Latest Publications
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(2008): New evidence on the puzzles : Results from agnostic identification on monetary policy and exchange rates Journal of International Economics. 2008, 76(1), pp. 1-13. Available under: doi: 10.1016/j.jinteco.2008.02.005
Past empirical research on monetary policy in open economies has found evidence of the delayed overshooting puzzle and the forward discount puzzle . We revisit the effects of monetary policy on exchange rates by applying Uhlig's [Uhlig, H., 2005a. What are the effects of monetary policy on output? Results from an agnostic identification procedure. Journal of Monetary Economics 52(2), 381 419.] identification procedure that involves sign restrictions on the impulse responses of selected variables. In a first step, we leave the response of the exchange rate agnostically open and find sizeable evidence for both puzzles. In a second step, we additionally rule out the delayed overshooting by construction. Our results indicate that the forward discount puzzle is robust even without delayed overshooting.
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(2008): Simulation-based pricing of convertible bonds Journal of Empirical Finance. 2008, 15(2), pp. 310-331. ISSN 0927-5398. eISSN 1879-1727. Available under: doi: 10.1016/j.jempfin.2006.06.008
We propose and empirically investigate a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the rich set of real-world convertible bond specifications. Furthermore, using the simulation model proposed, we present an empirical pricing study of the US market, using 32 convertible bonds and 69 months of daily market prices. Our results do not confirm the evidence of previous studies that market prices of convertible bonds are on average lower than prices generated by a theoretical model. Similarly, our study is not supportive of a strong positive relationship between moneyness and mean pricing error, as argued in the literature.
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(2008): The 2008 GEA Journal-Ranking for the Economics Profession German economic review. 2008, 9(4), pp. 532-538. Available under: doi: 10.1111/j.1468-0475.2008.00446.x
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This paper analyzes an urn-ball matching model in which workers decide how intensively they sample job openings and apply at a stochastic number of suitable vacancies. Equilibrium is not constrained efficient; entry is excessive and search intensity can be too high or too low. Moreover, an inefficient discouraged-worker effect among homogenous workers emerges under adverse labor market conditions. Unlike existing coordination-friction economies with fixed search intensity, the model can account for the empirical relation between the job-finding rate and the vacancy-unemployment ratio, provided that search costs are small and that search intensity is sufficiently procyclical.
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(2008): The impact of globalization on the composition of government expenditures : evidence from panel data Public Choice. 2008, 134(3/4), pp. 263-292. ISSN 0048-5829. eISSN 1573-7101. Available under: doi: 10.1007/s11127-007-9223-4
According to the disciplining hypothesis, globalization restrains governments by inducing increased budgetary pressure. As a consequence, governments shift their expenditures in favour of transfers and subsidies and away from capital expenditures. This expenditure shift is potentially enhanced by citizens' preferences to be compensated for the risks of globalization ("compensation hypothesis"). Employing two different datasets and various measures of globalization, we analyze whether globalization has indeed influenced the composition of government expenditures. For a sample of 108 countries, we examine the development of four broad expenditure categories for the period 1970-2001: capital expenditures; expenditures for goods and services; interest payments; and subsidies and other current transfers. A second dataset provides a much more detailed classification: public expenditures, expenditures for defence, order, economic environment, housing, health, recreation, education, and social expenditures. However, this second data set is only available since 1990 and only for the OECD countries. Our results show that globalization did not influence the composition of government expenditures.
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Research on the effects of positional concerns on individuals attitudes and behaviour is sorely lacking. Therefore, using the International Social Survey Programme 1998 data on 25 000 individuals from 26 countries this paper investigates the impact of relative income position on facets of social capital, covering horizontal and vertical trust as well as norm compliance. Testing relative deprivation theory, we identify a deleterious positional income effect for persons below the reference income, the absolute size of which far outweighs that of relative income advantage. In contrast, social capital rises in absolute income, while distributional fairness perceptions partially mediate relative income effects.
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(2008): Kooperationsbeziehungen managen : Neid schafft Investitionsanreize io new management. 2008, 77(4), pp. 8-11. Available under: doi: 10.5167/uzh-6461
Kooperationen erfordern in der Praxis häufig (spezifische) Investitionen und sind daher mit dem Problem der "fairen" Aufteilung entstehender Kooperationsrenten behaftet. Der folgende Beitrag zeigt, dass die Kooperationspartner die Möglichkeit haben sollten, flexibel auf die Höhe ihrer spezifischen Investitionen zu reagieren. Starre Gewinnaufteilungsregeln hingegen werden leicht als unfair empfunden und können daher die Investitionsanreize in Kooperationsbeziehungen zerstören.
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One central function of tort law is the inducement of precaution incentives. This is particularly welcome in settings in which the internalization of interdependencies between individuals relating to care and expected harm would otherwise not take effect due to high transaction costs broadly conceived, accident settings being a prime example. Tim Friehe analyzes important aspects for the design of tort law which intends to induce optimal individual choices and possible limitations of workable tort law in varied settings. Incentives to take precaution, which affect the accident probability and/or the magnitude of the harm in the event of an accident, are of primary interest in this context. After providing an extensive review of the literature relating to the economic analysis of tort law, the author goes on to discuss the consequences of victims with different harm levels. In particular, using average harm as a compensation measure in order to save administrative costs is considered and a scheme to make the revelation of the individual harm level incentive-compatible is devised. Furthermore, the book contributes to the ongoing discussion on the effects of judgment proofness and the distinction between unilateral harm and bilateral harm accidents. Finally, the author highlights the consequences of the consideration of hitherto neglected behavioral dimensions for the conclusions of the economic analysis of tort law.
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(2008): Repeat Offenders and Imperfect Information PICKHARDT, M., ed., E. SHINNICK, ed.. Shadow Economy, Corruption and Governance. Cheltenham: Elsevier, 2008, pp. 63-78
The severity of the sanction for a given offense is often determined by the offense history of the offender. We establish that this policy can be welfare-maximizing if individuals are imperfectly informed about the magnitude of the sanction. Imperfect information distorts individuals' perception of the expected sanction of the first offense. Once detected, individuals learn about the sanction applicable to their act, making this argument less relevant for consecutive offenses.
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(2008): VAR Modeling for Dynamic Loadings Driving Volatility Strings Journal of Financial Econometrics. 2008, 6(3), pp. 361-381. Available under: doi: 10.1093/jjfinec/nbn004
The implied volatility of an option as a function of strike price and time to maturity forms a volatility surface. Traders price according to the dynamics of this high dimensional surface. Recent developments that employ semiparametric models approximate the implied volatility surface (IVS) in a finite dimensional function space, allowing for a low dimensional factor representation of these dynamics. This paper presents an investigation into the stochastic properties of the factor loading time series using the vector autoregressive (VAR) framework and analyzes the dynamic relationship of these factors with economic indicators.
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(2008): Sloane, Peter F.E.: Bildungsstandards in der beruflichen Bildung [Rezension] Erziehungswissenschaftliche Revue (EWR). Klinkhardt. 2008(2)
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(2008): On the Definition of Unemployment and its Implementation in Register Data - The Case of Germany Journal of Applied Social Science Studies. 2008, 128(3), pp. 461-488. Available under: doi: 10.3790/schm.128.3.461
Der Beitrag stellt unterschiedliche Implementationen geläufiger internationaler und deutscher Definitionen von Arbeitslosigkeit in den Datensatz Stichprobe der Integrierten Erwerbsbiografien (IEBS) vor. Die IEBS gehört zu einer neuen Generation von zusammen geführten Registerdaten, die umfassender sind als bisherige Datenquellen. Die vorgelegten deskriptiven Analysen zeigen beträchtliche Unterschiede hinsichtlich der Anzahl der Arbeitslosigkeitsepisoden und der Arbeitslosigkeitsdauer. Hieraus wird geschlossen, dass empirische Ergebnisse der Arbeitsmarktforschung in hohem Maße von der zugrundeliegenden Definition von Arbeitslosigkeit und ihrer Implementation abhängig sind.
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Chapter 1 is joint work with Günter Franke, University of Konstanz, and Markus Herrmann, HSBC London, and addresses the question how collateralized debt obligation (CDO-) transactions are designed. An important issue is the information asymmetry about the quality of securitized debt between originator and investors. Investors insist on credit enhancements which mitigate potential problems of information asymmetry. First Loss Positions (FLPs) are the most important enhancement. We analyze the optimal size of the FLP in a model and the actual size in a set of European CDOs. We find that the asset pool quality, measured by the weighted average default probability (WADP) and the diversity score, plays a predominant role for the transaction design. Characteristics of the originator play a minor role. A lower asset pool quality induces the originator to take a higher FLP. Assuming a lognormal distribution for the loss rate of the underlying portfolio we find that the FLP bears on average 86% of the expected default losses. This loss share is largely independent of the asset pool quality. However, it is significantly higher for bond transactions. The loss share and the asset pool quality strongly affect the rating and the credit spread of the lowest rated tranche.
Chapter 2 analyzes the premia of tranches in synthetic CDO-transactions. These premia are credit spreads on top of the risk free interest rate and compensate investors for the expected annualized default loss and for the risk of default losses. Focusing on the second component, the pure risk aversion premium, the paper estimates the relative risk aversion (RRA) implied by the credit spreads and the loss distributions of 215 differently rated tranches of 59 European CDO transactions. A pricing kernel approach is applied, using the aggregate loss rate as the systematic risk factor. Estimated RRA is significantly lower for mezzanine tranches which are more exposed to default risks. This may be caused by market segmentation. A higher WADP of the portfolio induces higher average tranche risk and lowers the estimated RRA. This effect is strongest for the senior tranches and smaller for the mezzanine tranches. Better diversification allows the originator to transfer more risk to investors at relatively moderate risk premia. Controlling for expected losses of tranches, better portfolio diversification reduces the risk premia for the lowest two rated tranches of a transaction. Higher tranches are relatively unaffected by variations in portfolio diversification as they are well protected against information asymmetries by the first loss piece and several junior tranches. Controlling for tranche rating, the RRA estimates are higher for the lowest rated tranche of a given transaction. This hints at additional compensation for the lowest rated tranches, presumably for the associated information problems.
Chapter 3 is joint work with Julia Hein, University of Konstanz, that was motivated by the US mortgage market crisis. Banks' lending standards have been criticized to have contributed to the crisis. Especially problematic appears the use of adjustable rate mortgages that start with fairly low interest rates which re later replaced by higher rates. The interest rate reset poses a payment shock to debtors and causes additional defaults, in particular if house prices have already declined. Several policy options have been discussed to mitigate the current mortgage crisis. We analyze an interest rate freeze on adjustable rate mortgages as one possible reaction. We study the implications on tranches of residential mortgage backed securities (RMBS) sold briefly after origination, taking into consideration feedback effects on house prices. For investors of rated tranches we show that relatively moderate positive effects of a rate freeze on foreclosures and house prices can outweigh the negative effect of lower interest income. The owners of the FLP need much stronger feedbacks to assure a net benefit.
Chapter 4 is joint work with Oliver Fabel, University of Vienna, on industrial organization. In an economy, innovative projects can either be carried out by small entrepreneurial partnerships or within large industrial firms. The existence of an incubator organization, such as the Silicon Valley network, can improve the matching of individuals in teams and, thus, foster the entrepreneurial sector. However, the industrial sector loses these professional elites and there is less risk sharing in the economy. We investigate the effects of incubators on welfare and capital input and derive ambiguous results: only societies whose members exhibit relatively low degrees of risk-aversion are likely to benefit from the improved matching. We argue that this helps to explain why technology or science parks require persistent public support in Europe whereas they emerge as efficient institutions in the US. -
(2008): Minimum Wages and Welfare in a Hotelling Duopsony IZA Discussion Papers No. 2008, 3434, pp. 1-46. Available under: doi: 10.1007/s00199-008-0412-2
Two firms choose locations (non-wage job characteristics) on the interval [0,1] prior to announcing wages at which they employ workers who are uniformly distributed; the (constant) marginal revenue products of workers may differ. Subgame perfect equilibria of the two-stage location-wage game are studied under laissez-faire and under a minimum wage regime. Up to a restriction for the existence of pure strategy equilibria, the imposition of a minimum wage is always welfare-improving because of its effect on non-wage job characteristics.
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(2008): Bildungsstandards - Standardbildung? : Zur Konzeption und Implementierung nationaler Bildungsstandards ; Implikationen für die Berufsbildungspolitik und -forschung Wirtschaft und Erziehung. 2008, 60(7-8), pp. 226-238
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(2008): Correlated Payoffs in the Inspection Game : Some Theory and an Application to Corruption Public Choice. 2008, 137(1/2), pp. 127-143. Available under: doi: 10.1007/s11127-008-9317-7
The inspection game as formulated by Tsebelis (Am. Polit. Sci. Rev. 83:77 91, 1989) has the counterintuitive implication that crime is unaffected by the magnitude of the penalty. This paper demonstrates that to attain this outcome, it is necessary to assume independence of enforcer and offender payoffs. Given correlated payoffs, the comparative statics of the equilibrium yield an inverse relationship between crime and the severity of the sanction. In an application, we enrich the framework of Tsebelis by adding corruption stages and show that this can imply such a correlation of payoffs. Another interesting finding is that harsher anticorruption measures can increase crime incentives.
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This paper investigates the short-term costs and benefits of apprenticeship training in Germany. It calls into question the popular stylised fact that apprenticeship training always leads to net costs during the apprenticeship period. We analyse the impact of the proportion of different occupational groups of apprentices on firm performance. We use representative matched employer employee panel data that allow us to correct for different sources of estimation bias. We show that the proportion of apprentices in trade, commercial, craft and construction occupations has a direct positive impact on firm performance: the companies cover their training costs immediately. In contrast, companies with apprentices in the manufacturing occupations face net training costs during the apprenticeship period but gain by the long-term employment of its graduate apprentices.
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(2008): Learning, bounded memory, and inertia Economics Letters. 2008, 101(2), pp. 134-136. Available under: doi: 10.1016/j.econlet.2008.07.008
This paper considers bounded-memory players in a coordination game, who imitate the most successful remembered actions. With exogenous inertia, risk-dominant equilibria are selected independently of the length of memory. Without inertia, Pareto-dominant equilibria arise when memory is long enough.
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Diese Arbeit vergleicht Qualitätshandbücher beruflicher Schulen in der Nordwestschweiz und in Baden-Württemberg, die zur Dokumentation von Qualitätssystemen verwendet werden. Dabei stellt das Qualitätssystem Q2E aus der Schweiz einen Orientierungsrahmen für das baden-württembergische OES-Projekt dar.
Im Mittelpunkt dieser Untersuchung stehen die Feedback- und Evaluationsinstrumente von Schulen beider Regionen, die zur Erfassung von Ansichten über Unterrichtsqualität unterschiedlicher Zielgruppen, nicht nur Schülern, eingesetzt werden. Es zeigen sich Gemeinsamkeiten, wie u.a. die Ausrichtung der Instrumente an Zielen oder einer breiten Verwendung verschiedenster Instrumente zur Erfassung von Sichtweisen zur Unterrichtsqualität. Allerdings gibt es auch sehr große Unterschiede, wie z.B. die Quantität und Qualität unterrichtsbezogener Ziele oder die Verwendung von Qualitätsleitbildern.
Ebenso werden Aussagen zur Kommunikation von Feedback- und Evaluationsergebnissen in Qualitätshandbüchern beider Regionen untersucht. Dahinter steckt aus systemtheoretischer Sicht die Annahme, dass sowohl die Erzeugung als auch die Kommunikation von Unterrichtsqualität nach innen und nach außen einen Bestandteil der Qualifizierungsfunktion beruflicher Schulsysteme darstellt.
Eingebettet ist die Qualitätshandbuchanalyse in eine Betrachtung der Autonomiespielräume, die berufliche Schulen in der Nordwestschweiz und in Baden-Württemberg haben. Damit soll das Umfeld, in dem die Qualitätssysteme erprobt und verwendet werden, eingehender betrachtet werden. Hierzu werden die Autonomiebereiche Pädagogik, Personal, Organisation und Finanzen untersucht. Diese Bereiche wurden von der Bildungskommission NRW als wesentlich im Hinblick auf die Schule gekennzeichnet und stellen zugleich ein für beide Regionen neutrales Raster dar. In allen vier Bereichen werden Unterschiede zwischen beiden Regionen deutlich.
Abgeschlossen wird der Vergleich durch eine ergänzende Betrachtung der Dualen Systeme beider Länder. Hierfür wird der Ausbildungsgang des deutschen Industriekaufmanns mit dem des Schweizer Kaufmanns Basisbildung/erweiterte Grundbildung verglichen. Es zeigen sich weitreichende Unterschiede, die sich auf die tägliche Arbeit der Schulen beider Regionen auswirken.