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Let us invite you to the dissertation defense of Ekaterina Travova which is going to take place on Tuesday, June 14th, 2022 at 9:00 online. Passcode is 2641

Title of Dissertation:

Essays in Applied Economics

Defense Committee:

Daniel Münich (CERGE-EI, Chair)

Mariola Pytliková (CERGE-EI)

Libor Dušek (Charles University, Faculty of Law)

Dissertation Committee:

Andreas Menzel (CERGE-EI, Chair)

Štěpán Jurajda (CERGE-EI)

Vasily Korovkin (CERGE-EI)

Referees:

Lubomír Cingl (Prague University of Economics and Business)

Maxim Ananyev (University of Melbourne)

Abstract:

The first chapter investigates the use of high-powered incentives for civil servants in the public sector by analyzing possible manipulations of drugs seized by Russian police. First, using a bunching estimator, I document a significant excess mass of heroin cases above the punishment threshold. Next, combining the bunching with an event study framework, I study the incentives for police officers to manipulate, and find evidence consistent with the motivation arising from officers' performance evaluations. Further negative consequences of inappropriate incentives are inequality in the enforcement of law and prolonged sentences for offenders. 

The second chapter investigates the influence of the Orthodox Church network in Post-Soviet Russia on individual political preferences and election results. I use the numbers of monks and nuns from Orthodox monasteries operated in the Russian Empire before the Revolution as historical religious markers to construct a Bartik-style instrument (1991). I find that a denser Church network increases the average local approval rating for the current president and the share of votes cast for the government candidate in presidential elections. Further analysis of mechanisms shows that, today, the extending Church network is increasingly less able to attract people to attend church and to substantially increase the share of practicing believers. However, it does affect the political preferences of those who, regardless of their faith in God, self-identify as Orthodox. The potential channel for persuasion is media.

The third chapter (jointly with Andreas Menzel and Christoph Koenig) studies the long-run effects of personal experience of work-life disruption during the transition period in the 11 former communist CEE countries on life satisfaction and political left-right orientation. We implement an instrumental variable strategy, constructing an instrument which captures the potential exposure of a person to the country-wide sector-specific disruption shock. We find a significant negative impact of transition disruption on current life satisfaction, which is stronger for men without university degree. We also identify a number of negative long-run effects on marital status, perceived control over life, and some health outcomes (likelihood of drinking and smoking). Further, we document that a career disruption during the transition period tends to shift the political orientation to the right side of the left-right scale.

 Full Text: "Essays in Applied Economics"

Let us invite you to the dissertation defense of Peter Štefko which is going to take place on Tuesday, June 14th, 2022 at 15:30 in Room 402 and online. Passcode is 2457

Title of Dissertation:

Essays on Information in Financial Markets

Defense Committee:

Daniel Münich (CERGE-EI, Chair)

Štěpán Jurajda (CERGE-EI)

Jiří Podpiera (International Monetary Fund)

Dissertation Committee:

Jan Hanousek (CERGE-EI, Chair)

Randall K. Filer (Princeton University)

Jiří Trešl (University of Mannheim)

Referees:

Eduard Baumöhl (University of Economics in Bratislava)

George Vachadze (City University of New York)

Abstract:

The first chapter of this dissertation carries out a multidimensional investigation of weak-form market efficiency for the stock market indices of the United States, Germany, and five CEE countries during the years following the 2008 Global Financial Crisis. We analyze developments over time in the predictable power and potential profitability of three classes of well known technical trading rules applied to market index prices, sampled at three different frequencies: daily, hourly, and 15-minute. We approach our analysis by testing for true abnormal performance of trading rules using White's Reality Check procedure as well as by evaluating a simple out of sample investment strategy based on ex-post best performing trading rules. We find that, while the developed stock markets of the US and Germany exhibit results strongly consistent with market efficiency at all three sampling frequencies, some evidence of predictable power of technical analysis (consistent with the concept of adaptive efficiency introduced by Lo (2005)) is present for the stock markets of Austria, the Czech Republic, Hungary, Poland, and Slovenia at the two intraday sampling frequencies. However, the results are challenged when we take transaction costs into account. Our proposed comparison of developed and emerging stock markets provides new insights regarding the degree of market efficiency, especially for intraday data and for countries that have experienced a transition to a market economy relatively recently.

The second chapter utilizes trade-level data on WTI crude oil futures contracts during the period 2017 - 2019 to assess the dynamics of market microstructure order flow toxicity around the weekly regular US crude oil inventory levels announcements. We estimate order flow toxicity using the Volume-synchronized Probability of Informed Trading (VPIN) metric devised by Easley, de Prado and O´Hara (2012) and we investigate announcements by two different publishers. We find that this probability metric increases on average by 20% immediately (within seconds) after data publication and the magnitude of this change is positively associated with the degree to which the particular announcement can be regarded as surprising. Moreover, for the report published by the US Department of Energy, we observe 20% smaller average values of daily VPIN profile during the 30 minutes leading up to the publication time, as opposed to the same time of day on non-announcement days.

The third chapter investigates risk contagion dynamics within a set of the four most liquid Eurozone sovereign government bond futures (France, Germany, Italy, and Spain) during the period 2016 - 2020, applying the Diebold and Yilmaz (2014) connectedness framework. We find that the overall system-wide connectedness, as measured by the Total Spillover Index, varies between 30 and 72 percent, representing a moderately interconnected system when compared to other benchmark studies. The connectedness exhibits the tendency to rise sharply following geopolitical or macroeconomic shocks, represented in our sample mainly by the Italian political crisis of 2018 and the Covid-19 outbreak of 2020. Italian government bond futures are the principal spillovers transmitter vis-à-vis the rest of the system, despite the fact that the Italian bond market accounts for a proportionately smaller fraction of the system's aggregate traded volume. While the volatility transmitting role of Italy is predominantly associated with its internal turbulent political development, Germany takes the leading role as the sample's volatility transmitter of major global affairs. We additionally find evidence of a significant association between the degree of a country's directional spillovers transmission and its underlying macroeconomic fundamentals, particularly the changes in the country's debt-to-GDP ratio.

Full Text: "Essays on Information in Financial Markets"