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Struck, Clemens C.
Preferred name
Struck, Clemens C.
Official Name
Struck, Clemens C.
Research Output
Now showing 1 - 6 of 6
- PublicationTime-Series Momentum: A Monte-Carlo ApproachThis paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time-Series Momentum (TSM). Relying on time-series models, empirical residual distributions and copulas we overcome two key drawbacks of conventional backtesting procedures. We create 10,000 paths of different TSM strategies based on the S&P 500 and a cross-asset class futures portfolio. The simulations reveal a probability distribution which shows that strategies that outperform Buy-and-Hold in-sample using historical backtests may out-of-sample i) exhibit sizeable tail risks ii) underperform or outperform. Our results are robust to using different time-series models, time periods, asset classes, and risk measures.
594 - PublicationSolving Leontief's Paradox with Endogenous Growth Theory(University College Dublin. School of Economics, 2018-11-29)
; ; Theories of international trade have severe difficulties in explaining why, despite i) substantial differences in factor-proportions across industries and ii) considerable cross-country differences in capital-labor ratios, the iii) the evidence for factor-proportions trade is rather weak. We propose a simple explanation of this well known finding: standard trade theories treat important forces such as the distribution of productivity within the economy as exogenous. We argue instead that the productivity allocation is endogenous and counter-balances factor-proportion differentials be- tween countries. Consequently, comparative advantage across countries of different development levels is negligible and this is why the incentives for trade are low.226 - PublicationOn the Interaction of Growth, Trade and International MacroeconomicsStandard economic theories have severe difficulties in simultaneously explaining a number of key aggregate empirical facts: i) there are substantial differences in capital-labor ratios across time ii) despite continuously increasing capital-labor ratios, both factors still earn non-negligible shares in income iii) labor hours per capita are rather stable amid expanding consumption possibilities iv) price levels are higher in more developed countries v) there are no large gains from factor-proportions trade vi) the world trade-to-output ratio increases over time. I argue that standard economic theories ignore the vast improvements in goods quality and new products. I present an augmented standard model that incorporates these features and jointly rationalizes these six empirical facts.
152 - PublicationAutomation, New Technology and Non-Homothetic PreferencesTo rationalize a substantial income share of labor despite progressive task automation over the centuries, we present a simple model in which demand moves along a vertically differentiated production structure toward goods of increasing sophistication. Automation of more sophisticated goods requires capital of increasing quality. Quality capital remains scarce along the growth path. This is why labor keeps up a substantial fraction of income. Real capital, however, that is capital measured in units of the quality of some base year, becomes abundant relative to labor. While our model features an entirely different mechanism, we show that its aggregate representation is the one of a neoclassical growth model with labor-augmenting technical change.
465 - PublicationLabor Market Frictions, Investment and Capital FlowsThe standard neoclassical model predicts that countries with higher productivity growth rates experience sharp increases in investment that are followed by rapid declines. This investment response contrasts with the empirical evidence that suggests a rather hump-shaped investment behavior. In this paper, I present a two-country general equilibrium model that generates hump-shaped investment responses from labor market frictions. In the model, I decompose investment into tradable and non-tradable components and show that an increase in the growth rate of a country results in scarcities of the non-tradable components which raise the relative price of investment goods. These scarcities occur because labor is unable to reallocate quickly between sectors within economies.
363 - PublicationCompeting Gains From TradeDifferences in growth rates across countries imply a strong relation between factor proportions based trade and key aggregate economic outcomes. We construct two macro-trade datasets and illustrate that this relation is rather weak in the data. We propose a simple explanation: in the presence of intra- industry trade, pronounced trade specialization patterns culminate in a loss of varieties. In a dynamic two-country model, we illustrate that the introduction of intra-industry trade overwhelmingly subdues the inter-industry trade dynamics and realigns the behavior of standard models with the empirical evidence along various dimensions. We also provide empirical support for our mechanism: labor and capital intensive goods are traded between developed and developing countries in both directions and in similar proportions in overall trade.
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