Latest Publications
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(2008): Verhaltensorientiertes Controlling : Ergebnisse wirtschaftswissenschaftlicher Laborexperimente Controlling & management. 2008, 52(1 suppl), pp. 12-18. ISSN 1614-1822. eISSN 1864-5410. Available under: doi: 10.1365/s12176-012-0185-0
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(2008): Jenseits der Normalbiographie : Berliner Absolventen einer ausserbetrieblichen Ausbildung zwischen Arbeitslosigkeit und Verbleib im Bildungssystem MÜNK, Dieter, ed. and others. Modernisierung der Berufsbildung : neue Forschungserträge und Perspektiven der Berufs- und Wirtschaftspädagogik. Opladen: Budrich, 2008, pp. 179-188. ISBN 978-3-86649-167-0
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This exciting volume presents cutting-edge developments in high frequency financial econometrics, spanning a diverse range of topics: market microstructure, tick-by-tick data, bond and foreign exchange markets and large dimensional volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order aggressiveness in pure limit order book markets. The chapters on tick-by-tick data present statistical techniques for the analysis of the discrete nature of price movements, the intraday seasonal patterns of financial durations, and the joint probability law of prices, volume and durations. Bond markets are brought into focus through the analysis of macroeconomic announcements in the future bond market as a function of the business cycle. Exchange markets are examined from two perspectives: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the euro/dollar exchange rate. Last, dynamic modelling of large dimensional covariance matrices is also presented. Shedding light on some of the most relevant open questions in the analysis of high frequency data, this volume will be of interest to graduate students, researchers and industry professionals.
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(2008): Securitization of Mezzanine Capital in Germany Financial Markets and Portfolio Management. 2008, 22(3), pp. 219-240. Available under: doi: 10.1007/s11408-008-0082-x
A recent trend in the German Asset Backed Securities (ABS) market is the securitisation of subordinated loans and profit participation agreements (PPAs) granted to medium-sized enterprises (MEs). This paper provides an overview of this growing market and analyses the benefits of such transactions for the portfolio companies as well as originators and potential investors. Simulations of ten recent transactions indicate that despite of relatively low interest rates charged on obligors, originators and investors can earn attractive returns at fairly low risk. In particular, the junior tranches of these securitisations exhibit quite attractive risk-return profiles.
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(2008): Von "Berufsprinzip" bis "Zertifizierungshoheit" : Spannungsfelder auf dem Weg zum Deutschen Qualifikationsrahmen (DQR) Zeitschrift für Erwachsenenbildung. 2008, 15(4), pp. 25-28
Die Diskussion um die richtige Gestalt eines nationalen Qualifikationsrahmens wird derzeit fast ausschließlich in der Berufsbildung geführt. Das ist bedauerlich, stehen doch mit dem DQR Veränderungen ins Haus, die erheblich auch die Erwachsenenbildung betreffen, wenn auch vermittelt über den Umweg der Erfassung und Zertifizierung informell und non-formal erworbener Kompetenzen. Welche Herausforderungen sich in diesem Themenfeld lebenslangen Lernens durch den EQF stellen, erklärt Prof. Thomas Deißinger, der als Vertreter der Wissenschaft in die Bund-Länder-Beratungen zum Qualifikationsrahmen einbezogen ist. Seine Diagnose lautet: Die »Baustellen« der deutschen Bildungspolitik im Zeichen von EQF und DQR bestehen überall dort, wo Durchlässigkeit, Übergänge und Akkreditierungen erschwert oder unmöglich gemacht werden.
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(2008): The short and long run effects of tied foreign aid on pollution abatement, pollution and employment : A pilot model Journal of Environmental Economics and Management. Elsevier. 2008, 55(3), pp. 310-325. ISSN 0095-0696. eISSN 1096-0449. Available under: doi: 10.1016/j.jeem.2007.11.002
There exists in the literature a presumption that tied foreign aid can be used effectively to reduce cross-border pollution. Focusing, in contrast to the received literature, on the interaction between the public and private provisions of pollution abatement in the recipient country, we question the effectiveness of tied foreign aid in reducing pollution. In this context, we obtain many novel and policy relevant insights. Allowing for changes in labour employment and distinguishing between short and long run effects, tied foreign aid is shown to crowd out the private provision for pollution abatement in the short run. In the long run, tied foreign aid raises employment and therefore may be desirable for the recipient but undesirable for the donor country because it also raises pollution. The results change drastically if only the government provides pollution abatement.
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This diploma thesis investigates and compares the effects of minimum wages and wage subsidies (paid to the employer or to the employee) within a labor market model of monopsonistic competition and free market entry for firms. The effects of both instruments on the utilities of the employees and on social welfare are analyzed. The equilibrium without governmental intervention serves as basing point.
Minimum wages as well as wage subsidies can increase employment and the utility of the workers compared to the case without intervention. The equilibrium number of firms increases if wage subsidies are implemented; it decreases if minimum wages are stated. -
(2008): Comment on "Shifts and twists in the relative productivity of skilled labor" Journal of Macroeconomics. 2008, 30(2), pp. 736-738. ISSN 0164-0704. eISSN 1873-152X. Available under: doi: 10.1016/j.jmacro.2007.12.008
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The German dual apprenticeship system came under pressure in recent years because enterprises were not willing to offer a sufficient number of apprenticeship positions. A frequently made argument is that the gap could be closed if more firms would be willing to incur net costs during the training period. This paper investigates on the basis of representative data whether German enterprises on average indeed incur net costs during the apprenticeship period, i.e. if the impact of an increase in the share of apprentices on contemporary profits is negative. The paper uses the representative linked employer-employee panel data of the IAB (LIAB) and takes into account possible endogeneity of training intensity and unobserved heterogeneity in the profit estimation by employing panel system GMM methods. An increase in the share of apprentices has no effect on profits. This can be interpreted as a first indication that most establishments in Germany do not invest more in apprentices than their productivity effects during the apprenticeship period.
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Student achievement has been identified as important contributor to economic growth. This paper investigates the relationship between redistributive government activities and investment in human capital measured by student performance in international comparative tests in Mathematics and Science during the period 1980 to 2003. In fixed effects panel models, government consumption, government social expenditures, and the progressivity of the income tax system have negative effects on student achievement. We report results from a variety of model specifications and social expenditure components, and our best estimate indicates that increased government size by 10 percent reduces student achievement by 0.1 standard deviations.
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(2008): Lernstrategieförderung im Gymnasium : Befunde zur Umsetzung und Wirksamkeit des Unterrichtsmodells APU NetzWerk : die Zeitschrift der Wirtschaftsbildung Schweiz. 2008, 102(3), pp. 16-25. Available under: doi: 10.5167/uzh-13695
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dc.contributor.author: Oepke, Maren; Eberle, Franz
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(2008): Dem Lernen Raum geben : Welche Faktoren stehen der Realisierung von schülerorientierten Lehr-Lern-Arrangements im Weg? WARWAS, Julia, ed. and others. Zeit-gemäße Führung - zeitgemäßer Unterricht. Baltmannsweiler: Schneider Verlag Hohengehren, 2008, pp. 207-218
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(2008): Life Cycle Labor Supply and Panel Data : A Survey MÁTYÁS, László, ed. and others. The Econometrics of Panel Data. Berlin: Springer, 2008, pp. 761-794
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dc.contributor.author: Koebel, Bertrand; Laisney, François; Staat, Matthias
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(2008): Wirksamkeit von Lernarrangements in der kaufmännischen Erstausbildung : zur Bedeutung von Vorwissen und Bildungsabschlüssen SCHLEMMER, Elisabeth, ed., Herbert GERSTBERGER, ed.. Ausbildungsfähigkeit im Spannungsfeld von Wissenschaft, Politik und Praxis. Wiesbaden: VS Verl. für Sozialwiss., 2008, pp. 233-248
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Kinetic market models have been proposed recently to account for the redistribution of wealth in simple market economies. These models allow to develop a qualitative theory, which is based on methods borrowed from the kinetic theory of rarefied gases. The aim of these notes is to present a unifying approach to the study of the evolution of wealth in the largetime regime. The considered models are divided into two classes: the first class is such that the society s mean wealth is conserved, while for models of the second class, the mean wealth grows or decreases exponentially in time. In both cases, it is possible to classify the most important feature of the steady (or self-similar, respectively) wealth distributions, namely the fatness of the Pareto tail. We shall also discuss the tails dynamical stability in terms of the model parameters. Our results are derived by means of a qualitative analysis of the associated homogeneous Boltzmann equations. The key tools are suitable metrics for probability measures, and a concise description of the evolution of moments. A recent extension to economies, in which different groups of agents interact, is presented in detail. We conclude with numerical experiments that confirm the theoretical predictions.
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In recent years high-frequency finance has become one of the most active research fields in finance and economics. The wide-spread availability of high-frequency datasets has particularly spurred research within this field and has, in turn, given birth to the rapidly expanding bridge between finance and econometrics, high-frequency financial econometrics. Developments in this field have addressed topics such as risk and liquidity measurement, market design, market microstructure and the general behavior of financial agents by applying quantitative methodologies. Advances in computing technology during the last two decades have given further momentum to these research efforts - not to be underestimated, as the detailed, precise and efficient collection of large high-frequency datasets as well as the development of computationally intensive estimation procedures lie at the forefront of current research in financial econometrics.
Trading activity datasets which describe all trading actions in sets of assets for individual investors over a given time period are becoming increasingly available. These are more complex than standard high-frequency and limit order book datasets, allowing for the detailed analysis of individual trading behavior on the micro level. These datasets represent the limit of market microstructure information which can be made available to the financial econometrician. The analysis of such trading activity datasets requires advanced econometrics techniques able to account for their micro panel structure, with individual observations on different types of activities for several trading instruments being irregular in time.
This dissertation advocates and contributes to the development of advanced econometric techniques for the characterization of individual trading behavior on the basis of complex trading activity datasets. Herein, three stand-alone papers address different aspects of individual trading behavior. They are all based on an unique trading activity dataset of foreign exchange market activity provided by OANDA FXTrade, an electronic trading platform and market maker in the foreign exchange market. -
(2008): Introduction: VET Systems Research RAUNER, Felix, ed. and others. Handbook of Technical and Vocational Education and Training Research. Berlin: Springer, 2008, pp. 244-253
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Based on a general specification of the asset specific pricing kernel, we develop a pricing model using an information process with stochastic volatility. We derive analytical asset and option pricing formulas. The asset prices in this rational expectations model exhibit crash-like, strong downward movements. The resulting option pricing formula is consistent with the strong negative skewness and high levels of kurtosis observed in empirical studies. Furthermore, we determine credit spreads in a simple structural model.
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(2008): Institutional and Cultural Determinants of National VET Systems : Problems arising with the European Qualifications Framework (EQF) AVETRA Conference 2008, Adelaide. 2008
The focus of this paper is on cultural patterns determining national VET systems and policies around the world. Within established typologies VET systems are normally distinguished by referring to institutions and steering mechanisms. However, behind these, cultural patterns underlie both the practice and the theory as well as the policy of VET in various countries. Specific problems arise when it comes to "harmonising" VET systems "through the backdoor". One of the current supranational instruments in this context is the European Qualifications Framework (EQF). The paper picks up "matching problems" related to the philosophy of this framework by referring to the German, the French and the British VET system respectively. As we here refer to "dual systems", "school-based systems" and "industry-led systems" respectively, the pre-conditions for transforming European policy into national policies are very different. One major aspect here is the institutional framework, including forms and practices of non-state intervention into the VET system and the responsibility of non-state institutions. In Germany, the chamber system represents a cultural construction which, at first sight at least, seems incompatible with many European ideas accompanying the present "Lisbon-Brugge-Copenhagen Process" which demands the opening-up of education and VET in the context of concepts such as the "Learning Economy" or "Lifelong Learning". VET systems with a strong focus on initial training hereby obviously face the most serious challenges. Solutions may lie in a "nation-specific" strategy which encourages and enables change without dumping the benefits and the functionality of the established system.
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We develop a characterization of stochastically stable states for the logit-response learning dynamics in games, with arbitrary specification of revision opportunities. The result allows us to show convergence to the set of Nash equilibria in the class of best-response potential games and the failure of the dynamics to select potential maximizers beyond the class of exact potential games. We also study to which extent equilibrium selection is robust to the specification of revision opportunities. Our techniques can be extended and applied to a wide class of learning dynamics in games.