanding of economical mechanisms.
Is the EU the result of a sophisticated contract design? When are the conditions of an insurance policy
considered to be fair? How is it possible to create incentives for productive employment through the design
of contracts?
The two Nobel laureates for economics in 2016, Oliver Hart (Harvard University) and Bengt Holmström
(Massachusetts Institute of Technology) are dealing with questions like these.
Collaborative Research Center 649
NL 2016 – Final Issue
Contracts regulate social coexistence and are the basis for economic action. The whole world can be seen as
a collection of innumerable treaties, which is why the relevance of contract theory research is extremely high.
Oliver Hart and Bengt Holmström have developed important theoretical instruments in the course of their
more than thirty years of research, which contribute to the understanding of the functions of contracts.
Thus, Harts and Holmström's conceptual preliminary work enabled an analysis of the "bonus culture" in
banking. It was shown that short-term incentives such as the distribution of performance-related bonuses
are not necessarily associated with the interest of a sustainable business success.
Prof. Dr. Roland Strausz (A8) presented the most
important ideas of the two Nobel laureates in his
lecture. Prof. Dr. Ulrich Kamecke led a discussion
with Prof. Dr. Anja Schöttner, Prof. Dr. Franz
Hubert, Prof. Dr. Roland Strausz and the audience.
This 11th annual Nobel Prize Lecture was kindly
supported by the Society for Economics and
Management of the Humboldt-Universität zu
Berlin. The event was well-attended and also
perceived very positively among the guests. As in
past years, the annual Nobel Prize Lecture drew
attendees from the general public and offered a
reception for a continued exchange of ideas.
RDC permanently established at the Humboldt-Universität zu Berlin (School of Business and Economics)
The School of Business and Economics has decided to permanently establish the CRC 649’s Research Data
Center (RDC) as an integral part of the faculty as of January 2017.
The RDC is now able to provide a new server: Harrison.wiwi.hu-berlin.de with 24 Cores, 3,5 Ghz and 768
GByte Memory
“Computing machines”
The C.A.S.E. computer museum together
with Collaborative Research Center 649
are pleased to announce the publication
of a new book “Computing machines” by
T. van den Berg, E. Bommes, W. K.Härdle
and A. Petukhina. The book showcases
selected items from the C.A.S.E.
computer museum, at HumboldtUniverstät zu Berlin and reveals the role
of computers as a driving force for
statisticians to go into new, untapped
areas of research. The book was
published
in
October
2016,
its
presentation and autograph session were
held at the Ladislaus von Bortkiewicz
Chair of Statistics on the 19 of October.
Collaborative Research Center 649
NL 2016 – Final Issue
NEWS OF THE PROJECTS
Suvi Vasama (A8) visited the Economics Department at Aalto University from the 31st of October to the 8th
of November. On the 2nd of November she presented there her paper "Unraveling of Cooperation in Dynamic
Collaboration."
Hannah Liepmann (A9) was a visitor at the Institute for Research on Labor and Employment (IRLE) at UC
Berkeley from August through December 2016. She presented her paper “The Impact of a Negative Labor
Demand Shock on Fertility” at the IRLE fall seminar series.
Petra Burdejova (B1) participated as an invited speaker in the Workshop “Instabilities in Time Series and
Bootstrap” on the 4th of November in Prague and gave a talk on “Trend analyses and modelling of tail event
curves”.
Wolfgang Karl Härdle (B1) held a workshop at the Institute of Economics and Statistics at the University of
Szczecin (Stettin) entitled, Digital Economy and Decision Analytics (DEDA), on the 3rd to the 5th of
November. On the 9th of November Prof. Härdle gave a presentation at the University of Cambridge’s regular
Econometrics Seminar entitled, Network Quantile Auto-regression, a work he has been developing with
Weining Wang (B1). Between the 16th and the 17th of November he held a day-and-a-half mini-course at
Wroclaw (Breslau) University of Science and Technology (Hugo Steinhaus Center) on the subject of Applied
Multivariate Statistical Analysis as part of an Erasmus Mobilitäts Program which is a long standing academic
exchange programme between the two universities. Prof. Härdle visited the Shenzhen University and gave
a talk on the 7th of December on “Big Data & Statistical Finance Tools”. On the 9th of December he gave a
talk in Taipei at the National Chengchi University (NCCU) on “FASTEC - Factorisable Sparse Tail Event
Curves”. From the 14th to the 21st of December he visits Fudan University Shanghai, where he talks about
“Smart Data Analytics”.
Michael C. Burda (C7) held a lecture on “Financing social security in the transition” at the “Seminar on
Establishment of Social Safety Net during Transition” at the Prague University of Economics (VSE), and took
part on a discussion “Is there a life after the euro crisis? Perspectives for growth and employment in Europe”
at the Friedrich-Naumann-Foundation in Prague on the 9th of November.
On the 16th of November he participated on a discussion “Valuation in the low interest rate” organized by
the Verein zur Förderung des Bilanz- und Steuerrechts sowie der Wirtschaftsprüfung Berlin und Brandenburg e.V.
and gave an explanation of “Low interest rates from a macroeconomic perspective”. The event took place at
the School of Business and Economics.
Prof. Burda has attended the 5th Aix-Marseille School of Economics – Banque de France Labor Market
Conference from the 1st to the 2nd of December in Aix-en-Provence. He held the Keynote Speech “The German
Labor Market Reforms 2003-2005: An Assessment” and participated on the Round Table “Measures aimed
at reducing labour costs”. On the 7th of December he participated on the WWG discussion evening “Does
Europe need new Europeans?” at the School of Business and Economics. Michael Burda gave a talk on
“Integration Concepts and Integration Experiences with Migrants (with particular emphasis on the Marielboat crisis)” on the 12th of December in the Studium Generale at the University of Konstanz. Moreover he
presented his paper “The Economics of German Unification 25 Years later” on the 13th of December on the
Economics Research Seminar at the University of Konstanz. Michael C. Burda visited the Copenhagen
Collaborative Research Center 649
NL 2016 – Final Issue
Business School from the 15th to the 18th of December for a research stay by Prof. Battista Severgnini at the
Economics Department.
Frank Heinemann (C10) represented Technische Universität Berlin at the Wirtschafts- und
Sozialwissenschaftlicher Fakultätentag (WISOFT) on the 3rd to the 4th of November in Münster.
Gunda-Alexandra Detmers (C14) gave a talk on "Forward Guidance under Disagreement - Evidence from
the Fed's dot projections" (SFB-DP 2016-41) at the meeting of the Canadian Economic Association (Ottawa)
and INFINITI Conference on International Finance (Dublin) in June, at the meeting of the European
Economic Association (Geneva) in August as well as at the Annual Meeting of the Verein für Socialpolitik
(Augsburg) in September. Furthermore, she presented the paper in seminars at Boğaziçi University Istanbul,
Magyar Nemzeti Bank and the National Bank of Belgium.
Lars Winkelmann (C14) presented the paper "Estimation of the discontinuous leverage effect: evidence from
the NASDAQ order book" at the 10th International Conference on Computational and Financial Econometrics
in Seville from the 9th of December to 11th of December. On the 6th of December Lars Winkelmann was
appointed as a Juniorprofessor of Empirical Macroeconomics at Freie Universität Berlin.
Helmut Lütkepohl (C15) participated in the 10th International Conference on Computational and Financial
Econometrics (CFE 2016) in Sevilla, Spain, from the 9th to the 11th of December and presented a joint paper
with Aleksei Netsunajev (C15) on 'Structural vector autoregressions with heteroskedasticity: A review of
different volatility models.
STAFF OF THE CRC
Gunda-Alexandra Detmers (C14) successfully defended her doctoral thesis entitled
"Expectations Management of Central Banks" and recently started to work in the
Research Department of the Magyar Nemzeti Bank.
Collaborative Research Center 649
NL 2016 – Final Issue
We would like to congratulate all doctoral students who have successfully finished doctoral studies
within the CRC and we wish you all the very best for the future and much success in your further career:
2016:
Gunda-Alexandra Detmers, Cristian Basteck, Thomas Meissner, Daniel Neuhoff
2015:
Shih-Kang Chao, Alexander Ristig, Dominika Galkiewicz, Stephan Stahlschmidt, Thomas Meissner, Daniel
Neuhoff, Dedy Dwi Prastio
2014:
Piotr Majer, Zhiwei Shen, Atanas Hristov
2013:
David N. Danz, Till Strohsal, Cebiroglu, Gökhan, Chen Wenjuan, Jana Friedrichsen, Barbara ChorośTomczyk, Philipp König, Maria Grith, Peter Malec, Matthias Ritter, Lars Winkelmann, Jan Peter aus dem
Moore, Maria Osipenko, Elena Silyakova, Steffen Ahrens
2012:
Sven Tischer, Dirk Hofmann, Andrija Mihoci, Mengmeng Guo, Weining Wang, Nicole Wiebach, Axel GroßKlußmann
2011:
Juliane Scheffel, Stephanie Hecker (born Kremer), Holger Gerhardt, Martin Wersing, Runli Xie-Uebele, Peter
Mohr, Sascha Becker, Julia Schmid
2010:
Katja Hanewald, Brenda Lopez-Cabrera, Dietmar Fehr, Alexander Meyer-Gohde, Roman Timofeev, Song
Song, Nadja Silberhorn, Sebastian Braun
2009:
Julius Mungo, Till Dannewald, Uwe Ziegenhagen, Enzo Giacomini
2008:
Taleb Ahmad, Szymon Borak, Rouslan Moro
2007:
Mathias Trabandt, Astrid Matthey, Ying Chen, Lydia Mechtenberg, Michal Benko, Lisa Bruttel
2006:
Emanuel Mönch, Lea Michaelis, Almuth Scholl, Johannes Münster
Collaborative Research Center 649
NL 2016 – Final Issue
NEW DISCUSSION PAPERS
More detailed information is available here.
2016-046
"Credit Rating Score Analysis " (File)
by Wolfgang Karl Härdle, Phoon Kok Fai and David Lee Kuo Chuen
2016-047
"Time Varying Quantile Lasso" (File)
by Lenka Zbonakova, Wolfgang Karl Härdle and Weining Wang
2016-048
"Unraveling of Cooperation in Dynamic Collaboration" (File)
by Suvi Vasama
2016-049
"Q3-D3-LSA" (File)
by Lukas Borke and Wolfgang K. Härdle
2016-050
"Network Quantile Autoregression" (File)
by Xuening Zhu, Weining Wang, Hangsheng Wang and Wolfgang Karl Härdle
2016-051
"Dynamic Topic Modelling for Cryptocurrency Community Forums" (File)
by Marco Linton, Ernie Gin Swee Teo, Elisabeth Bommes, Cathy Yi-Hsuan Chen and Wolfgang Karl
Härdle
2016-052
"Beta-boosted ensemble for big credit scoring data" (File)
by Maciej Zieba and Wolfgang Karl Härdle
2016-053
"Central Bank Reputation, Cheap Talk and Transparency as Substitutes for Commitment:
Experimental Evidence" (File)
by John Duffy and Frank Heinemann
2016-054
"Labor Market Frictions and Monetary Policy Design" (File)
by Anna Almosova
2016-055
"Effect of Particulate Air Pollution on Coronary Heart Disease in China: Evidence from Threshold
GAM and Bayesian Hierarchical Model" (File)
by Xiaoyu Chen
2016-056
"The Effect of House Price on Stock Market Participation in China: Evidence from the CHFS MicroData" (File)
by Xiaoyu Chen and Xiaohao Ji
Collaborative Research Center 649
NL 2016 – Final Issue
THE CRC 649 – a pictoral short analysis
A deeper insight can be found here.
Expanding and extending our understanding of economic risk was the central objective of the Collaborative
Research Center 649 Economic Risk. The interdisciplinary research center combined results and inputs from
economics, mathematics and statistics and fostered new research initiatives. The CRC brought together
researchers from all three universities in Berlin, namely Technische Universität (TU), Freie Universität (FU),
the Wissenschaftszentrum Berlin (WZB) and the Weierstrass Institute for Applied Analysis and Stochastics
(WIAS) along with Humboldt-Universität zu Berlin (HU).
Figure 1: Top-75 words from 61 subprojects’ summaries from 3 proposals for CRC 649 2005-2016 (left) and
top-75 words from 771 abstracts from CRC 649 discussion papers 2005-2016 (right) correspond to 50%
Figure 2: Network of 760 CRC 649 discussion papers (yellow) and 20 JEL codes (blue) published from 2005
to 2016, June
Collaborative Research Center 649
NL 2016 – Final Issue
JEL (Journal of Economic Literature) classification codes
A General Economics and Teaching
B History of Economic Thought, Methodology, and
Heterodox Approaches
C Mathematical and Quantitative Methods
D Microeconomics
E Macroeconomics and Monetary Economics
F International Economics
G Financial Economics
H Public Economics
I Health, Education, and Welfare
J Labor and Demographic Economics
K Law and Economics
L Industrial Organization
M Business Administration and Business Economics /
Marketing / Accounting / Personnel Economics
N Economic History
O Economic Development, Innovation, Technological
Change, and Growth
P Economic Systems
Q Agricultural and Natural Resource Economics /
Environmental and Ecological Economics
R Urban, Rural, Regional, Real Estate, and
Transportation Economics
Y Miscellaneous Categories
Z Other Special Topics
Figure 3: Map of university locations of guest researchers who visited the CRC from 2005 to 2016, June
Figure 4: Map of locations of scientific events visited by CRC members from 2005 to 2016, June (travel costs
paid by CRC)
Collaborative Research Center 649
NL 2016 – Final Issue
Quantlets
The Cross-Section of Crypto-Currencies as Financial Asset
Project: EconCrix
Crypto-currencies have developed a vibrant market since bitcoin, the first crypto-currency, was created in
2009. We look at the properties of crypto- currencies as financial assets in a broad cross-section. Authors
discuss approaches of altcoins to generate value and their trading and information platforms. Then we
investigate crypto-currencies as alternative investment assets, studying their returns and the co-movements
of altcoin prices with bitcoin and against each other. Authors evaluate their addition to investors’ portfolios
and document they are indeed able to enhance the diversification of portfolios due to their little comovements with established assets, as well as with each other. Furthermore, we evaluate pure portfolios of
crypto-currencies: an equally-weighted one, a value-weighted one, and one based on the CRypto-currency
IndeX (CRIX). The CRIX portfolio displays lower risk than any individual of the liquid crypto-currencies.
Elendnet et al. also document the changing characteristics of the crypto-currency market. Deepening
liquidity is accompanied by a rise in market value, and a growing number of altcoins is contributing larger
amounts to aggregate crypto-currency market capitalization.
More details of results and methodology are described in the recent discussion paper Hermann Elendner,
Simon Trimborn, Bobby Ong and Teik Ming Lee (2016) “The Cross-Section of Crypto-Currencies as Financial
Assets: An Overview”, SFB 649 DP 2016-038.
All corresponding Matlab codes can be found here in Quantnet on Github.
The Quantlets CCSMeansRollingWindow and CCSSdRollingWindow plot main parameters of the return
distribution (mean and standart deviation respectively) of the crypto-currencies over time, evaluated in
rolling windows of 180 trading days.(see Fig. 1).
Collaborative Research Center 649
NL 2016 – Final Issue
Fig. 1 Calibrated parameters in rolling windows of 180 days. The upper panel displays means, the lower
panel displays the standard deviations in the respective windows. Colors denote BTC, ETH, XRP, LTC,
DASH, DOGE, MAID, BTS, XEM, XMR.
Collaborative Research Center 649
NL 2016 – Final Issue
The history of Quantnet
The history of Quantnet started in 2004, first quantlets were
introduced as a part of XploRe - programming language,
developed by LvB Chair of statistics that time. First 7
teachware quantlets comprised a basic set of interactive,
illustrative examples in introductory statistics. Those quantles
aimed to make easier the coordination of quantitative and
graphical insights with mathematical ability for students
studying statistics. Quantlets were designed as a new flexible
tool for interactive learning and gave students early valuable
experience with computer calculations, which is essential for
those who work with statistics.
Figure 1. Teaching Quantlet tw1d to visualize 1D data.
In 2007-2008 the role of Quantnet as a sub-project of CRC 649 was significantly widened. Quantnet was
introduced as a centralized system that is constituted by the data, algorithms and results from different
scientific areas, submitted by various authors from professional researchers to university students. Since
that time Quantnet is not only flexible tool for teaching process, but also an innovative technology to support
approach of transparent and reproducible research. From May 2008 till October 2015 140 authors submitted
1623 Quantlets written in Matlab, R, SAS, Gauss, Stata, XploRe were uploaded in Quantnet.
Collaborative Research Center 649
NL 2016 – Final Issue
The next milestone in Quantnet history was October 2015, when L. Borke and D. Neuhoff introduced a new
Quantnet-Github platform. As on December 19, 2016 Quantnet organization on Github contains 60
collaborators and 1173 accepted validated Quantlets written in R, Matlab, SAS and Python.
We thank all authors of Quantlets for their contribution and invoke members of CRC 649 to continue to build
our house Quantnet to honor the transparent and reproducible research.
CRypto IndeX
Even the mainstream media is full of information about cryptocurrencies such as Bitcoin. Our institute
contributes to this by offering a scientifically backed index for this emerging market, called CRIX.
Our CRIX index, can be found here: http://crix.hu-berlin.de/
CRIX is updated at five minute intervals 24 hours a day.
The data on the website is available to all by a simple mouse click.
Figure. 2 CRyptocurrency IndeX showing past three months’ progress.
Collaborative Research Center 649
NL 2016 – Final Issue
financialriskmeter
Please visit the projects’ website for further informations: http://sfb649.wiwi.hu-berlin.de/frm/
Figure. 3 Linear CoVaR Time series. Interactive moving time window available online.
Collaborative Research Center 649
NL 2016 – Final Issue
Post Scriptum
Dear RDC-Team,
During the past 9 years you have been a great support to the work of the RDC.
Our Nobel Price Lecture, Motzen conference, Hilda Geiringer Lecture and other events would not have gone
so smoothly without your technical support. You helped us to help: answering numerous inquiries from
students and colleagues, tricky management of databases, solving software issues for research, handing out
the Bloomberg key day and night, checking and uploading hundreds of Quantlets and supporting us with
your excellent programming skills.
Martin Kliem, Christian Richter, Uwe Ziegenhagen, Elena Silyakova, André Nimmich, Thomas Polak, Jonas
Haase, David Sander, Benjamin Körtelt, Torsten van den Berg, Yang Wang, Lukas Borke, Awdesch Melzer
and Lusiné Nazaretyan were our goalkeepers in our RDC challenge.
You have been an enrichment to the RDC and I hope the RDC has been an enrichment to you. For all your
support we want to express our gratitude: thank you!
Your
Rainer Voß
Top row from left to right: Benjamin Körtelt, Torsten van den Berg, David Sander, Christian Richter, André Nimmich
Bottom row from left to right: Sylvia Hofbauer, Marcel Mucha, Nicole Hermann, Alexander Meyer, Mona Schirmer
Collaborative Research Center 649
NL 2016 – Final Issue
From left to rigth: Alona Zharova, Raphael Reule, Marius Sterling, Hanna Thielcke, Lukas Mogge, Dominik
Prugger, Janine Tellinger-Rice
Dear Z-Team Colleagues,
We are looking back at 12 years of CRC activities and an exciting time. It has not always been easy but you
were always fully engaged. You have continuously been our backbone and helped us with endless tasks.
Our great success would be impossible without you, our
exceptional student assistants, who helped us organizing,
improving and making our CRC even better.
Tim Huse, Dennis Uieß. Matthias Mikosek, Natascha
Volodina, Elena Silyakova, Polina Marchenko, Lionie
Schlittgen, Anna Ramisch, Sylvia Hoffbauer, Christin Öhler,
Heidi Stegemann, Lukas Mogge, Marcel Mucha, Raphael
Reule, Marius Sterling, Nicole Hermann, Dominik Prugger,
Hanna Thielcke, Matthias Witt, Mona Schirmer and
Alexander Meyer; you all accompanied our successful road
at the back office since 2005.
We are very thankful for your excellent commitment and immense support! Without you it would not have
been possible.
We wish you all the best for your professional and personal future!
Warm wishes,
Janine Tellinger-Rice and Alona Zharova
Collaborative Research Center 649
NL 2016 – Final Issue
QUOTE OF THE CRC 649
“Man, I am a CRC director.
I check all horses from time to time.”
Wolfgang Karl Härdle
Please also note that the newsletter is published on the homepage of the CRC 649.