Aktuelle Publikationen
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The internationalisation of competition policy is analysed as an analogy to strategic commercial policy. Unilateral competition policies are compared with cooperative competition policy. The criteria used to evaluate different policies are deduced from catholic social sciences. The non-cooperative competition policy depends on whether the territoriality or the effect principle is valid. The analysed models are two-country-models. Two models are partial analyses, one with international price discrimination and the other without it. The general equilibrium model includes increasing returns to scale. The incentives of the countries to monopolise or monopsonise trade are analysed with the territoriality and the effect principle as collision norms. Different possibilities of extraterritorial enforcement are examined with the effect principle. Furthermore, internationalisation of competition policy is compared with non-cooperative competition policies. Criteria for comparison are efficiency, income distribution, freedom of competition and the subsidiarity principle. Furthermore the interests of countries towards internationalisation are analysed. The internationalisation is always better than the territoriality principle, but whether the effect principle is better or worse than the internationalisation depends on the economic situation of the global economy and on jurisdictional conditions.
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(1999): Zur Wirkung des technischen Fortschritts auf die Qualifikationsstruktur der Beschäftigung und die Entlohnung Zeitschrift für Nationalökonomie und Statistik. 1999, 219(1-2), pp. 90-108. Available under: doi: 10.1515/jbnst-1999-1-207
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dc.contributor.author: Klotz, Stefan; Pfeiffer, Friedhelm
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(1999): Lebenserwartung, Kosten des Sterbens und die Prognose der Gesundheitsausgaben Jahrbuch für Wirtschaftswissenschaften. 1999, 50(1), pp. 53-65. ISSN 0948-5139. eISSN 2366-035X
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This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional volatility per time. This kind of volatility estimation solves the problem of an appropriate aggregation level by defining explicitly price events. To consider grouping caused by the nontrading period overnight we use a categorical duration model. This model allows us to take into account that durations which occur overnight can only be registered by a lower and an upper bound. The use of price durations based on different tick sizes makes it possible to investigate volatility patterns depending on different aggregation levels. Seasonalities are taken into account by including regressors based on a flexible Fourier form based on intraday and time to maturity seasonalities. Testing for serial correlation and controlling for unobservable heterogeneity permits us to check for misspecification on different aggregation levels. Empirical results are based on intraday transaction data of Bund Future trading at the LIFFE in London.
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This paper analyzes optimal hedging of a tradable risk (e.g. price risk or exchange rate risk) with forward contracts in the presence of untradable in ation risk. Utility is defined over real wealth. Optimal forward positions are derived relative to a given initial exposure in the tradable risk. A nominally unbiased forward market usually implies a non-zero real risk premium and hence some risk taking. If untradable in ation risk is a monotone function of the tradable risk plus noise, cross hedging and speculating on the real risk premium are con icting objectives; the level of relative risk aversion determines which objec- tive is dominant in a nominally unbiased forward market.
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No other area of the German economy hasdeveloped so emphatically in the past ten years as that of business-related services. Regardless their growing importance, business-related services still play only a minor role in official statistics. Above all, official statistics do not provide up-to-date information on the state of the business cycle of this sector. In a situation where such quantitative information is lacking, data obtained from business surveys give important guidelines to the state of this part of the economy. In this paper we show how a reliable compounded business climate indicator for business-related services can be constructed from both business survey and national accounts data.
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(1999): Option Implied Risk-Neutral Distributions and Implied Binomial Trees : a Literature Review Journal of Derivatives. 1999, 7(2), pp. 66-82. ISSN 1074-1240. Available under: doi: 10.3905/jod.1999.319143
In this selective literature review, we start by observing that in efficient markets, there is information incorporated in option prices that might help us to design option pricing models. To this end, we review the numerous methods of recovering risk-neutral probability distributions from option prices at one particular time to expiration and their applications. Next, we move beyond one time to expiration to the construction of implied binomial trees, which model the stochastic process of the underlying asset. Finally, we describe extensions of implied binomial trees, and other non-parametric methods.
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This paper compares generalized method of moments (GMM) and simulated maximum likeli-hood (SML) approaches to the estimation of the panel probit model. Both techniques circum-vent multiple integration of joint density functions without the need to restrict the error term variance-covariance matrix of the latent normal regression model. Particular attention is paid to a three-stage GMM estimator based on nonparametric estimation of the optimal instru-ments for given conditional moment functions. Monte Carlo experiments are carried out which focus on the small sample consequences of misspecification of the error term variance-covariance matrix. The correctly specified experiment reveals the asymptotic efficiency ad-vantages of SML. The GMM estimators outperform SML in the presence of misspecification in terms of multiplicative heteroskedasticity. This holds in particular for the three-stage GMM estimator. Allowing for heteroskedasticity over time increases the robustness with respect to misspecification in terms of multiplicative heteroskedasticity. An application to the product innovation activities of German manufacturing firms is presented.
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Kurzfassung: This paper investigates the time between transactions on financial markets. It is assumed that the interval between transactions is a random variable and the relation- ship between the probability to observe a transaction at each instant of time and the type of the previous trade is investigated. To estimate these effects, a semiparametric proportional hazard model is used which is based on approaches proposed by Han and Hausman (1990) and Meyer (1990). Considering grouped durations the log-likelihood is formed by using differences in the survivor function. Hence, the model corresponds to an ordered response approach whereby the baseline hazard is estimated simulta- neously with the coefficients of the covariates and is calculated by the thresholds. Clustering of the durations is taken into account by including lagged durations. A test is proposed to check for serial correlation in the errors based on the concept of generalized residuals along the lines of the work of Gourieroux, Monfort and Trognon (1987). Unobservable heterogeneity is implemented parametrically by a gamma dis- tributed random variable entering the hazard function. It is shown that the resulting compounded model follows a BurrII form. In an empirical analysis high frequency in- traday transaction data from the London International Financial Futures and Options Exchange (LIFFE) is investigated.
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(1999): Die Bedeutung des EURO für das Marketing BERNDT, Ralph, ed.. Management Strategien 2000. Berlin: Springer, 1999, pp. 175-187. Herausforderungen an das Management : Schriftenreihe der Graduate School of Business Administration Zürich. 6. ISBN 978-3-642-63587-8. Available under: doi: 10.1007/978-3-642-58425-1_10
The introduction of the Euro will have a wide range of consequences for the firms in the European Union. Especially the marketing sector is confronted with new challenges. In this paper the implications of the Euro for the four marketing instruments are analysed and possible reactions are shown.
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An important determinant of option prices is the elasticity of the pricing kernel used to price all claims in the economy. In this paper, we first show that for a given forward price of the underlying asset, option prices are higher when the elasticity of the pricing kernel is declining than when it is constant. We then investigate the implications of the elasticity of the pricing kernel for the stochastic process followed by the underlying asset. Given that the underlying information process follows a geometric Brownian motion, we demonstrate that constant elasticity of the pricing kernel is equivalent toaBrownian motion for the forward price of the underlying asset, so that the Black-Scholes formula correctly prices options on the asset. In contrast, declining elasticity implies that the forward price process is no longer a Brownian motion: it has higher volatility and exhibits autocorrelation. In this case, the Black-Scholes formula underprices all options.
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This paper analyzes the interday stability of the price process using transaction data. While the vast majority of empirical studies on the microstructure of financial markets rests on the tacit assumption that observed prices are generated by a time-invariant price process, we question this assumption by means of a minimum distance estimation framework. Starting from estimates specific for each day's price process, this procedure enables us to work out a common structure across trading days and allows us to disentangle the pecularities of trading days which are marked by certain news events. The determinants of transaction price changes for the BUND future trading at the LIFFE on the basis of 22 subsequent trading days are analyzed. Our empirical findings confirm that trading days do share a common structure to a large extent. However, single event dominated days are likely to show a differing price process. On the one hand, this fact renders pooled parameter estimates inconsistent. On the other hand, this procedure opens an avenue for an in depth analysis of information processing in financial markets.
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dc.contributor.author: Weil, Uta
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dc.contributor.author: Spöttl, Sven
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This paper provides a comprehensive summary of the most promising estimation methods for the (dichotomous) selectivity models. Selectivity models, often referred to as sample selection models, are frequently used in structural analysis and evaluation studies, wherever individuals select among different alternatives. Selectivity models strive to estimate structural outcome equations under explicit consideration of the fact that individuals are heterogeneous and that the selection into or out of different alternatives (e.g. treatment/non-treatment) is not random and based on observed and unobserved characteristics. Hence individuals that are selected into one group are likely to be inherently different from individuals that selected into any other group. Neglecting this non-random selection leads to selection bias, either on the basis of observed characteristics or on unobservables, which is the focus of this work. The core idea of all approaches modelling this selection problem is to forecast counterfactual outcomes, that are the hypothetical outcomes a certain individual would have acquired if it selected into an other alternative. At first structural models contaminated by selectivity and the nature of the selection problem are defined rigorously. Different identifying assumptions such as exclusion restrictions, an index assumption, or identification at infinity are illuminated. An extensive discussion of parametric and semiparametric procedures for the 2-categories selectivity model exposes how the different estimators cope with the selection problem. In contrast to the parametric ones, like the Heckman two-step, the semiparametric estimators do not impose tight restrictions on the error terms. The estimators of Gallant/Nychka, Klein/Spady, Powell, Newey, Ahn/Powell, Robinson, Chen and Andrews/Schafgans are presented. Finally, the properties of these estimators, an illustrating example estimating the effect of unionism on wages, and recommen
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Subject of this work is the description and comparison of conceptual and logical data modelling methods for data warehouse. First the fundamentals and features of a data warehouse are described. This is followed by a presentation of usable database types. After that, the aspects of data modelling, which are relevant for data warehouse, are explained. A catalogue with evaluation criteria is introduced to compare and evaluate the various conceptual and logical modelling methods. Main part of this work is the description of different conceptual and logical data modelling methods for data warehouse, which will be modelled with a unique example and evaluated with the criteria catalogue.
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Es wurde gezeigt, daß das Problem der Banken, eine anlagestrategische Empfehlung zu geben, ein mehrdimensionales Problem ist. Die Banken verstehen unter dem Oberbegriff 'anlagestrategische Empfehlung' nicht nur die konkret empfohlene Anlagestrategie, sondern auch die Darstellung der Einflußfaktoren der Empfehlung, die Einschätzung der zukünftigen Marktentwicklungen und die individuelle Anpassung der Strategie an die Präferenzen des Anlegers. Bei der Vorstellung der Einflußfaktoren stehen vor allem die Größen Risikoeinstellung und Währungsunion im Mittelpunkt des Interesses. Für die verschiedenen Kombination der Ausprägungen dieser beiden Einflußfaktoren stellen die Banken dann konkrete anlagestrategische Empfehlungen zur Verfügung, die dann als Basispakete zu verstehen sind. Diese Empfehlungen stützen sich auf Marktprognosen, welche die Banken vor allem unter Berücksichtigung der Währungsunion aufstellen. Mit einer möglichen kleinen Währungsunion verbinden die Banken dann vor allem eine Situation an den Finanzmärkten, die von einem stabilen Euro beherrscht wird. Für die Anleger ändert sich dann weitaus weniger als im Fall der großen Währungsunion. Bei diesem Szenario wird vor allem an den Aktienmärkten ein Aufschwung erwartet. Eine Verschiebung der Währungsunion würde aus Sicht der Banken zu erheblichen Turbulenzen an den Finanzmärkten führen - jedoch wird diese Möglichkeit als sehr unwahrscheinlich eingestuft. Aufbauend auf den Marktprognosen geben die Banken dann die konkreten Anlageempfehlungen. Diese werden dann schließlich den individuellen Bedürfnissen des Anlegers angepaßt. Derzeit wird jedoch unter Berücksichtigung der Risikoeinstellung eine Anlage in DM als Grundlage jeder Anlagestrategie gesehen. Den Abschluß der Arbeit bildete die kritische Betrachtung der wichtigsten Ergebnisse.
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dc.contributor.author: Kühl, Jan-Hendrik
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This essay in German presents an economic analysis about the efficiency of a premium tax on insurance services, as it is in use in Germany and the most European Union (EU) member states. Beside a short glance on the importance of the insurance market, the reasons for an insurance tax is discussed. After that the focus lies on the question: What are the fiscal, allocative and distributive effects of this premium tax? The work is based on theoretical models, examples and empirical data. In the lasts parts, you find a comparison of taxation of insurance between the EU member states and the problems with harmonization in this field. Last but not least the results are reviewed for a final comment.
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(1998): Unternehmen und Umwelt BERNDT, Ralph, ed., Claudia Fantapié ALTOBELLI, ed., Peter SCHUSTER, ed.. Springers Handbuch der Betriebswirtschaftslehre 1. Berlin: Springer, 1998, pp. 41-67. ISBN 978-3-540-64828-4. Available under: doi: 10.1007/978-3-642-58961-4_2
Jegliches Unternehmen ist in ein Umfeld (synonym: Umwelt) eingebettet, welches das unternehmerische Handeln in bestimmtem Ausmaß determiniert. Das Unternehmen selbst kann dabei als ein eigenes System interpretiert werden, welches in Interaktion mit seiner Umwelt tritt. In diesem Zusammenhang taucht zwangsläufig die Frage nach der Abgrenzung von Unternehmen und Umwelt auf, welche nicht eindeutig zu beantworten ist, da jede Grenzdefinition letztlich von der eingenommenen Perspektive abhängt (vgl. Schreyögg 1993, Sp. 4232 f.). Dieser Frage der Grenzziehung hat sich insbesondere die moderne Systemtheorie angenommen. Nach ihr konstituieren sich Systeme durch Herstellung einer Differenz zwischen sich und der Umwelt, wobei im Innenverhältnis eine Komplexitätsreduktion stattfindet, welche zielgerichtetes Handeln ermöglicht. Alles außerhalb dieser Differenz bzw. Grenze stellt entsprechend die Umwelt dar.