Latest Publications
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Dieser Beitrag stellt verschiedene ökonometrische Methoden zur Bewertung und Berechnung von Kreditausfallrisiken vor und wendet diese auf einen aus Kreditakten von sechs deutschen Universalbanken zusammengestellten Daten-satz an. Im Mittelpunkt stehen dabei (i) binäre bzw. geordnete Logit- und Pro-bitmodelle, mit deren Hilfe die Ausfallwahrscheinlichkeit eines Kredites geschätzt werden kann, sowie (ii) Verweildauermodelle, mit denen die Gefahr eines Kreditausfalls unter Berücksichtigung der Verweildauer im Nichtausfallzu-stand quantifiziert werden kann. Beispiele und Interpretationshilfen zu den je-weils vorgestellten Methoden erleichtern den Zugang zu diesen Modellen. Es werden zahlreiche Hinweise auf weiterführende Literatur gegeben.
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This paper introduces a second, vertically related industry into the usual one-industry oligopoly framework of cooperative R&D investment between firms operating on the same product market. R&D efforts are affected by intra- and inter-industry R&D spillovers. Horizontal and vertical R&D cooperation scenarios are compared to R&D competition. It turns out that vertical R&D cooperation is usually the only stable equilibrium in the sense that no firm has an incentive to chose any other R&D scenario. Empirical implications concerning the relationship between R&D intensities and R&D spillovers are derived and empirical evidence is given using data of German manufacturing firms.
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(2000): Taxation of investment and finance in an international setting : implications for tax competition
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dc.contributor.author: Mintz, Jack M.
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Die traditionell betriebene Konjunkturtheorie versucht aggregierte Schwankungen der wirtschaftlichen Aktivität unter der Prämisse vollkommener Kapitalmärkte zu erklären. Die Rolle von Kapitalmarktunvollkommenheiten bleibt in solchen Modellen unberücksichtigt. An diesem Theoriedefizit setzt die Arbeit an. Im ersten Teil werden Kapitalmarktunvollkommenheiten mikroökonomisch fundiert, im zweiten Teil wird die Auswirkung von Finanzrestriktionen auf das Investionsverhalten von Firmen skizziert. Der dritte Teil beschäftigt sich mit einer Literaturanalyse von Maromodellen die sich mit der Transmission von Schocks beschäftigen. Es wird gezeigt, dass es möglich ist Modelle mit Kapitalmarktfriktionen zu konstruieren in denen transitorische Schocks zu persistenten Outputschwankungen führen. In anderen Modellen führen Finanzmarktrestriktionen allerdings zu gedämpften Schwingungen, oder diese werden sogar endogen erzeugt. Die Arbeit beleuchtet lediglich die theoretische Problematik der Auswirkungen von Kapitalmarktunvollkommenheiten auf die Amplitude des Konjunkturzyklus, der tatsächliche Transmissionsmechanismus auf die aggregierte ökonomische Aktivität ist noch zu erbringen.
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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.
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(2000): Special Economic Zones and Economic Transformation.The Case of the People's Republic of China
The thesis analyses the question whether the special economic zones in the People's Republic of China have supported the transition of the Chinese socialist economic system into a market economic system. Besides, it is analysed which lessons can be learned for other transition economies from the Chinese experiences with their special economic zones. For this end, the concept of special economic zones is presented and the role of the special zones in the Chinese open door policy is analysed. Also the foreign and domestic interests related to the establishment of special economic zones are discussed. The comprehensive presentation of the statistical data on the development of the five Chinese special economic zones between 1979 and 1997 shows the differences between the zones. The analysis of the available models of international trade theory shows that many important aspects of the real special zones are not yet included in these models so that the conclusions of the models are only of very limited value. The estimation of an econometric model was not able to produce any evidence that the reform policy in the coastal provinces had any positive effects on the development of the interior provinces of China. The thesis comes to the conclusion that the special economic zones have played an important role in the transformation process of the Chinese economy, but that not all expectations of the Chinese government have been fulfilled. The experiences cannot be easily transferred to other countries, because a number of very special conditions (for example the role of the ethnic Chinese from other countries as foreign investors) have very much influenced the outcome. At the end, the thesis gives a number of policy recommendations which should be considered when a special zone is established.
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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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(2000): Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard Arma Models
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. -
(2000): Differential savings, factor shares, and endogenous growth cycles Journal of Economic Dynamics & Control. 2000, 24(5-7), pp. 965-980. Available under: doi: 10.1016/S0165-1889(99)00032-9
The paper analyzes the dynamic properties of the neoclassical one-sector growth model with differential savings in the sense of Kaldor-Pasinetti. The economy exhibits unstable steady states and fluctuations if the income distribution varies sufficiently and if shareholders save more than workers. The paper analyzes in detail the dynamics for the case with a fixed proportions technology as well as with a smooth approximation. If the savings propensities differ by an arbitrarily small amount, the system exhibits topological chaos in the sense of Li and Yorke for an open set of production functions. The analytical results are supplemented by numerical experiments.
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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.
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(2000): Young and out in Germany : On youths’ chances of labor market entrance in Germany BLANCHFLOWER, David G., ed., Richard Barry FREEMAN, ed.. Youth employment and joblessness in advanced countries. Chicago [u.a.]: Univ. of Chicago Press, 2000, pp. 381-426. ISBN 978-0-226-05684-5
This paper deals with the labor market entrance of young people in the Federal Republic" of Germany. The main focus is on failures during this stage. First, an overview of the youth" labor market in Germany is given. Then, the transition from vocational training to work is" analyzed: The duration of the first spell of non-employment after completion of formal" vocational training is analyzed by means of a proportional hazard function approach. Besides the" strong influence of the human capital variables there is a striking effect of the family background" of the youths. The following section addresses the extent to which early failures in the work" history have long-lasting effects on future incomes. There is some evidence for a permanent" income reduction.
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(2000): „Bildung“ und „Arbeit“ im internationalen Diskurs : Zur Aktualität und Relevanz historisch-vergleichender Forschung in der Berufs- und Wirtschaftspädagogik Zeitschrift für Berufs- und Wirtschaftspädagogik : ZBW. 2000, 96(4), pp. 540-555. ISSN 0172-2875. eISSN 2366-2433
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dc.contributor.author: Schütte, Friedhelm
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The Balanced Scorecard (BSC) is a measurement system of financial and
non-financial measurements presenting the various company perspectives
(such as financial, customer, internal processes and innovation) on an
equal basis and company-specific alongside one another.
Using the BSC, staff members and management should receive motivation
and be placed in a position to successfully implement the company's strategy.
By doing so, the BSC has developed into a strategic management system
with which, in a top-down process, key figures are derived to ensure that the
company strategy is actually being implemented effectively.
Thus, the BSC provides an integrated, strategy-managed measurement system.
The dissertation explores the possibilities of use of the BSC for bank controlling.
Scorecards have been developed for the banking areas retail banking, corporate
business and trading, as well as for other areas. Using a case study, the concrete
implementation of the BSC at Deutsche Bank 24 is considered. -
(2000): Current Problems and Developments of VET in Germany : The educational case for modernization Australian Journal of Adult Learning. 2000, 40(2), pp. 5-32. ISSN 1443-1394
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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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The banking and currency crises of the last two decades inflicted substantial financial, economic, and social damage on the countries in which they originated. In this work, the efficiency of early warning indicators for these disastrous economic events is evaluated. An analysis of the traditional and recent literature on currency crises is performed in order to extract potential early warning indicators that are suggested by theory. Alongside others, these candidate indicators are tested in alternative empirical studies that are reviewed in this work. The results are mixed, but somewhat encouraging for further research in this field. Furthermore, the analysis is extended to a critique of systems of early warning indicators currently used by international institutions.
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In a continuous time, arbitrage free, non-complete market with a zero bond, we find the intertemporal price for risk to equal the standard deviation of the discounted variance optimal martingale measure divided by the zero bond price. We show the Hedging Numéraire to equal the Market Portfolio and find the mean-variance efficient portfolios.
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Several studies indicate that stock option plans are becoming more and more a substantial part of compensation schemes in U.S. companies. This paper argues that for an employer the attractiveness of stock options arises from the U.S. Generally Accepted Accounting Principles (US-GAAP) which require no charge to earnings for specifically designed stock option plans if a company opts for footnote disclosure. This poses a substantial problem for security analysis since a firm's earnings may be considerably upward biased. Based on a case study of 20 companies out of the S&P 500 which rely heavily on employee stock options we arrive at the conclusion that the amount of hidden compensation cost can be significant. For some of the companies the misrepresentation of stated earnings exceeds usual immateriality limits by far. Therefore, we propose that the fair value method of Statement No. 123 Financial Accounting Standards Board should be made compulsory in order to restore the true and fair view which 'income as stated' should provide.