De­part­ment of Eco­no­mics Working Paper Se­ries, 275, 2018

Ef­fects of the Aus­tri­an In­co­me Tax Re­form 2015/2016 on Pri­va­te Con­sump­ti­on: Sur­vey Fin­dings

Kron­ber­ger, Ralf; Schmid, Chris­toph

Abs­tract: We use sur­vey fin­dings to ana­ly­se the ef­fects of the Aus­tri­an in­co­me tax re­form 2015/2016 on pri­va­te con­sump­ti­on dif­fe­ren­tia­ted by in­co­me clas­ses. Using sur­vey data, we also esti­ma­te the cor­re­spon­ding aver­age mar­gi­nal pro­pen­si­ties to con­su­me and com­pa­re them to ap­p­lied aver­age mar­gi­nal pro­pen­si­ties to con­su­me in eco­no­mic mo­dels used to ana­ly­se the pre­vious two in­co­me tax re­forms in Aus­tria. The esti­ma­ted aver­age mar­gi­nal pro­pen­si­ty to con­su­me amounts to ap­pro­xi­ma­te­ly 0.46, whe­re­by in ten­den­cy in­crea­sing from the lo­west in­co­me class (0.42-0.43) to the hig­h­est in­co­me class (0.48-0.50). Our esti­ma­ted aver­age mar­gi­nal pro­pen­si­ty to con­su­me across all in­co­me clas­ses ba­si­cal­ly cor­re­sponds to those used in eco­no­mic mo­dels to eva­lua­te the in­co­me tax re­form 2015/2016. How­e­ver, our esti­ma­ted mar­gi­nal pro­pen­si­ties to con­su­me by in­co­me clas­ses fun­da­mental­ly dif­fer from those used in the eco­no­mic mo­dels.

The full paper is avail­able under http://epub.wu.ac.at/6769/.

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De­part­ment of Eco­no­mics Working Paper Se­ries, 276, 2018

Model in­sta­bi­li­ty in pre­dic­ti­ve exchan­ge rate re­gres­si­ons

Hau­zen­ber­ger, Niko; Huber, Flo­ri­an

Abs­tract: In this paper we aim to im­pro­ve exis­ting em­pi­ri­cal exchan­ge rate mo­dels by ac­coun­ting for un­cer­tain­ty with re­spect to the un­der­ly­ing struc­tu­ral re­p­re­sen­ta­ti­on. Wit­hin a fle­xi­ble Baye­si­an non-​linear time se­ries frame­work, our mo­de­ling ap­proach as­su­mes that dif­fe­rent re­gimes are cha­rac­te­ri­zed by com­mon­ly used struc­tu­ral exchan­ge rate mo­dels, with their evo­lu­ti­on being dri­ven by a Mar­kov pro­cess. We as­su­me a time-​varying tran­si­ti­on pro­ba­bi­li­ty ma­trix with tran­si­ti­on pro­ba­bi­li­ties de­pen­ding on a me­a­su­re of the mo­ne­ta­ry po­li­cy stance of the cen­tral bank at the home and for­eign coun­try. We apply this model to a set of eight exchan­ge rates against the US dol­lar. In a fo­re­cas­ting ex­er­ci­se, we show that model evi­den­ce va­ries over time and a model ap­proach that takes this em­pi­ri­cal evi­den­ce se­rious­ly yields im­pro­vements in ac­cu­ra­cy of den­si­ty fo­re­casts for most cur­ren­cy pairs con­side­red.

The full paper is avail­able under http://epub.wu.ac.at/6770/