Refine
Year of publication
- 2006 (44) (remove)
Document Type
- Working Paper (41)
- Part of Periodical (3)
Has Fulltext
- yes (44)
Is part of the Bibliography
- no (44)
Keywords
- USA (7)
- Bank (4)
- Corporate Governance (3)
- Deutschland (3)
- Geldpolitik (3)
- Risikokapital (3)
- Aktienmarkt (2)
- Contract Design (2)
- Europäische Union (2)
- GARCH-Prozess (2)
- Geduld (2)
- Haushalt (2)
- Housing Wealth (2)
- Kreditmarkt (2)
- Monetary Policy (2)
- Moral Hazard (2)
- OECD (2)
- Portfolio Selection (2)
- Prognose (2)
- Value at Risk (2)
- Value-at-Risk (2)
- Venture Capital (2)
- Vertrag (2)
- Währungsunion (2)
- Absatzweg (1)
- Adverse Selection (1)
- Aktienanlage (1)
- Aktienbörse (1)
- Aktienportefeuille (1)
- Altersstruktur (1)
- Anlagepolitik (1)
- Anticipatory Feeling (1)
- Arbeitslosigkeit (1)
- Arbeitsmarkt (1)
- Asset Price Bubbles (1)
- Asset Price Cycles (1)
- Asset Pricing (1)
- Asset-Backed Security (1)
- Asymmetric Information (1)
- Asymmetrische Information (1)
- Bank Lending Conditions (1)
- Bankenliquidität (1)
- Bankrott (1)
- Bayes-Entscheidungstheorie (1)
- Bevölkerungsentwicklung (1)
- Board Oversight (1)
- Boom (1)
- Bootstrap (1)
- Buffer Stock Saving (1)
- Business Cycles (1)
- Bust (1)
- Capital Taxation (1)
- Capital-Asset-Pricing-Modell (1)
- Cohorts (1)
- Collateral Constraint (1)
- Common Factor Model (1)
- Consumer Credit (1)
- Consumption (1)
- Consumption Dynamics (1)
- Consumption Function (1)
- Credit Cards (1)
- Credit Cycles (1)
- Debit Cards (1)
- Debt-equity swap (1)
- Debt-nature swap (1)
- Decision (1)
- Deutscher Aktienindex (1)
- Devisen (1)
- Disappointment (1)
- Distribution of Welfare (1)
- Downside Risk (1)
- EU-Staaten (1)
- Earnings Management (1)
- Effektivverzinsung (1)
- Einkommen (1)
- Endogenous Beliefs (1)
- Entscheidung bei Unsicherheit (1)
- Equity Premium (1)
- Erwartung (1)
- Euro Area and US (1)
- Executive Compensation (1)
- Financial Crisis (1)
- Finanzmarkt (1)
- Finland (1)
- Finnland (1)
- Fonds (1)
- GARCH (1)
- Generaldirektor (1)
- Geschichte 1984-1995 (1)
- Geschichte 1986-1998 (1)
- Geschichte 1989-2002 (1)
- Geschäftsführer (1)
- Gleichgewicht (1)
- Global Economy (1)
- Gläubiger (1)
- Großbritannien (1)
- Haushaltsdefizit (1)
- High Frequency Data (1)
- Historical Cost (1)
- Home Bias (1)
- House Prices (1)
- Household Consumption Data (1)
- Household Portfolios (1)
- Hypothekengeschäft (1)
- Incomplete Markets (1)
- Index Model (1)
- Industriestaaten (1)
- Inflation (1)
- Insurance (1)
- Intensity Models (1)
- International Capital Flows (1)
- Investment Banking (1)
- Italien (1)
- Japan (1)
- Kanada (1)
- Kapitalertrag (1)
- Kapitalgewinn (1)
- Kapitalkonzentration (1)
- Kassamarkt (1)
- Konjunkturzyklus (1)
- Konsumentenkredit (1)
- Konzentration <Wirtschaft> (1)
- Kredit (1)
- Kreditkarte (1)
- Kreditpolitik (1)
- Kreditrisiko (1)
- Krisenmanagement (1)
- Labor Market (1)
- Lack of Planning (1)
- Learning (1)
- Limited Commitment (1)
- Literacy (1)
- Lohnstarrheit (1)
- Macroeconomic News (1)
- Mark-to-market (1)
- Market Microstructure (1)
- Marktanteil (1)
- Matching (1)
- Mehrgenerationenmodell (1)
- Mergers and Acquisitions (1)
- Model Adequacy (1)
- Monte Carlo Likelihood (1)
- Mortgage Markets (1)
- Multivariate Stable Distribution (1)
- Nash Bargaining (1)
- Nichtlineares mathematisches Modell (1)
- Optimal Monetary Policy (1)
- Optimal Taxation (1)
- Optimism (1)
- Option-pricing Model (1)
- Patience (1)
- Population Aging (1)
- Portfolio Allocation (1)
- Portfolio Inertia (1)
- Portfolio Optimization (1)
- Portfoliomanagement (1)
- Portfolios (1)
- Precautionary Saving (1)
- Preisbildung (1)
- Privater Verbrauch (1)
- Progressive Taxation (1)
- Prospect Theory (1)
- Prudence (1)
- Public Policy (1)
- Real Interest Rates (1)
- Realzins (1)
- Recursive Saddlepoint Method (1)
- Regional Inflation Dynamics (1)
- Revolving Debt (1)
- Risikoverteilung (1)
- Ruhegeld (1)
- Ruhestand (1)
- Schuldverschreibung (1)
- Schweden (1)
- Schätzung (1)
- Smoothing (1)
- Sparen (1)
- Stochastic Discount Factor (1)
- Stock Market Dynamic Interactions (1)
- Stock Trading (1)
- Stockholding (1)
- Structural VAR (1)
- Sweden (1)
- Tarifverhandlung (1)
- Topmanager (1)
- Tying (1)
- U.S. Banking Industry (1)
- Umschuldung (1)
- Unbewegliche Sache (1)
- Under Risk (1)
- Unemployment (1)
- Universal Banking (1)
- Unobserved Component Models (1)
- Unternehmenskonzentration (1)
- Unternehmenskooperation (1)
- Unternehmenssanierung (1)
- Unternehmenszusammenschluss (1)
- VAR Modeling (1)
- Variance Decomposition (1)
- Verbrauch (1)
- Verbraucher (1)
- Vermögensumverteilung (1)
- Vermögensverteilung (1)
- Versicherungsmarkt (1)
- Versicherungsverein auf Gegenseitigkeit (1)
- Verteilungsgerechtigkeit (1)
- Vertrauen (1)
- Vorstandsvorsitzender (1)
- Wage Rigidity (1)
- Wealth Effect (1)
- Wealth Holdings (1)
- Wertpapierportefeuille (1)
- Wettbewerb (1)
- Wettbewerbsfreiheit (1)
- Wettbewerbsfähigkeit (1)
- Wirtschaftskrise (1)
- Wirtschaftspolitik (1)
- Wohlfahrtseffekt (1)
- Wohlstand (1)
- abnormal returns (1)
- bank lending (1)
- bank seserves (1)
- banking system liquidity (1)
- capital (1)
- conditional volatility (1)
- contract econometrics (1)
- contract theory (1)
- coordination risk (1)
- corporate governance (1)
- credit market competition (1)
- default (1)
- distress (1)
- distribution channel (1)
- empirical contract theory (1)
- entrepreneurship (1)
- expectations (1)
- household wealth (1)
- income risk (1)
- insurance (1)
- internal money market (1)
- leverage effect (1)
- manipulation (1)
- market shares (1)
- monetary operations (1)
- moral hazard (1)
- multivariate GARCH (1)
- mutual funds (1)
- owner-manager conflict (1)
- ownership structure (1)
- pension reform (1)
- regime-dependent correlations (1)
- renegotiation (1)
- risk transfer (1)
- second-order dependence (1)
- spot market power (1)
- strategic trading (1)
- systematic risk (1)
- systemic risk (1)
- venture capital (1)
- workout (1)
- Öffentliche Ordnung (1)
- Übernahmeangebot (1)
Institute
- Center for Financial Studies (CFS) (44) (remove)
We study the problem of a policymaker who seeks to set policy optimally in an economy where the true economic structure is unobserved, and policymakers optimally learn from their observations of the economy. This is a classic problem of learning and control, variants of which have been studied in the past, but little with forward-looking variables which are a key component of modern policy-relevant models. As in most Bayesian learning problems, the optimal policy typically includes an experimentation component reflecting the endogeneity of information. We develop algorithms to solve numerically for the Bayesian optimal policy (BOP). However the BOP is only feasible in relatively small models, and thus we also consider a simpler specification we term adaptive optimal policy (AOP) which allows policymakers to update their beliefs but shortcuts the experimentation motive. In our setting, the AOP is significantly easier to compute, and in many cases provides a good approximation to the BOP. We provide a simple example to illustrate the role of learning and experimentation in an MJLQ framework. JEL Classification: E42, E52, E58
The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might supports the use of a global monetary aggregate as a summary measure of worldwide monetary trends. JEL Classification: E52, F01
We analyse a 2-period competitive insurance market which is characterized by the simultaneous presence of standard moral hazard and adverse selection with regard to consumer time preferences. It is shown that there exists an equilibrium in which patient consumers use high effort and buy a profit-making insurance contract with high coverage, whereas impatient consumers use low effort and buy a contract with low coverage or even remain uninsured. This finding may help to explain why positive profits and the opposite of adverse selection with regard to risk types can sometimes be observed empirically. JEL Classification: D82, G22
Market efficiency today
(2006)
This CFS Working Paper has been presented at the CFSsymposium "Market Efficiency Today" held in Frankfurt/Main on October 6, 2005. In 2004 the Center for Financial Studies (CFS) in cooperation with the Johann Wolfgang Goethe University, Frankfurt/Main established an international academic prize, which is to be known as The Deutsche Bank Prize in Financial Economics. The prize will honor an internationally renowned researcher who has excelled through influential contributions to research in the fields of finance and money and macroeconomics, and whose work has lead to practice and policy-relevant results. The Deutsche Bank Prize in Financial Economics has been awarded for the first time in October 2005. The prize, sponsored by the Stiftungsfonds Deutsche Bank im Stifterverband für die Deutsche Wissenschaft, carries a cash award of € 50,000. The prize will be awarded every two years and the prize holder will be appointed a "Distinguished Fellow" of the CFS. The role of media partner for the Deutsche Bank Prize in Financial Economics is to be filled by the internationally renowned publication, The Economist and the Handelsblatt, the leading German-language financial and business newspaper.
In this paper, we consider expected value, variance and worst-case optimization of nonlinear models. We present algorithms for computing optimal expected values, and variance, based on iterative Taylor expansions. We establish convergence and consider the relative merits of policies beaded on expected value optimization and worst-case robustness. The latter is a minimax strategy and ensures optimal cover in view of the worst-case scenario(s) while the former is optimal expected performance in a stochastic setting. Both approaches are used with a macroeconomic policy model to illustrate relative performances, robustness and trade-offs between the strategies. Klassifikation: C61, E43
When a spot market monopolist has a position in a corresponding futures market, he has an incentive to deviate from the spot market optimum to make this position more profitable. Rational futures market makers take this into account when setting prices. We show that the monopolist, by randomizing his futures market position, can strategically exploit his market power at the expense of other futures market participants. Furthermore, traders without market power can manipulate futures prices by hiding their orders behind the monopolist's strategic trades. The moral hazard problem stemming from spot market power thus provides a venue for strategic trading and manipulation that parallels the adverse selection problem stemming from inside information. Klassifikation: D82, G13
Baby boomer retirement security: the roles of planning, financial literacy and housing wealth
(2006)
We compare wealth holdings across two cohorts of the Health and Retirement Study: the early Baby Boomers in 2004, and individuals in the same age group in 1992. Levels and patterns of total net worth have changed relatively little over time, though Boomers rely more on housing equity than their predecessors. Most important, planners in both cohorts arrive close to retirement with much higher wealth levels and display higher financial literacy than non-planners. Instrumental variables estimates show that planning behavior can explain the differences in savings and why some people arrive close to retirement with very little or no wealth. Klassifizierung: D91, E21
Informational economies of scope between lending and underwriting are a mixed blessing for universal banks. While they can reduce the cost of raising capital for a firm, they also reduce incentives in the underwriting business. We show that tying lending and underwriting helps to overcome this dilemma. First, risky debt in tied deals works as a bond to increase underwriting incentives. Second, with limitations on contracting, tying reduces the underwriting rents as the additional incentives from debt can substitute for monetary incentives. In addition, reducing the yield on the tied debt is a means to pay for the rent in the underwriting business and to transfer informational benefits to the client. Thus, tying is a double edged sword for universal banks. It helps to compete against specialized investment banks, but it can reduce the rent to be earned in investment banking when universal banks compete against each other. We derive several empirical predictions regarding the characteristics of tied deals. JEL Classification: G21, G24, D49
Mutual insurance companies and stock insurance companies are different forms of organized risk sharing: policyholders and owners are two distinct groups in a stock insurer, while they are one and the same in a mutual. This distinction is relevant to raising capital, selling policies, and sharing risk in the presence of financial distress. Up-front capital is necessary for a stock insurer to offer insurance at a fair premium, but not for a mutual. In the presence of an ownermanager conflict, holding capital is costly. Free-rider and commitment problems limit the degree of capitalization that a stock insurer can obtain. The mutual form, by tying sales of policies to the provision of capital, can overcome these problems at the potential cost of less diversified owners. JEL Classification: G22, G32
We analyze the effect of committee formation on how corporate boards perform two main functions: setting CEO pay and overseeing the financial reporting process. The use of performance-based pay schemes induces the CEO to manipulate earnings, which leads to an increased need for board oversight. If the whole board is responsible for both functions, it is inclined to provide the CEO with a compensation scheme that is relatively insensitive to performance in order to reduce the burden of subsequent monitoring. When the functions are separated through the formation of committees, the compensation committee is willing to choose a higher pay-performance sensitivity as the increased cost of oversight is borne by the audit committee. Our model generates predictions relating the board committee structure to the pay-performance sensitivity of CEO compensation, the quality of board oversight, and the level of earnings management.