Econometrics, Statistics and Empirical Economics

Assistant Professor

Dr. Jantje Sönksen

Sigwartstr. 18

72076 Tübingen

Erdgeschoss (first floor)

Phone: +49 (0)7071 - 29 - 7 25 70

Fax: +49 (0)7071 - 29 - 5546

E-Mail: jantje.soenksen(at)uni-tuebingen.de

Research

  • Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach
    with Joachim Grammig (2021)
    Journal of Econometrics, 222 (1, Part C), 805-832.
    https://doi.org/10.1016/j.jeconom.2020.08.001
    Abstract: We propose a simulation-based strategy to estimate and empirically assess a class of asset pricing models that account for rare but severe consumption contractions that can extend over multiple periods. Our approach expands the scope of prevalent calibration studies and tackles the inherent sample selection problem associated with measuring the effect of rare disaster risk on asset prices. An analysis based on postwar U.S. and historical multi-country panel data yields estimates of investor preference parameters that are economically plausible and robust with respect to alternative specifications. The estimated model withstands tests of validity; the model-implied key financial indicators and timing premium all have reasonable magnitudes. These findings suggest that the rare disaster hypothesis can help restore the nexus between the real economy and financial markets when allowing for multi-period disaster events. Our methodological contribution is a new econometric framework for empirical asset pricing with rare disaster risk.
     
  • Estimating the SARS-CoV-2 Infection Fatality Rate in Germany: An Econometric Approach
    with Ingo Bechmann, Thomas Dimpfl, and Joachim Grammig (2021)
    conditionally accepted at The Econometrics Journal
    https://doi.org/10.1101/2021.01.26.21250507
    Abstract: Assessing the infection fatality rate (IFR) of SARS-CoV-2 is a controversial issue. Due to asymptomatic or mild courses of COVID-19, many infections remain undetected. Reported case fatality rates are therefore poor estimates of the IFR. We propose a novel econometric strategy to estimate the IFR of SARS-CoV-2 in Germany that combines official data on reported cases and fatalities with data from seroepidemiological studies in two infection hotspots. We obtain an estimate of the IFR of wild-type SARS-CoV-2 of 0.83% (95% CI: [0.69%; 0.98%]) which is notably higher than the one reported in the influential Gangelt study by Streeck et al. (2020) (0.36% [0.17%;0.77%]), but closer to the IFR estimate based on a world-wide meta-analysis (0.68% [0.53%; 0.82%]), where the difference can be explained by Germany’s disadvantageous age structure. Due to virus mutations, vaccination campaigns, and improved therapy, a re-estimation of the IFR will eventually be mandated; the proposed method is able to account for such developments.
     
  • Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia
    with Constantin Hanenberg, Joachim Grammig, and Christian Schlag (2021)
    http://dx.doi.org/10.2139/ssrn.3536835
    presented at the Econometric Society World Congress (2020) and annual meetings of the Society for Financial Econometrics (SoFiE; 2021) and the European Finance Association (EFA; 2021)
    Abstract: We assess financial theory-based and machine learning methods to quantify stock risk premia and investigate the potential of hybrid strategies by comparing the quality of the respective excess return forecasts. In the low signal-to-noise environment of a one-month investment horizon, we recommend to rely on a theory-based strategy that exploits the information in current option prices, especially if the risk premium estimate is to be updated at a high frequency. At the one-year horizon, a random forest can improve on the theory-based method, provided that a sufficiently long training period is used. In an effort to connect the opposing philosophies, we identify the use of a random forest to account for the approximation errors of the theory-based approach towards measuring stock risk premia as a promising hybrid strategy. It combines the advantages of two diverging roads in the finance world.
     
  • Non-Standard Errors
    with Albert Menkveld,  Anna Dreber, Felix Holzmeister, Jürgen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel et al. (2021)
    http://dx.doi.org/10.2139/ssrn.3961574
    Abstract: In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in sample estimates of population parameters. In science, evidence is generated to test hypotheses in an evidence-generating process (EGP). We claim that EGP variation across researchers adds uncertainty: non-standard errors. To study them, we let 164 teams test six hypotheses on the same sample. We find that non-standard errors are sizeable, on par with standard errors. Their size (i) co-varies only weakly with team merits, reproducibility, or peer rating, (ii) declines significantly after peer-feedback, and (iii) is underestimated by participants.