Latest Publications
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The extraordinary height of the U.S. current account deficits in the 90s
gave rise to concern, a variety of papers and political recommendations
revealing the very contrary opinions of economists on the subject.
From this alarming evolution, the question of sustainability of such a large
indebtedness arises.
Are the U.S. already bankrupt?
If not, what is the ultimate level of its foreign debt?
As a starting point, the variety of meanings of the term `sustainability'
are consolidated to a consistent definition.
Introducing terminology and reviewing the basic principles of balance
of payments accounting, the evolution of the U.S. balance of payments
and international debt is presented in numbers. The models of the central parts of the text
emphasise the importance of understanding the current account as an
intertemporal phenomenon.
The `real' perspective is presented in the baseline representative agent
and overlapping generations macro-models whereas the monetary perspective
is exposed in a portfolio balance approach.
These models are confronted with IMF statistics and checked for
plausibility of their implications.
As the very crucial point for the U.S. case, the
significance of the dollar standard of international financial markets
is discussed
thereafter.
Finally, a detailed breakdown of the income account reveals surprising
insights on the quality of U.S. agents' investment decisions.
The overall result is striking: Although the debt-to-GDP ratio is
approaching its 5 per cent red-mark, there are no effects observable
in fundamental variables indicating bankruptcy or un-sustainability of
the U.S. international debt.
On the contrary - for monetary reasons, the U.S. will be able to run
a significant higher level of external debt and models in conjunction
with data suggest that the U.S. is approaching a long-run
debt-to-GDP steady state. In these results, the author acknowledges the
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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. -
(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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Aufbauend auf der Hypothese, dass Arbeitsmärkte durch unvollständige Information charakterisiert sind, werden in diesem Arbeitspapier neuere Entwicklungen innerhalb eines Zweiges informationsökonomischer Ansätze vorgestellt: der Suchtheorie. Dabei werden ausführlich insbesondere jene Ansätze vorgestellt, explizit der vermuteten Heterogenität der beiden Marktseiten, Firmen und Arbeitnehmer, Rechnung tragen. Standardergebnisse traditioneller ökonomischer Theorie sind im Lichte informationsökonomischer Ansätze oft nicht haltbar. Deshalb soll in diesem Arbeitspapier insbesondere der Fragestellung nachgegangen werden, ob das Resultat der klassischen Arbeitsmarkttheorie, dass gewerkschaftliche Lohnbeeinflussung zu höherer Arbeitslosigkeit führt, im Kontext der Suchtheorie valide ist. Auf dem Weg hin zu einer empirisch gültigen Theorie des Arbeitsmarktes stellt insbesondere ein Ansatz, der beidseitig heterogene Akteure erlaubt, einen wichtigen Beitrag dar. Theoretische Ergebnisse hinsichtlich der Wirkungen gewerkschaftlicher Lohnbeeinflussung sind gemischt. Das Arbeitspapier findet keinen eindeutigen theoretischen Zusammenhang zwischen gewerkschaftlicher Verhandlungsmacht und Arbeitslosigkeit.
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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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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. -
(2003): The causal effect of overqualification on earnings : evidence from a Bayesian approach BÜCHEL, Felix, ed., Andries DE GRIP, ed., Antje MERTENS, ed.. Overeducation in Europe : current issues in theory and policy : [selected and revised papers from the International Conference ' Overeducation in Europe : What Do We Know? ' at the Max Planck Institute for Human Development, Berlin (MPIB), on 22 - 23 November 2002. Northampton [u.a.]: E. Elgar, 2003, pp. 93-108. ISBN 1-84376-361-3
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dc.contributor.author: Jochmann, Markus
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(2003): Wissenschaftliche Evaluation des Übungsfirmenkonzepts in Baden-Württemberg : Skizzierung des Forschungsvorhabens Wirtschaft Plus : Magazin für Wirtschaft und Bildung. 2003(1), pp. 5-8. ISSN 1617-4151
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dc.contributor.author: Ruf, Michael
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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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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. -
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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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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(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 current analysis introduces human capital investments which as all other investment projects must be carried out given ex-ante uncertain returns. This return uncertainty reflects that particular ex-post ability realizations may or may not induce the possibility to engage in profitable entrepreneurial activity. Managed firms which recruit randomly while offering a certain wage-income cannot be kept from entering the industry. However, if it is individual beneficial to seek employment in such firms, given that human capital investments are sunk, the resulting industry structure provides less incentives to invest than a purely entrepreneurial industry. While it remains true that entrepreneurial firms if they exist are founded by teams of superior realized abilities, the equilibrium analysis reveals a rather different perspective of the incentive mechanism. Human capital investments are not so much necessary in order to induce entrepreneurial activity. Rather, entrepreneurial activity provides the effective incentives to invest in human capital. This distinction is important to note. Due to the risk-shifting property associated with employment in managed firms, policies directed at maximizing entrepreneurial activities will generally fail to implement an efficient solution. As with every other incentive mechanism, incentive compatibility constitutes a constraint on the possibility to achieve a first-best solution.
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This paper shows that endogenous adjustments in the composition of labor supplies magnify the effects of changes in commodity prices on the measured skill premium under quite plausible conditions. These composition effects arise from decisions of individuals with heterogeneous inherent abilities about acquiring human capital. They reinforce the well-known Stolper-Samuelson effect on the measured skill premium in countries with a sufficiently high relative supply of skilled labor, but compensate them otherwise. As a result, the model can account for the observation of a worldwide increase in the skill premium during the last two decades.
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(2003): Money and Growth in a Production Economy with Multiple Assets Macroeconomic Dynamics. 2003, 7(5), pp. 670-690. Available under: doi: 10.1017/S1365100503020200
We consider a Diamond-type model of endogenous growth in which there are three assets: fiat money, government bonds, and equity. Because of productivity shocks, the equity return is uncertain, and risk-averse investors require a positive equity premium. Typically, there exist two steady states, but only one of them turns out to be stable. Tight monetary policy is harmful for growth in the stable steady state. These results hold under four different monetary policy strategies applied by the monetary authority. A monetary contraction increases the bond return and reduces the equity premium and thereby capital investment and growth.
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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): 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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(2003): Productive government spending, growth, and sequential voting European Journal of Political Economy. 2003, 19(2), pp. 227-246. Available under: doi: 10.1016/S0176-2680(02)00168-4
This paper considers an endogenous growth model with productive government spending in which overlapping generations of agents vote sequentially on policy. With sequential majority voting, there is a multiplicity of politico-economic equilibria originating from self-fulfilling policy expectations. Some of these equilibria are Pareto-inefficient and there are endogenous cycles. A constitutional rule providing partial commitment significantly shrinks the set of politico-economic equilibria, removing all inefficiencies and cycles. However, a likely outcome is that government size is too high relative to the growth maximizing size.
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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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