Publications

This dissertation comprises five different stand-alone research papers that were written as part of the doctoral program in Quantitative Economics and Finance at the University of Konstanz within the period of January 2004 and January 2008. All of the papers deal with an empirical analysis of Venture Capital (VC) financing in Germany and Switzerland, with a special focus on the emerging trend of VC syndication (the provision of capital to high-growth firms by more then a single venture capitalist), the corresponding partner selection in VC syndicates and the governance choices in VC financing.

This dissertation is a collection of three stand-alone research papers. Thereby, the class of local polynomial matching estimators is the central object of investigation. The first essay concentrates on applying local polynomial matching methods in order to account for missing data when estimating parametric conditional mean functions. The second and the third essay provide a closer link at the nonparametric regression literature by developing data-driven smoothing parameter selection algorithms for the matching estimator.

Due to an increasing amount of school leavers lacking apprenticeship training positions or adequate chances to get integrated into the vocational educational system this comparative study aims at the problematic transition from school to work particularly for students of the "Hauptschule"(secondary modern school). In this context the role of the national systems of Career Guidance in Germany as well as in Austria will be discussed.
Regarding current developments within Career Guidance and Vocational Orientation on European level this comparison which contributes to vocational education research (CE/VE) highlights the specific institutional structures and processes in the German and Austrian educational and vocational qualification systems.
To respond to the central questions outlined in the beginning of the paper it will be revert to a triangulation method which includes a literature analysis and an empirical study upon the basis of interviews accomplished in both above mentioned countries.
The paper deals with several theories of vocational choice from different sciences such as psychological or sociological approaches to explore a multiple explanation approach.

Die vorliegende Dissertation besteht aus vier unabhängigen Forschungspapieren. Alle vier Papiere beschäftigen sich mit Kreditverbriefungen, welche ein relativ junges Instrument zum weltweiten Handel von Kreditausfallrisiken darstellen. In einer solchen Transaktion bündelt die verbriefende Bank geeignete Kredite in einem Portfolio und verkauft dieses an eine Zweckgesellschaft, welche den Kauf durch die Emission von Anleihen unterschiedlicher Bonität finanziert. Die vertraglich vereinbarte gestufte Zahlungsreihenfolge an die emittierten Tranchen führt dazu, dass die oberste Tranche beinahe risikofrei ist, wohingegen die unterste Tranche, die so genannte Erstverlustposition, als erste von Verlusten getroffen wird. Insbesondere in den letzten 10 Jahren haben Banken verstärkt Kreditverbriefungen initiiert. Mit dem Ausbruch der Immobilienkrise Mitte des Jahres 2007 in den USA und deren Ausweitung zu einer internationalen Finanzkrise ist der Markt für Kreditverbriefungen allerdings schlagartig zum Erliegen gekommen. Aufgrund der hohen Komplexität und Intransparenz dieser Transaktionen, welche eine korrekte Risikobeurteilung der emittierten Anleihen erschweren, zogen sich viele Investoren aus dem Markt zurück. Die vorliegende Arbeit untersucht verschiedene Aspekte von Kreditverbriefungen und möchte hierdurch zum besseren Verständnis dieser Transaktionen beitragen.

Though the present thesis is not intended as a monograph, its respective chapters are interrelated: The major research question is whether the German public pension system (or potentially any annuity-based pension system) causes redistribution between income groups. Especially the relationship between life expectancy and income, usually perceived to be increasing, gives rise to the conjecture that poor individuals subsidize the pensions of the rich. I analyze the income-life expectancy relationship theoretically and empirically in Chapters 2 and 4, respectively. The redistributive mechanism is empirically analyzed in Chapter 3. Chapter 5 proposes a policy instrument which is capable of neutralizing the redistributive effects.

The thesis consists of a literature overview in Chapter 1, and of four self-contained essays in Chapters 2 through 5. In Chapter 2 (To Work or to Work Out: A Moral-Hazard Interpretation of Labor Supply, Retirement, and Investments in Longevity), I analyze a moral-hazard model with multiple tasks, in which a single agent engages in three different activities, labeled work, delayed retirement, and work out (interpreted as investments in longevity). The latter imposes higher effort costs on weekly labor supply, but increases possibilities for life time labor supply. Work-out does not affect aggregate output and does therefore not accrue to the benefit of the principal. Second best incentives for work out are U-shaped in the agent's ability, and so is the effort level supplied by the agent.

In Chapter 3 (Rich and Healthy - Better than Poor and Sick? An Empirical Analysis of Income, Health, and the Duration of the Pension Benefit Spell), I analyze the relationship between duration of the pension benefit spell and pension benefit claims from the German public pension system, with a special emphasis on differential results with respect to health. This relationship is crucial and causal for a potential structural pattern of redistribution between different income and health groups, induced by the public pension system. Evidence for such redistribution from poor to rich is present for most of the specifications in my analysis. The most adequate specification is partially--linear, does therefore not impose any parametrical restrictions between duration and benefit claims, and allows for potential endogeneity. The relationship I extract is clearly positive. Additionally I find that the income gradient is steeper for pensioners in bad health, meaning that redistribution from less able to more able individuals is more pronounced the worse the health status is.

Subsequently, in Chapter 4 (Non-Monotonicity in the Longevity-Income Relationship), I show that for major sub-groups of pensioners in the public pension system in Germany who died between 1994 and 2005, the relationship between income and life expectancy is non-monotonous. This cannot be explained by anomalies in the data or as an artifact of the estimation technique, and so I provide a fundamental conjecture based on different elasticities of labor supply over the income distribution. Finally, in Chapter 5 On the Fairness of Early Retirement Provisions, joint with Prof. Dr. Friedrich Breyer), we discuss several notions of 'fairness' of early retirement provisions in pay-as-you-go financed public pension systems and we claim that the 'right' notion of fairness depends upon the objectives pursued in the design of pension systems. We point out the problems attached to the extreme positions 'efficiency' and 'welfare maximization' and propose a more modest concept of equity called 'distributive neutrality', which is based on the notion that the ratio between total benefits and total contributions to the pension system should not depend systematically on the individual's ability. By applying this concept to the German retirement benefit formula and taking empirically estimated relationships between duration of the benefit spell and income into account, we show that at the present discount rate of 3.6 per cent per year there is systematic redistribution from low to high earners, which would be attenuated if the discount rate were raised. This seemingly paradoxical finding is due to the fact that in our data set, there is a negative relationship between earnings and retirement age.

Die vorliegende Dissertation basiert auf vier verschiedenen Forschungsarbeiten. Alle Arbeiten befassen sich im weitesten Sinne mit derWirkung von Immigration auf die Arbeitsmärkte des Gastlandes unter der Berücksichtigung der Ausbildungsentscheidung einheimischer Arbeitskräfte. Dabei konzentrieren sich die Arbeiten auf das daraus resultierende einheimische Arbeitsmarktergebnis (bspw. Löhne und Arbeitslosigkeit) sowie die einheimische Immigrationspolitik. Wir erweitern damit die bestehende theoretische Immigrationsliteratur um entweder einheimische Ausbildungsentscheidungen und/oder heterogene Individuen. Das erste Papier gibt eine Übersicht zur bestehenden Literatur bezüglich des Einflusses von Immigration auf Löhne und Arbeitslosigkeit. Das zweite und dritte Papier befasst sich mit Auswirkung von Immigration auf die Ausbildungsentscheidung Einheimischer. Das vierte Papier untersucht die Auswirkung von Immigration auf lokale Arbeitsmärkte unter Berücksichtigung von technologischem Wandel.

This dissertation consists of three stand-alone research papers, all of which treat the topic of estimation and dynamic modelling of multivariate volatility by employing the information contained in high-frequency data, which became available in the last 10 - 15 years. The main focus of all three studies is the multivariate application, in which one is interested in estimating and modelling the covariance matrix of more than two financial assets. Main motivation is that in practice, an economic agent is rarely exposed to a single source of risk, and it is exactly the correlations between risks, which make risk management so important. If risks were not correlated, the concepts of hedging, portfolio diversification and risk management would not have come into existence. The availability of high-frequency data opened new frontiers in the field of risk management not only to financial econometricians and mathematicians, but also to practitioners, who are now able to measure and manage risk much more accurately than only several years ago. It is exactly this relevance and novelty of the field that makes it currently a very active area of research.

The three chapters of this thesis can broadly be separated into two categories - estimation (Chapter 1 and 2) and dynamic modelling (Chapter 3), and are intentionally arranged in a particular sequence in the thesis. The first paper is mainly concerned with how to obtain a precise estimate of the covariance between two assets in the presence of a host of market microstructure frictions. An extension to this problem, where both the estimation of variances and covariances is addressed in a theoretically unified framework, is presented in the second paper, which also develops new estimation techniques improving substantially the efficiency of existing univariate and multivariate estimators. In the third chapter I abstract from the issue of market microstructure, starting from the point where a series of covariance matrices is available, for which a suitable time-series model is to be developed with the aim of making risk forecasts. Thus, the exposition in the thesis evolves logically from the problem of estimating a single covariance, through the estimation of a possibly high-dimensional covariance matrix, to the issue of dynamic modelling and forecasting of the multivariate risks.