Aktuelle Publikationen
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This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics in a rational expectations model. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also, declining elasticity helps to motivate technical analysis and to explain stock market crashes. Moreover, based on a general characterization of the pricing kernel, we propose analytical asset price processes which can be tested empirically. The numerical analysis reveals strong deviations from the geometric Brownian motion which are caused by declining elasticity of the pricing kernel.
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The paper presents univariate and panel unit root tests for gasoline and oil price convergence over the last decade. We test for the absolute versus relative version of the LOOP and estimate the speed of convergence as well as its development over time. Our results show that the absolute version of the LOOP cannot be supported. Constant price differences between countries remain, caused mainly by existing tax differences. The relative version of the LOOP is strongly supported by the data. The speed of convergence increased over time, but differs for gross and net-of-tax prices. We can show that national tax policy by EU member states is not (yet) threatened by arbitrage due to cross-border shopping.
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(2004): Might a Securities Transactions Tax Mitigate Excess Volatility? : Some Evidence From the Literature
International financial markets are said to be excessively volatile due to destabilizing speculation and excessive market volume. Transactions taxes might help. From studying the literature we conclude that there must be an optimal market liquidity, which minimizes excess volatility. There are two effects when imposing a transactions tax. Both reduce excess volatility in highly speculative markets when tax rates are small. The total tax effect then is unambiguous. However, in illiquid markets the tax might raise volatility.
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(2004): Convergence of a high-order compact finite difference scheme for a nonlinear Black-Schools equation
A high-order compact finite difference scheme for a fully nonlinear parabolic differential equation is analyzed. The equation arises in the modeling of option prices in financial markets with transaction costs. It is shown that the finite difference solution converges locally uniformly to the unique viscosity solution of the continuous equation. The proof is based on a careful study of the discretization matrices and on an abstract convergence result due to Barles and Souganides.
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Nachhaltigkeit ist in der wisseschafltichen Diskussion ein umstrittenes Bewertungskriterium. Die vorliegende Arbeit untersucht die Verwendung des Begriffs im Kontext der Umwelt und Rentenpolitik. Dies geschieht für beide Politikfelder im Rahmen eines Modells überlappender Generationen. Als Anknüpfungspunkte einer Nachhaltigkeitsdiskussion ergibt sich zwischen den beiden zunächst disparat wirkenden Politikfelder die demogrphische Entwicklung sowie das gesammtwirtschaftliche Sparverhalten.
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(2004): How to Finance Social Health Insurance : Issues in the German Reform Debate The Geneva papers on risk and insurance theory. 2004, 29(4), pp. 679-688. ISSN 0926-4957. eISSN 1573-6954. Available under: doi: 10.1111/j.1468-0440.2004.00310.x
In view of the rapidly rising contribution rates in the Statutory Health Insurance system and the persistently high unemployment rate, Germany has recently debated radical changes in the mode of health care financing. Among the controversial reform proposals were the possible expansion of mandatory membership to the whole population and the uncoupling of health insurance contributions from wage income. The main arguments in the German debate are presented and discussed. It is shown that there are valid welfare-economic reasons both for universal coverage and income-independent contributions. Moreover, it is demonstrated that the efficiency gains implicit in a transition to flat-rate contributions can be achieved in a distributionally neutral way if the measure is combined with an appropriate reform of the income tax system. Finally, it is shown that the replacement of pay-as-you-go financing by funding within social health insurance, while seemingly increasing the sustainability of the system, may create important additional problems.
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In this paper, human capital investments are evaluated by assuming heterogeneous returns to education. We use the potential outcome approach to measure the causal effect of human capital investments on earnings as a continuous treatment effect. Empirical evidence is based on a sample of West German full-time employed males from the ”BIBB/IAB-Strukturerhebung 1998/99.” Our estimate of the average treatment effect of an additional year of schooling (ATE) amounts to 8.7%, which is quite similar to conventional instrumental variable estimates.
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(2004): Attitudes toward Policy on Ageing : Results of the Population Policy Acceptance Survey in Austria Vienna Yearbook of Population Research. 2004, 2, pp. 155-174. ISSN 1728-4414. eISSN 1728-5305. Available under: doi: 10.1553/populationyearbook2004s155
Like all modern societies Austria is faced with the process of demographic ageing. This paper concentrates on the question of how current policies in the field of old-age provision are being viewed and how Austrians envisage this issue for the future. Departing from an assessment of population ageing, results will be presented for the following topics: • Attitudes towards the state's obligations and responsibilities in the field of social policies; • Attitudes towards the future design of the pension system; • Attitudes towards the transition into retirement and • Preferences concerning the retirement age. The findings ultimately raise the central question of how, in view of the known economic and demographic conditions, employment and social policy can be better integrated in order to allow older employees to remain part of the workforce for a longer time.
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We consider a quasilinear parabolic equation with quadratic gradient terms. It arises in the modelling of an optimal portfolio which maximizes the expected utility from terminal wealth in incomplete markets consisting of risky assets and non-tradable state variables. The existence of solutions is shown by extending the monotonicity method of Frehse. Furthermore, we prove the uniqueness of weak solutions under a smallness condition on the derivatives of the covariance matrices with respect to the solution. The in uence of the non-tradable state variables on the optimal value function is illustrated by a numerical example.
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(2004): A new model of equilibrium involuntary unemployment Economic Theory. 2004, 23(3), pp. 507-527. Available under: doi: 10.1007/s00199-003-0391-2
We show that equilibrium involuntary unemployment emerges in a multi-stage game model where all market power resides with firms, on both the labour and the output market. Firms decide wages, employment, output and prices, and under constant returns there exists a continuum of subgame perfect Nash equilibria involving unemployment and positive profits. A firm does not undercut the equilibrium wage since then high wage firms would attract its workers, thus forcing the undercutting firm out of both markets. Full employment equilibria are payoff dominated by unemployment equilibria, and the arguments are robust to decreasing returns.
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Zweck dieses Beitrags ist es, mehrperiodige Modelle für ein Exportunternehmen zu untersuchen, in denen sich eine einfache Export- und Absicherungspolitik als optimal erweist.
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The Stability and Growth Pact (SGP) has attracted much attention since the idea was first suggested by German Finance Minister, Mr. Waigel, in late 1995. Naturally, there is not an unanimous view on the Pact: for some it is an unnecessary restriction; for others the Pact is necessary but requires further development and strengthening; finally there are those who consider that the SGP sets wrong objectives and, thus, while fiscal rules are necessary, must be replaced by some other arrangements. The discussion on the rationale of fiscal rules in a monetary union goes beyond this work. That is, the analysis in this work will be built upon the general consensus on the necessity of fiscal restrictions in the context of a multinational unification with the common currency. In the focus of the work stands the design of the Pact. Unanimously adopted in December 1996, the rules of the SGP caused substantial doubts already several years later. The first violations of the Pact took place already in the third year of its operation. The most astonishing is the fact that the country, which was the initiator of the Pact, has violated it among the first ones and called its credibility into question. This has led to intensive debates on the numeral rules of the Pact and its implementation which is said to be inadequate. Whence, the purpose of this work is to trace the operation of the SGP starting with its introduction and up to today, with the objective to find out what have caused the breach of the rules. The work attempts to answer the question, whether the SGP has properly fulfilled its role, that is, whether it proved to be an efficient mechanism for enforcing fiscal discipline.
Aiming to provide a thorough and impartial answer to the posed question, the approach of detailed investigation of diverse studies and points of view is chosen in this work. When assessing the recent developments in the euro-area, the publications of the European Commission are chosen as probably most independent source of information. However, also the data stemming from the Commission is confronted with other views and studies. It is important to note that the results of the following investigation do not claim to give a precise answer to a question, but rather are a useful lead for further studies and debates.
The work is organised as follows. In order to lay a good foundation for an assessment of the events around the SGP, the origin and the incentives to adopt the Pact are recalled in chapter 2. The description of the final version of the SGP in chapter 3 gives an insight into its structure, procedures and objectives. Having gained fundamental understanding on the backgrounds of the SGP, one can proceed to the assessment of the operation of the Pact. How have member states implemented the SGP and performed in its context? Had the new fiscal framework any influence on their budgetary choices? Have the enforcement mechanisms of the Pact properly functioned? Investigation of these questions, presented in chapter 4, reveals a number of shortcomings both in the rules of the Pact and in its implementation. However, the experience gained during the operation of the SGP has showed the possible directions for its further strengthening. The debate on the budgetary surveillance framework and its development are assessed in chapter 5. The issues concerning the conduct of fiscal policy in EMU are discussed in chapter 6. Chapter 7 introduces two courses of further possible development of the Pact: the first one, chosen by the EU institutions, and the other one, suggested by diverse academicians and policy-makers; with the objective to assess merits and disadvantages of both. Final considerations and conclusions are presented in chapter 8, supplemented by several recommendations on further treatment of the subject, which are based on the investigation carried out in the work. -
Based on a large cross-section of developing and developed countries, this paper investigates the nexus between globalisation and four labour standards: freedom of association and the right to bargain collectively (FACB), freedom from forced labour (FL), abolition of child labour (CL) and non-discrimination (D). The question of central interest is whether trade and foreign investment affect the level of the four labour standards. FACB and FL are measured by newly constructed indices that emphasize de facto government compliance. Openness is measured by various trade and FDI indicators, which range from highly aggregated to highly disaggregated ones. The empirical results suggest that trade and foreign investment are in general associated with stricter labour standards. Special government initiatives which stimulate exports and FDI do, however, have an adverse effect on labour standards, and particularly, on FACB.
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This paper presents a comprehensive view of life-time taxation including both explicit taxation through the general tax system and implicit taxation via the retirement benefit formula. Individuals are heterogeneous with respect to productivity. It is shown that the optimal structure of age-dependent taxation can be characterized by a generalized Ramsey formula. Furthermore, the paper derives the optimal retirement benefit formula in the presence of the general tax system.
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(2004): Organisation und didaktische Ausrichtung des Praxissemesters im Rahmen des Diplomstudiengangs Wirtschaftspädagogik an der Universität Konstanz BACKES-HAASE, Alfons, ed., Helmut FROMMER, ed.. Theorie-Praxis-Verzahnung in der beruflichen und gymnasialen Lehrerbildung : das neu eingeführte Praxissemester. Baltmannsweiler: Schneider Verlag Hohengehren, 2004, pp. 88-105. Diskussion Berufsbildung. 6. ISBN 3-89676-816-6
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dc.contributor.author: Kremer, H.-Hugo
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Using the Qualification and Career Survey , a rich German data set with information on 0.1 percent of all individuals employed in Germany in 1998/1999, we calculate the earnings effect of training for different types of employees in the personal services sector. Interacting training with all explanatory variables in the earnings equation allows us to calculate heterogeneous training returns for employees and firms with different characteristics and to estimate an unbiased average treatment effect. The correction for selection into training by using supply-side changes as external instruments leads to a decrease in the training coefficient in the personal services sector, while the coefficient increases in the entire economy. A further comparison of the results for the personal services sector with those for the entire economy reveals that, on average, employees in personal services gain less from participation in training.
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The first public share issue in the PRC took place in 1994. By the early 21st century, in the space of less than two decades, the Chinese stock market has become the largest one in Asia, with the exception of Japan. Along with this rapid enlargement of the market, the Chinese stock trading regulation system has experienced a process of continuous improvement. A national centralized stock trading regulatory system has been set up, and many securities laws and regulations have been published.
In the first part of this thesis, a brief introduction will be provided in order to give the reader an overview of the current state of the Chinese stock market and its regulatory system. In particular, some concepts which only exist in the Chinese stock market will be clarified. After that, the three main themes of this thesis will be presented.
The first intention is to introduce the history of the development of Chinese stock trading regulations and their enforcement measures. This is mainly, but not only, dealt with in Chapter two where the whole history is divided into three periods and the most distinctive features in each period are introduced respectively. Apart from that, the development of some specific regulations is covered in the other chapters.
The second goal is to present a detailed picture of the stock trading regulatory system in its current form. This is covered in the next two chapters. Detailed regulations will be discussed in Chapter three, which considers several different areas in stock trading. Key incidents in the development of the regulations are also introduced in this chapter. After that, the practical enforcement of the regulations is discussed in Chapter four.
Although the Chinese stock market has made great strides, we need to keep in mind that it is still a primitive market, and these achievements are still embedded within the framework of a transition economy. So my third aim, presented in Chapter five, is to point out some problems with the Chinese stock trading regulatory system and suggest some potential solutions. Instead of covering all the problems that the system has, this chapter will concentrate on where the difference between the Chinese stock market and more sophisticated stock markets lies, in the hope of helping the former to better prepare for the rigors of exposure to the international financial markets. -
Many European universities face demands to provide excellent education and to enrol more students at the same time. With scarce financial resources policy makers concentrate on regulations (especially admission policies, tuition fees, and the introduction of competition) to meet the different objectives. This paper analyses the curriculum choices of universities in different regulatory regimes. Universities benefit from the value of the human capital of their graduates. Students are risk-averse. They differ with respect to ability. The deregulation of tuition fees sets an incentive for universities to account for students' preferences. Complete deregulation induces a hierarchical stratification of ex-ante identical universities.
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(2004): Finanzplanung: Neue Wege und Bedeutungswandel GERKE, W., ed., Th. SIEGERT, ed.. Aktuelle Herausforderungen des Finanzmanagements. Stuttgart, 2004, pp. 31-50
Der intensive Wettbewerb zwischen den Banke in Deutschland hat zu sehr attraktiven Kreditkonditionen für die Kreditnehmer geführt. Es überrascht daher nicht, wenn deutsche Unternehmen ihre Fremdfinanzierung weitgehend über Bankkredite abwickeln, wenig Gebrauch von Schuldverschreibungen machen sowie niedrige Eigenkapitalquoten ausweisen.
Diese für Kreditnehmer komfortable Situation wird sich zu ihren Ungunsten ändern. Dies ist bereits beobachtbar. Die Anreize, andere Finanzierungsinstrumente stärker zu nutzen, werden zunehmen. Hier bieten sich einerseits neuartige Möglichkeiten, Aktiva über Asset Backed Securities- und Credit Linked Notes-Transaktionen zu veräußern. Soweit es einem Unternehmen gelingt, Teile zukünftiger Einzahlungsströme klar voneinander zu trennen, können solche Teile ebenfalls veräußert werden. Damit werden nicht nur Risiken auf mehr Schultern verteile, sondern auch die Kapitalstruktur wird verbessert. Credit Default Swaps bieten neuartige Möglichkeiten, Ausfallrisiken eigener Forderungen abzusichern und das Ausfallrisiko eigener Verbindlichkeiten zu senken.