Publications

Asset price processes are completely described by information processes and investors´ preferences. In this paper we derive the relationship between the process of investors´ expectations of the terminal stock price and asset prices in a general continuous time pricing kernel framework. To derive the asset price process we make use of the modern technique of forward-backward stochastic differential equations. With this approach it is possible to show the driving factors for stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that stylized facts that look at first hand like financial market anomalies may be explained by an information process with stochastic volatility.

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dc.contributor.author: Hettich, Frank; Schmidt, Carsten

We study the importance of conditional cooperation in a one-shot public goods game by using a variant of the strategy-method. We find that a third of the subjects can be classified as free riders, whereas 50 percent are conditional cooperators.

It is a widely acknowledged result of the literature on capital tax competition that underprovision of public goods can only be avoided if tax coordination between governments is intensive and residence-based capital taxation can be enforced. In this paper we use a model where commodity and factor taxes are available and we show that governments competing for tax bases will choose a globally efficient tax structure. In contrast to previous conclusions, we also show that the availability of a destination-based commodity tax or a labor tax is necessary to mitigate the problem of inefficient Nash equilibria and thus reduces the necessity of supranational tax harmonization or coordination.

In this paper a robust data-driven procedure for decomposing seasonal time series based on a generalized Berlin Method (BV, Berliner Verfahren) as proposed by Heiler and Michels (1994) is discussed. The basic robust algorithm used here is an adaptation of the LOWESS (LOcally Weighted Scatterplot Smoothing) procedure (Cleveland, 1979). For selecting the optimal bandwidth the simple double smoothing rule (Heiler and Feng, 1999) is used. The optimal order of the local polynomial is selected with a BIC criterion. The proposed procedure is applied to the macroeconomic time series used in the recent empirical studies carried out by the German Federal Statistical Office (Speth, 1994 and Höpfner, 1998).

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This paper studies non-cooperative commodity taxation in a trade model with im-perfect competition and trade costs. Nationally optimal tax policy simultaneously tries to correct the domestic distortion from imperfect competition and to shift rents to the home country. Importantly, this trade-o® depends qualitatively on the inter-national commodity tax regime in operation. For low levels of trade costs, we show that production-based commodity taxes dominate from a global welfare perspective, but this ranking is reversed in favor of consumption-based taxation when trade costs become suffciently high.

This paper puts a focus on the hazard function of inter-trade durations
to characterize the intraday trading process.
It sheds light on the time varying trade intensity and, thus, on the
liquidity of an asset and the information channels which propagate price
signals among asymmetrically informed market participants. We show,
based on an exogenous information process, that the way traders
aggregate information has implications for the shape of the hazard
function.
We use a semiparametric proportional hazard model which is augmented by
an ARMA structure very similar to the wide spread ACD model to obtain
consistent estimates of the baseline survivor function and to capture
well known serial dependencies in the trade intensity process. >From an inspection of conditional transaction probabilities based on
Bund future transaction data of the DTB we find a decreasing hazard
shape providing evidence for the use of non-trading intervals as an
indication for the absence of price information among market
participants. However, this information content seems to be diluted by a
high liquidity base level, particularly with respect to a large inflow
of potential traders from the U.S.

Furthermore, we provide evidence that past sequences of prices and
volumes have a significant impact on the trading intensity in accordance
with theoretical models.

Der Gesetzgeber läßt im Handelsgesetzbuch (HGB) zahlreiche mathe- matisch-statistische Stichprobenverfahren zur Inventur zu. Die dort vor- geschriebenen Richtlinien finden auch in anderen Sparten der Wirtschafts- prüfung bei statistischen Hochrechnungen Verwendung. Eigentümliche Vorstellungen existieren in der Wirtschaftsprüfung darüber, wie eine ein- fache Zufallsstichprobe gezogen werden sollte. Anhand eines konkreten Beispiels wird die Verzerrung des Ergebnisses bei falscher Stichproben- ziehung dargelegt.

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