Aktuelle Publikationen
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This paper considers estimation of the regression function and its derivatives in nonparametric regression with fractional time series errors. We focus on investigating the properties of a kernel dependent function V (delta) in the asymptotic variance and finding closed form formula of it, where delta is the long-memory parameter. - General solution of V (delta) for polynomial kernels is given together with a few examples. It is also found, e.g. that the Uniform kernel is no longer the minimum variance one by strongly antipersistent errors and that, for a fourth order kernel, V (delta) at some delta > 0 is clearly smaller than R(K). The results are used to develop a general data-driven algorithm. Data examples illustrate the practical relevance of the approach and the performance of the algorithm.
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(2003): Wertorientierte Unternehmensführung, Residualgewinne und Anreizprobleme FRANCK, Egon, ed. and others. Marktwertorientierte Unternehmensführung : Anreiz- und Kommunikationsaspekte. Düsseldorf; Frankfurt: Verlagsgruppe Handelsblatt, 2003, pp. 51-76. ZfbF : Sonderheft. 50. ISBN 978-3-7754-0198-2
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dc.contributor.author: Pfaff, Dieter
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(2003): Learning Cultures for Apprenticeships : a Comparison of Germany and Australia SEARLE, J., ed. and others. Enriching Learning Cultures : Proceedings of the 11th Annual International Conference on Post-compulsory Education and Training, Vol. 2. Brisbane: Australian Academic Press, 2003, pp. 23-33. ISBN 1-875378-51-0
Vocational education and training (VET) is closely allied to economic directions of countries and is therefore often perceived, and employed, as a tool for reform. Some believe that Australian VET reforms have been heavily borrowed from Germany. Others, however, contend that reforms are so context-specific that transplantation can only be fraught with difficulty and danger. The German VET system is often used as a contrast with other countries, including sometimes Australia. There are contentions that the positive experience with German apprenticeship may assist in the design of similar policies in other countries. Conversely, some authors maintain that Australian concepts and experiences can serve as pilot projects for Germany. They conclude that, in these two countries, many of the problems are similar but policies adopted are somewhat different. The claim could be made that, despite attempts for greater transparency, reforms have made both systems often more confusing and complex. This paper, therefore, contributes to the ongoing analysis of these two reforming VET systems, specifically focusing on the learning cultures for apprenticeships.
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We show in a two-period world with endogenous savings and two assets, one of them exhibiting a stochastic return that an interest adjusted income tax is optimal. This tax leaves a safe component of interest income tax free and taxes the excess return with a special tax rate. There is no trade off between risk allocation and efficiency in intertemporal consumption. Both goals are reached. As the resulting tax system divides income into three parts, the tax can also be called a triple income tax. This distinction and a special tax rate on the excess return is necessary in order to have an optimal risk shifting effect.
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High volatility and enormous international capital flows are negative effects of the globalization of financial markets that can lead to financial crises like those of the 1990s. The Tobin tax often has been put forward as a measure to diminish globalization risks since it is claimed to discourage short-term speculation. The arguments of the proponents of this transactions tax are based on the assumption that (i) short-term trading is destabilizing and speculative and causes the volatility to increase, (ii) the Tobin tax does discourage this speculation and (iii) the Tobin tax causes market participants to orientate more by macroeconomic fundamentals. This paper suggests that these assumptions are quite questionable. Moreover, a Tobin tax of a sensible rate would be too small to protect countries from currency fires and would generate only little monetary autonomy. In addition to theoretical economic doubts there arise some political problems, which can make the tax to become infeasible.
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In der Makroökonomik werden Liquiditätsfallen ohne Mikrofundierung als existent angenommen und die Japan-Krise hat Liquiditätsfallen zum aktuellen Diskussionsthema gemacht. Deshalb wird die Frage der Existenz von Liquiditätsfallen hier portfolio-theoretisch untersucht im Rahmen einer klassischen Mean-Variance-Ansatzes für zwei Assets (Geld und Wertpapiere). Vorausgesetzt wird eine stochastisch inflationäre Anlageumgebung ohne Geldillusion im Anlegerverhalten. Das Resultat ist negativ insofern als Liquiditätsfallen ausgeschlossen werden können, solange die erwartete Ertragsdifferenz der beiden Assets positiv zugunsten des Wertpapiers ausfällt (positiver nomineller Zinssatz auf Wertpapiere). Liquiditätsfallen sind ebenfalls ausgeschlossen, solange das Risiko der Ertragssatzdifferenz eine negative Rolle spielt, d.h. solange das Risiko größer null ist und solange gleichzeitig Risiko-Aversion besteht. Damit eine Liquiditätsfalle existiert muss entweder das Risiko überhaupt fehlen (Standardabweichung von null der Ertragsdifferenz) oder es darf keine Risikoaversion der Anleger geben.
Die in makroökonomischen Lehrbüchern als Liquiditätsfalle bezeichnete Konstellation (flacher Verlauf der Geldnachfragefunktion und positiver nomineller Zinssatz größer null) impliziert aus portfolio-theoretischer Sicht keine Liquiditätsfalle, sondern eine Wertpapierfalle. -
In this paper, the efficiency of human capital investments is evaluated in the light of inadequate educational careers and skill obsolescence. Assuming heterogeneous returns to schooling and overeducation 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 does not differ much from conventional instrumental variable estimates. For skilled and high skilled workers, we find no evidence that the average returns to overeducation are lower than the average returns to required educuation, which differs from the evidence find in most traditional studies. There is evidence for considerable heterogeneity in the expected returns to overeducation. For 20 to 30% of the workers returns seem to be negative. - Appears in: F. Büchel, A. de Grip und A. Mertens (Hrsg.) Overeducation in Europe: Current issues in theory and policy. Cheltenham, UK: Edward Elgar. -
Die Anonymisierung von sensiblen Individualdaten führt zu einem Konflikt zwischen dem Ziel der Minimierung des Reidentifikationsrisikos und der Qualität ökonometrischer Schätzungen. Der durch Anonymisierung bedingte Verlust an Effizienz und/oder der Konsistenz eines Schätzers wirft die grundsätzliche Frage auf, inwieweit anonymisierte Individualdaten überhaupt für die wissenschaftliche Nutzung geeignet sind.
Deshalb gehen wir in dieser Arbeit der Frage nach, welchen Einfluss Anonymisierungsverfahren auf die Eigenschaften von ökonometrischen Schätzern haben. Zunächst untersuchen wir die Auswirkungen gängiger Anonymisierungsverfahren auf lineare ökonometrische Schätzer in endlichen Stichproben. Im zweiten Schritt untersuchen wir, inwieweit sich die Selektionseffekte durch Anonymisierung aufgrund von Data Blanking mit Hilfe von semiparametrischen Verfahren korrigieren lassen. Die quantitative Evidenz beruht auf Monte-Carlo-Simulationen und einer illustrativen Anwendung für einen Querschnitt der Kostenstrukturerhebung. -
(2003): Arbeitsmarkt und Alterssicherung in Deutschland VERBAND DEUTSCHER RENTENVERSICHERUNGSTRÄGER, , ed.. Arbeitsmarkt und Alterssicherung : Jahrestagung 2002 des Forschungsnetzwerkes Altersicherung (FNA), 5. und 6. Dezember 2002 in Dresden. Bad Homburg: WDV, 2003, pp. 20-26. Deutsche Rentenversicherung : DRV-Schriften. 42. ISBN 3-926181-75-3
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(2003): Changing Horses and Hedging Challenges to the world economy. Festschrift for Horst Siebert. Berlin: Springer, 2003, pp. 261-275
This paper analyzes the interaction between switching investments and hedging. First, the paper shows that hedging economic risk is not optimal in a world with financial distress costs. We assume that financial distress costs are a declining convex function in the level of financial reserves. These reserves include the market value of outstanding hedging contracts, but not the future cash flow prospects from real activities of the firm because these are highly uncertain. As consequence, very long-term hedging contracts would protect the firm against economic risk, but generate high expected distress costs because the hedging contracts might have very low, negative values. This explain why firms hedge only for rather short periods of time.
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The O-Ring theory provides a framework to analyse the emergence of firms organized as partnerships. The owner-managers of such entrepreneurial firms can benefit from ability matching within their production teams. However, they must also bear the project risk. Risk-aversion then induces a second-best solution. At the same time, integrated firms managed on behalf of risk-neutral residual-claimants face information and/or enforcement problems. Hence, they cannot organize ability-matched teams. It is shown that there exists an equilibrium such that groups of individuals sharing a superior ability level will found entrepreneurial firms. Low-quality individuals will be employed by managed firms which hire randomly.
The paper constitutes a significantly revised version of the study formerly entitled The Emergence of a New Economy: An O-Ring Approach , Department of Economics, University of Konstanz, Discussion Paper Series I 314. -
In diesem Beitrag wird untersucht, welchen Einfluss die Entlohnung eines Managers mit Fixum und gewinnbezogenem Bonus auf seinen Arbeitseinsatz und seine Bilanzpolitik ausübt. Dazu wird das LEN-Modell auf die gesamte Lebensdauer des Unternehmens erweitert. Die Gewinnmanipulationen müssen sich über die gesamte Lebensdauer zu null addieren. Es zeigt sich, dass der Manager zu hoher Manipulation tendiert, wenn die Wahrscheinlichkeit, einen Bonus zu erzielen, im Zeitablauf stark schwankt. Durch Anpassung der Basiskurse der Bonuszahlungen an die erwarteten Gewinne kann das Manipulationsverhalten deutlich eingeschränkt werden. Einige Schlussfolgerungen für geeignete Entlohnungssysteme werden abgeleitet.
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(2003): Are convertible bonds underpriced? : an analysis of the French market Journal of Banking & Finance. 2003, 27(4), pp. 635-653. ISSN 0378-4266. eISSN 1872-6372. Available under: doi: 10.1016/S0378-4266(01)00256-4
We investigate the pricing of convertible bonds on the French convertible bond market using daily market prices for a period of 18 months. Instead of a firm-value model as used in previous studies, we use a stock-based binomial-tree model with exogenous credit risk that accounts for all important convertible bond specifications and is therefore well suited for pricing convertible bonds. The empirical analysis shows that the theoretical values for the analyzed convertible bonds are on average more than 3% higher than the observed market prices. This result applies to both the standard convertibles and the exchangeable bonds in our sample. The difference between market and model prices is greater for out-of-the-money convertibles than for at- or in-the-money convertibles. A partition of the sample according to maturity indicates that there is a positive relationship between underpricing and maturity with decreasing mispricing for bonds with shorter time to maturity.
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In this paper we develop a dynamic model for integer counts to capture the discreteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the price changes. Since the model is capable of capturing a wide range of discrete price movements it is particularly suited for financial markets where the trading intensity is moderate or low as for most European exchanges. We present the model at work by applying it to transaction data of the Henkel share traded at the Frankfurt stock exchange over a period of 6 months. In particular, we use the model to test some theoretical implications of the market microstructure theory on the relationship between price movements and other marks of the trading process.
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(2003): Die Meister müssen Lehrgeld zahlen : Probleme der formalen beruflichen Bildung in Entwicklungsländern Der Überblick : Zeitschrift für ökumenische Begegnung und internationale Zusammenarbeit. 2003, 39(1), pp. 42-45. ISSN 0343-0553
In vielen Entwicklungsländern soll das deutsche duale System einer parallelen Berufsausbildung in Betrieb und Berufschule kopiert werden. Davon erhofft man sich eine Lösung von sozialen und Arbeitsmarktproblemen sowie einen Impuls für die Wirtschaftsentwicklung. Die Berufsbildungsforschung ist jedoch zu der Erkenntnis gekommen, dass sich das duale Modell kaum auf Entwicklungsländer übertragen lässt.
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(2003): Altersbezogene Rationierung von Gesundheitsleistungen? WILLE, Eberhard, ed.. Rationierung im Gesundheitswesen und ihre Alternativen : Tagungsband des Gesundheitsökonomischen Ausschusses. 1. Auflage. Baden-Baden: Nomos, 2003, pp. 169-193. Gesundheitsökonomische Beiträge. 40. ISBN 3-8329-0378-X
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(2003): Lohnabstandsgebot und Anspruchslohn : zu den Vorschlägen einer Sozialhilfereform Vierteljahrshefte zur Wirtschaftsforschung. 2003, 72(1), pp. 83-93. ISSN 0340-1707. eISSN 1861-1559. Available under: doi: 10.3790/vjh.72.1.83
In dieser Arbeit wird der verbreitete Irrtum korrigiert, die hohe Arbeitslosigkeit unter den Geringqualifizierten werde dadurch verursacht, dass die Höhe der Sozialhilfe einen Anspruchsoder Mindestlohn darstelle. In einem mikroökonomischen Modell des Arbeitsangebots wird gezeigt, wie der Anspruchslohn von den Präferenzen, von der Sozialhilfehöhe und von der Grenzbelastung eines Hinzuverdienstes abhängt. Anschließend werden die Möglichkeiten der Bekämpfung der Arbeitslosigkeit durch eine Reform der Sozialhilfe diskutiert und dieser Reformoption andere Vorschläge wie Lohnsubventionen oder eine Ausweitung der 325-Euro-Grenze gegenübergestellt. Das Hauptergebnis ist, dass die besten Erfolgsaussichten bei einer Senkung des Transferentzugs in der Sozialhilfe liegen – allerdings nur dann, wenn die Tarifvertragsparteien darauf mit einer Senkung der Löhne für Geringqualifizierte reagieren.
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(2003): Multinomial Logit Models for the Austrian Labor Market Austrian Journal of Statistics. 2003, 32(4), pp. 267-282. ISSN 1026-597X. Available under: doi: 10.17713/ajs.v32i4.461
In this paper we analyze the selection of industry branches by employees in the Austrian labor market. For this purpose we use the standard logit model and the heteroscedastic extreme value model. We show that the likelihood ratio test rejects the multinomial logit model in favor of the heteroscedastic specification. Consequently, we concentrate on estimation results of the heteroscedastic extreme value model. In our investigation we use 1997 social security records provided by the Hauptverband der Sozialversicherungen.
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In a simple portfolio choice model of two assets a foreign exchange transactions tax is implemented. We show that the graph in the ¹-¾2- range is still a parabola and delineate its characteristics for altering tax rates. We presumed a risk avers investor seeking to minimize investment risks by international diversification of two uncorrelated assets. The main finding is that setting up a portfolio under the new tax condition leads to a higher transaction volume on international fi- nancial markets. In contrast, the transactions tax has got a stabilizing character when adjusting the portfolio to increased foreign investment risks.
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(2002): "Primary" rationing of health services in ageing societies : a normative analysis International journal of health care finance and economics. 2002, 2(4), pp. 247-264. ISSN 1389-6563. eISSN 1573-6962. Available under: doi: 10.1023/A:1022330000200
While most of the debate on "rationing in health care" focusses on the distribution of scarce medical resources among competing needs, which we propose to call "secondary rationing," this paper is concerned with "primary rationing," i.e., the conscious decision by society to limit the amount of resources devoted to a collectively financed health care system. Based upon a number of transparent normative criteria, we analyze whether primary rationing should be performed and, if so, what type should be chosen (hard vs. soft, explicit vs. implicit). Finally we discuss whether age should be used as a criterion in any systematic attempt at primary rationing of health care.