Latest Publications
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This paper considers simultaneous modelling of seasonality, slowly changing un- conditional variance and conditional heteroskedasticity in high-frequency financial returns. A new approach, called a seasonal SEMIGARCH model, is proposed to perform this by introducing multiplicative seasonal and trend components into the GARCH model. A data-driven semiparametric algorithm is developed for estimat- ing the model. Asymptotic properties of the proposed estimators are investigated brie y. An approximate significance test of seasonality and the use of Monte Carlo confidence bounds for the trend are proposed. Practical performance of the pro- posal is investigated in detail using some German stock price returns. The approach proposed here provides a useful semiparametric extension of the GARCH model.
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A three parameter (location, scale, shape) generalization of the lo- gistic distribution is fitted to data. Local maximum likelihood estimators of the parameters are derived. Although the likelihood function is unbounded, the like- lihood equations have a consistent root. ML-estimation combined with the ECM algorithm allows the distribution to be easily fitted to data.
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(2002): Betriebswirtschaftliche, rechtliche und politische Probleme der Internationalisierung durch Lizenzerteilung MACHARZINA, Klaus, ed., Michael-Jörg OESTERLE, ed.. Handbuch Internationales Management : Grundlagen - Instrumente - Perspektiven. 2., überarb. und erw. Aufl.. Wiesbaden: Gabler, 2002, pp. 601-624. ISBN 978-3-322-92030-0
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dc.contributor.author: Berndt, Ralph
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Pricing of cap insurance contracts is considered for political mortgage rates. A simple stochastic process for mortgage rates is proposed. The process is based on renewal processes for modelling the length of periods with downward and upward trend respectively. Prices are calculated by simulation of conditional future sample paths. Future conditional quantiles can be obtained to assess the risk of a contract. The method is illustrated by applying it to observed quarterly mortgage rates of the Swiss Union of Raiffeisenbanks for the years 1970 to 2001.
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(2002): The Economics of Reciprocity : Evidence and Theory FREEMAN, Richard B., ed.. Inequality Around the World. Basingstoke: Palgrave Macmillan, 2002, pp. 207-233. IEA conference volume. 134. ISBN 978-0-333-77355-0
In many social sciences, particularly in economics, a fundamental assumption is that people are rational and selfish. According to this assumption people maximize their material well-being and ignore the well-being of others. In this chapter, we question the omnipresence of the homo economicus as assumed by conventional economic theory. We review empirical evidence, which impressively suggests that reciprocity is a powerful determinant of human behaviour. Moreover, we demonstrate that reciprocity can fruitfully be incorporated into game theory and economic modelling in general. With our model it is possible to formalize the concept of reciprocity and to organize the empirical evidence.
Financial support by the Swiss National Science Foundation (Project 12–43590.95) and by the MacArthur Foundation (Network on Economic Environments and the Evolution of Individual Preferences and Social Norms) is gratefully acknowledged. We thank Sam Bowles, Herbert Gintis, and the participants of the IEA Congress, Buenos Aires 1999, and particularly Simon Gächter, for helpful discussions. -
(2002): Are national pension systems efficient if labor is (im)perfectly mobile? Journal of Public Economics. 2002, 83(3), pp. 347-374. ISSN 0047-2727. Available under: doi: 10.1016/S0047-2727(00)00170-5
In this paper we analyze the effects of labor-market integration on national, unfunded public-pension systems that are organized according to a ‘place of residence’ principle. With this principle, labor might migrate for purely fiscal reasons. Thus, some kind of coordination becomes necessary. We first show that for the case of unrestricted labor mobility the equalization of contributions is necessary and sufficient for efficiency if the pension systems remain decentralized. However, national decision makers do not in general have an incentive to voluntarily stick to equalized contributions. With a segmented labor market where one segment is costlessly mobile whereas the other segment is completely immobile, the coordination requirements are far more complicated if migration cannot compensate for differences in national fertilities. If it can, the efficiency of equalization turns out to be robust. Finally we show that replacing the principle of residence with the ‘principle of nationality’ does not eliminate the risk of fiscal externalities.
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This study compares the effects of economic internationalisation on the functional distribution of labour income in the U.S. and Germany. The benchmark for assessing the empirical analyses theoretically is the general equilibrium framework of international trade theory. Focusing on general equilibrium frameworks stems from the insight that economic internationalisation in the form of international trade is a general equilibrium phenomenon and not only an exogenous shock that can be analysed by means of partial equilibrium approaches. Endogenising human capital supply shows how to reconcile partial equilibrium labour market issues established by human capital theory with the general equilibrium-led debate on trade and the functional distribution of labour income. This approach can also be implemented in models that try to adequately consider the European case by modelling involuntary unemployment, thus applicable to the German case. Moreover, despite the clearcut implications of the flip-side hypothesis, involuntary unemployment also concerns the case of the U.S., where at least in the shorter run unemployment always reappears, even if labour market characteristics differ from those of the German labour markets concerned by persistence. In this connection, this study shows that a trade, wages, and involuntary unemployment debate should always be aware of the complex reality of labour market rationing and its distributional implications both in the U.S. and Germany.
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(2002): Reimbursement and cost Containment : a German perspective PharmacoEconomics. 2002, 20(Supplement 3), pp. 87-94. ISSN 1170-7690. eISSN 1179-2027. Available under: doi: 10.2165/00019053-200220003-00009
This paper distinguishes short- and long-term financing problems in social health insurance systems in Germany and other European countries. The first part focuses on recent healthcare reforms in Germany that are directed at short-term problems, in particular measures of cost containment in the pharmaceutical sector such as the introduction of a drug formulary and reforms in the system of risk adjustment to enhance competition between sickness funds. The second part discusses the likely effects of the aging of the population on the sustainability of present types of mandatory insurance coverage in Germany and possible reforms that could solve the problems. It is argued that the proposed distinction between basic and supplementary benefits requires a system of explicit rationing (e.g. by age), which determines the package of basic benefits several decades in advance.
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(2001): Zum Problem der historisch-kulturellen Bedingtheit von Berufsbildungssystemen : Gibt es eine “Vorbildfunktion” des deutschen Dualen Systems im europäischen Kontext? DEISSINGER, Thomas, ed.. Berufliche Bildung zwischen nationaler Tradition und globaler Entwicklung : Beiträge zur vergleichenden Berufsbildungsforschung. Baden-Baden: Normos Verlagsgesellschaft, 2001, pp. 13-44. Bildung und Arbeitswelt. 5. ISBN 3-7890-7644-9
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(2001): On the Ethics of Primary Rationing in Health Care Associations : Journal for Legal and Social Theory. 2001, 5(2), pp. 195-211. ISSN 0949-7722
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(2001): Wirtschaftsprüfung JOST, Peter-J., ed. and others. Die Prinzipal-Agenten-Theorie in der Betriebswirtschaftslehre. Stuttgart: Schäffer-Poeschel, 2001, pp. 147-182. ISBN 978-3-7910-1777-8
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(2001): Das Problem der beruflichen Bildung bei Adam Smith und den englischen Utilitaristen BERNINGHAUS, Siegfried K., ed. and others. Beiträge zur Mikro- und zur Makroökonomik : Festschrift für Hans Jürgen Ramser; mit 24 Tabellen. Berlin [u.a.]: Springer, 2001, pp. 129-141. ISBN 3-540-42308-7
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(2001): Hinterbliebenensicherung und Ehegattensplitting in der Sozialversicherung Zeitschrift für Wirtschaftspolitik. 2001, 50(2), pp. 169-178. ISSN 0721-3808. eISSN 2366-0317
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(2001): Systemvarianten beruflicher Qualifizierung : Eine schottisch-englische Vergleichsskizze im Zeichen der Modularisierungsdebatte Bildung und Erziehung. 2001, 54(4), pp. 439-458. ISSN 0006-2456. eISSN 2194-3834. Available under: doi: 10.7788/bue.2001.54.4.439
The problem which generates the motivation for comparing VET systems can be seen in the present and refers to the fact that the vocational education and training systems of Europe have one common trait: They differ sharply from one another. The differences in education and training between nations are not always apparent at first sight but surely well up whenever it comes to European integration. The question is whether this may also be said when looking at „intra-national" comparisons or „home internationals". In the case of England and Scotland „individual" training infrastructures may also be traced back to and reconstructed from deep-rooted traditions. On the other hand, the two countries' „educational landscapes" in general appear similar at first sight while two common features of the VET systems strike the eye: the firm belief that companies should be responsible for training and, secondly, the well-documented inclination to implement and even enforce a policy of establishing national qualification frameworks based on modular principles and linked to competence-based assessment. Against this background the article depicts some of the major differences between the two „countries".
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(2001): Identifying intraday volatility BERNINGHAUS, Siegfried K., ed., Hans Jürgen RAMSER, ed.. Beiträge zur Mikro- und zur Makroökonomik : Festschrift für Hans Jürgen Ramser. Berlin [u.a.]: Springer, 2001, pp. 347-362. ISBN 978-3-540-42308-9
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dc.contributor.author: Gerhard, Frank
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Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this paper, they are derived from risk-value models which generalize the Markowitz-model. We use behaviorally based risk measure with an endogenous or exogenous benchmark
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In nonparametric mean regression various methods for bandwidth choice exist. These methods can roughly be divided into plug-in methods and methods based on penalizing functions. This paper uses the approach based on penalizing functions and adapt it to nonparametric quantile regression estimation, where bandwidth choice is still an unsolved problem. Various criteria for bandwidth choice are defined and compared in some simulation examples.
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The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the randomness of arrival times of trades, the discreteness of price jumps and significant intraday seasonalities, call for specific econometric tools combining both time series techniques as well as microeconomtric techniques arising from discrete choice analysis. This paper serves as an introduction to the econometrics of transaction data. We survey the state of the art and discuss its pitfalls and opportunities. Special emphasis is given to the analysis of the properties of data from various assets and trading mech- anisms. We show that some characteristics of the transaction price process such as the dynamics of intertrade durations are quite similar across various assets with different liquidity and regardless whether an asset is traded electronically or on the oor. How- ever, the analysis of other characteristics of transaction prices process such as volatility requires a careful choice of the appropriate econometric tool. Empirical evidence is pre- sented using examples from stocks traded electronically and on the floor at the German Stock exchange and from BUND future trading at the LIFFE and the EUREX.
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(2001): Wirtschaftsprüfung JOST, Peter-J., ed. and others. Die Spieltheorie in der Betriebswirtschaftslehre. Stuttgart: Schäffer-Poeschel, 2001, pp. 175-217. ISBN 978-3-7910-1778-5
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(2001): Distributional Consequences and Intentions in a Model of Reciprocity Annales d'Économie et de Statistique. 2001(63/64), pp. 111-129. ISSN 0769-489X. eISSN 2272-6497. Available under: doi: 10.2307/20076298
Field evidence suggests that agents belonging to the same group tend to behave similarly, i.e., behavior exhibits “social interaction effects”. Testing for such effects is difficult because of severe identification problems. To isolate social interaction effects in a way that avoids these problems, we design an experiment where each subject simultaneously is a member of two randomly assigned groups with different group members. In both groups subjects play exactly the same public goods game. In our data we isolate “social interaction effects”, i.e., a majority of subjects is very strongly influenced by the contributions of the respective group members.