Topics for Theses in Econometrics

Climate Change

The effect of climate change on economic growth

Short description: The task is to investigate vulnerability to climate change and willingness to adapt to changes induced by climate change as determinants of economic growth. For the empirical analysis, students may use data provided by the Notre Dame Global Adaptation Initiative (ND-GAIN).
Relevant literature:

Barro, R.J. (2003). Determinants of economic growth in a panel of countries. Annals of Economics and Finance 4, 231-274.
Dell, M., B.F. Jones and B.A. Olken (2012). Temperature shocks and economic growth: Evidence from the last half century. American Economic Journal 4(3), 66-95.

Bachelor or Master Thesis

The role of climate change vulnerability in credit markets

Short description: Besides its effect on the real economy, vulnerability to climate change may also have an impact on financial markets. The scope of this thesis is to examine the effect of climate change vulnerability on FDI flows and foreign bank participation using a large panel of countries.
Relevant literature:

Beirne, J., N. Renzhi, and U. Volz (2021). Feeling the heat: Climate risks and the cost of sovereign borrowing. International Review of Economics & Finance 76, 920–936.

Master Thesis

The impact of financial development on volatility of aggregate growth

Short description: While there exists a large body of evidence on the effect of financial development on growth volatility, most works do not cover the period of and after the financial crisis 2008-09. The aim of this thesis is to replicate existing research on determinants of growth volatility using up-to-date country-level data.
Relevant literature:

Denizer, C. A., M. F. Iyigun, and A. Owen (2002). Finance and macroeconomic volatility. Contributions to Macroeconomics 2(1), Article 7.
Kose, M. A., E. S. Prasad, and M. E. Terrones (2003). Financial integration and macroeconomic volatility. IMF Staffpapers 50(1), 119–142.

Bachelor or Master Thesis

Risk Forecasting

Copula-based multivariate GARCH models: A replication of Lee and Long (2009) unveiling dependencies between NASDAQ 100 and Gold returns

Short description: Die Aufgabe besteht darin, Mittels des „BEKKs“ R-Paketes von (Fülle et.al., 2022) eine zwei-Schritt Schätzung durchzuführen. Dabei sollen verschiedene Copulas getestet werden.
Relevant literature:

https://econpapers.repec.org/RePEc:eee:econom:v:150:y:2009:i:2:p:207-218

Comparing different MGARCH models with respect to risk forecasting: A three-dimensional replication of Ohrhan and Köksal (2011)

Short description: Die Aufgabe besteht darin, den Value-at-Risk (VaR) und Expected-Shortfall (ES) für verschiede BEKK(1,1,1) Modelle mittels eines Backtestings zu vergleichen. Dabei sollen verschiedene Portfoliozusammensetzungen aus Bitcoin, Gold und S&P 500 untersucht werden. Für die Schätzung soll das „BEKKs“ R-Paketes von (Fülle et.al., 2022) benutzt werden. Für das Backtesting sind die Arbeiten von (Christoffersen, 1998) und (Du and Escanciano, 2015) als Grundlage vorgesehen.
Relevant literature:

Ohrhan and Köksal (2011) :https://doi.org/10.1016/j.eswa.2011.09.048
Christoffersen (1998) : https://doi.org/10.2307/2527341
Du and Escanciano (2015): https://dx.doi.org/10.2139/ssrn.2548544

Meta Research in Economics

Do reporting errors affect the statements of articles in economics?

Short description: Reporting errors occur if the eye-catcher that depicts the level of statistical significance is inconsistent with the reported statistical values. These errors may affect the statement of an article. The scope of this thesis is to examine the articles of the top 50 economic journals with the highest share of reporting errors among their statistical tests manually and give a first indication about the severity of reporting errors. Conclusions if reporting errors occur more in a single variable or for a single model can be drawn. Data is already available and will be provided.
Bachelor or Master Thesis

Analysis of the rise of Bayesian methods in economics

Short description: The usage of Bayesian methods in economics is on the rise. Using special keyword searches the aim is to detect trends in time. Additionally, these methods can be analysed for statistical accuracy in comparison to the statistical accuracy of frequentist approaches (e. g. reporting errors). Data is already available and will be provided.
Master Thesis

How effective are journal policies concerning open data and code?

Short description: Many journals require the authors to publish their data and code. In a first step, one has to develop a method for checking if the authors shared their data and code for real. To meet this end either regular expressions or web scraping might be useful. In a second step the implications for publication bias have to be analysed by drawing counterfactual p-distributions. Assuming that there is less p-hacking among authors who publish their data and code this allows to separate publication bias and p-hacking at least rudimentarily. Data is already available and will be provided.
Bachelor or Master Thesis

Diligence in economics papers

Short description: Reporting errors occur if the eye-catcher that depicts the level of statistical significance is inconsistent with the reported statistical values. Their occurrence might indicate a lack of diligence. This thesis aims to check to what extent reporting errors occur e. g. because of transposed digits or in articles where the authors use only a few decimal places or just very few words in the table notes. Data is already available and will be provided.
Bachelor or Master Thesis

Analysis of the research landscape in economics using text-mining

Short description: Regular expression and other text-mining techniques allow us to examine trends in the research landscape in economics, e. g. the usage of pre-analysis plans or the increase of observations. To meet this end a newly developed tool called DORIS can be used and also be extended. Data is already available and will be provided.
Master Thesis

Selective reporting in economics

Short description: There is increasing evidence that at least some of the published results in economics are subject to selective reporting. By using Caliper tests on the published t-values, indications of p-hacking can be unravelled. Additionally, these tests shall be embedded in a regression framework in order to analyse the effect of potential covariates. Lastly, a difference-in-difference design shall give hints about the impact of open data and code policies by the journals on selective reporting. Data is already available and will be provided.
Master Thesis

Consumer Prices

Regional price indices in Germany and their determinants

Short description: Germany is lacking official statistics for regional prices. The Federal Statistical Office of Germany recently obtained scanner data from the most important retailers that can be used for calculating regional price indices. In a next step the most important drivers for regional price imparities are determined. Data is already available and will be provided.
Bachelor or Master Thesis

Seasonal goods in the consumer price statistics

Short description: The price change of seasonal goods, e. g. pumpkins or melons, is difficult to measure due to the lack of availability in certain months. The Federal Statistical Office of Germany recently obtained scanner data from the most important retailers that offer new possibilities to measure the price change of seasonal goods. In a first step, literature about the possible calculation methods shall be gathered. In a second step, these methods shall be used to calculate price indices for seasonal goods. Data is already available and will be provided.
Bachelor or Master Thesis

How to measure the quality of a price index for transaction data?

Short description: The Federal Statistical Office of Germany recently obtained scanner data from the most important retailers that offer new possibilities to measure consumer prices. Although there are some decent price index calculation methods, it is difficult to measure the quality of each method and to compare them. In a first step, literature about the possible calculation methods shall be gathered. In a second step, these methods shall be used to calculate price indices. In a third step, a measurement for the quality of these indices shall be implemented and applied. Data is already available and will be provided.
Master Thesis

How severe are misclassifications in the measurement of the consumer prices?

Short description: In the measurement of the consumer price index in Germany each article that is observed has to be classified according to the COICOP. The research question is to check the severity of misclassifications related to the overall consumer price index. This has to be checked practically for the current, traditional method following a Laspeyres index but also theoretically for the future methods based on scanner data using multilateral methods, e. g. the GEKS. Data is already available and will be provided.
Master Thesis

How good is the measurement of the consumer prices in Germany?

Short description: The consumer price index is one of the most important economic indicators in Germany which is produced in a joint work between the Federal Statistical Office of Germany and the State Statistical Offices. In order to guarantee a high quality there are certain requirements that have to be met, e. g. the variety of goods or the variety of regional dispersion. In this work, the task is to take a closer look at the calculation and check if the requirements are met or if there is potential for improvement. Data is already available and will be provided.
Bachelor or Master Thesis

Hierarchical classification using machine learning: An application in the measurement of German consumer prices

Short description: Price data collected by the Federal Statistical Office of Germany has to be classified to the COICOP. Currently, this is done using machine learning. As the COICOP is hierarchical there is room for improvements of the algorithms. This thesis aims to increase the accuracy and the macro F1 score of the classification. Data is already available and will be provided.
Master Thesis

Unsupervised machine learning: An application in the measurement of German consumer prices

Balancing imbalanced data in the context of machine learning: An application in the measurement of German consumer prices

Short description: Price data collected by the Federal Statistical Office of Germany has to be classified to the COICOP. Currently, this is done using supervised machine learning. Nonetheless, the data is imbalanced in the sense that for some COICOP classes only a few observations can be used for training the algorithms. This thesis aims to increase the accuracy and the macro F1 score of the classification by expanding the training data synthetically. Data is already available and will be provided.
Master Thesis

Feature Engineering: Generating input data for machine learning with an application in the measurement of German consumer prices

Short description: Price data collected by the Federal Statistical Office of Germany has to be classified to the COICOP. Currently, this is done using supervised machine learning. However, the input data is limited due to the information provided by the retailers. This thesis aims to increase the accuracy and the macro F1 score of the classification by generating new input data. This can be done using text-mining techniques onto the article description or by merging metadata that are obtained via scraping or additional data bases. Initial data is already available and will be provided.
Master Thesis

Feature Selection using PCA: An application in the measurement of German consumer prices

Short description: Price data collected by the Federal Statistical Office of Germany has to be classified to the COICOP. Currently, this is done using supervised machine learning. However, there might be room for improvement using a principle component analysis (PCA) instead. This thesis aims to increase the accuracy and the macro F1 score of the classification. Data is already available and will be provided.
Bachelor or Master Thesis

Economics and Policy

The long-run determinants of public investment in OECD countries from 1960 to 2019. Evidences from a panel VECM

Short description: Replikation der VECM Ergebnisse von Välilä, Mehrotra (2006) Public Investment in Europe - Evolution and Determinants in Perspective, welche zu einer Panelanalyse erweitert werden könnte. Die Daten können zur Verfügung gestellt werden.
Bachelor or Master Thesis

Do disarmament agreements matter in an anarchic world? Evidences from a Structural VAR approach

Short description: Replikation von Abu-Qarn, Bader (2009) On the dynamics of the Israeli–Arab arms race, die durch Daten-basierte Identifikation von SVAR erweitert werden könnte.
Bachelor or Master Thesis

Democracies in times of economic crises. An SVAR analysis of the structural effects on the quality of democracies

Short description: Bei dem Thema geht es zunächst es darum, mit (1) bivariaten VAR den Zusammenhang zwischen "ökonomischen Wachstum" und dem Index "Qualität von liberalen Demokratien" zu modellieren und dann mit (2) Cholesky oder ICA ökonomische Schocks zu identifizieren. Ökonomische Krisen könnten der Hypothese nach einen negativen Effekt auf die Demokratie-Qualität haben, so wie es die mediterranen EU-Länder nach 2010 vermuten lassen. Die Index-Daten dazu sind ganz aktuell vom V-Dem Projekt (https://www.v-dem.net/data.html) zusammengestellt und momentan eine beliebte Grundlage in der Politikwissenschaft.
Relevant literature:

Morlino, Quarantana (2016) What is the impact of the economic crisis on democracy? Evidence from Europe.

Bachelor or Master Thesis

News, Technology and Economic Fluctuations

Short description: High-frequency changes in financial assets identified within a tight window around monetary policy announcements have been shown to carry relevant information for monetary policy shocks. While they are often treated as market-based shock measures and used as instruments for identification purposes, a growing body of literature raises concerns about the multi-dimensionality regarding the informational content of these instruments (see e.g. Nakamura and Steinsson, 2018, QJE; Miranda-Agrippino and Ricco, 2021, AEJ:Macro; Jarocinski and Karadi, 2020, AEJ:Macro; Cieslakand Schrimpf, 2019, JIE). The objective of the thesis is to uncover the structural factors embedded in policy announcements of the European Central Bank and exploit their macroeconomic implications. The student is expected to partially replicate the result in Altavilla et al. (2019, JME).
Relevant literature:

Beaudry and Portier (2006, AER), Herwartz (2019, JAE), Hafner, Herwartz and Wang (2023), Forni, Gambetti, Lippi and Sala (2017, AEJ:Macro), Barsky and Sims (2011, JME)

Bachelor Thesis

Uncertainty in the Euro Area

Measuring Uncertainty in the Euro Area

Short description: The financial crisis, the sovereign debt crisis, the recent pandemic, and perhaps the upcoming energy and food crisis have led to a renewed interest in the possible relationship between time-varying economic uncertainty, business cycle fluctuations, and monetary policy conduct. An important step to answer this question is to empirically quantify the uncertainty, which is an unobservable second-order statistic by its nature. The objective of the thesis is to exploit a data-rich environment to construct a measure of uncertainty in the Euro area. The student is expected to replicate the study of Mumtaz and Theodoridis (2018) -- based on either the original or a reasonably modified version of their model specification -- for the Euro area.
Relevant literature:

Jurado, Ludvigson and Ng (2015, AER), Mumtaz and Theodoridis (2018, JBES; 2020, JME)

Master Thesis

Decomposing Monetary Policy Announcement Surprises

Altavilla, Brugnolini, Gürkaynak, Motto and Ragusa (2019, JME), Swanson (2021, JME)

Bachelor Thesis