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We determine optimal monetary policy under commitment in a forwardlooking New Keynesian model when nominal interest rates are bounded below by zero. The lower bound represents an occasionally binding constraint that causes the model and optimal policy to be nonlinear. A calibration to the U.S. economy suggests that policy should reduce nominal interest rates more aggressively than suggested by a model without lower bound. Rational agents anticipate the possibility of reaching the lower bound in the future and this amplifies the effects of adverse shocks well before the bound is reached. While the empirical magnitude of U.S. mark-up shocks seems too small to entail zero nominal interest rates, shocks affecting the natural real interest rate plausibly lead to a binding lower bound. Under optimal policy, however, this occurs quite infrequently and does not imply positive average inflation rates in equilibrium. Interestingly, the presence of binding real rate shocks alters the policy response to (non-binding) mark-up shocks.
The effects of public policy programmes which aim at internalising spill-overs due to successful innovation are analysed in a sequential double-sided moral hazard double-sided adverse selection framework. The central focus lies in analysing their impact on contract design. We show that in our framework only ex post grants are a robust instrument for implementing the first-best situation, whereas the success of guarantee programmes, ex ante grants and some public-private partnerships depends strongly on the characteristics of the project: in certain cases they not only give no further incentives but even destroy contract mechanisms and so worsen the outcome.
The effects of public policy programmes which aim at internalising spill-overs due to successful innovation are analysed in a sequential double-sided moral hazard double-sided adverse selection framework. The central focus lies in analysing their impact on contract design. We show that in our framework only ex post grants are a robust instrument for implementing the first-best situation, whereas the success of guarantee programmes, ex ante grants and some public-private partnerships depends strongly on the characteristics of the project: in certain cases they not only give no further incentives but even destroy contract mechanisms and so worsen the outcome.
This paper shows that a capital budgeting process in which the division manager is required to engage in personally costly influence activities prior to a project approval has beneficial incentive effects: It provides the manager with incentives to acquire costly information about project prospects and helps to elicit the revelation of the acquired information. As a consequence, imposing influence costs on the manager can lead to improved capital allocations. The optimal level of influence costs, chosen by the firm, trades off ex ante incentives for information acquisition against efficient use of the acquired information ex post.
Inflation hat in den letzten Jahren weltweit erheblich an Popularität eingebüßt. Galten noch in den 1960er und 1970er Jahren moderate Inflationsraten von 5 bis 10 Prozent als wachstums- und beschäftigungsfördernd, so ist es mittlerweile in Politik und Wissenschaft nahezu unstrittig, dass Inflation vor allem volkswirtschaftliche Kosten verursacht und deshalb Preisstabilität das vorrangige Ziel moderner Geldpolitik sein muss. So sieht insbesondere die in Frankfurt ansässige Europäische Zentralbank (EZB) ihre Hauptaufgabe darin, die jährliche Inflationsrate in der Eurozone unter 2 Prozent zu halten. Klettert die Inflationsrate nur wenige Dezimalpunkte über diesen Zielwert, muss mit Zinserhöhungen und einer restriktiven Geldpolitik der Zentralbank gerechnet werden. Diese Geldpolitik i s t gerechtfertigt, wenn bereits niedrige Inflationsraten messbare realwirtschaftliche Effekte besitzen. Eine Studie der Professur für Empirische Makroökonomie untersucht deshalb den Einfluss von Inflation auf die Variabilität der relativen Preise.
Wie können Unternehmen bei der Auswahl von Bewerbern zukünftig besser zwischen Quantität und Qualität abwägen? Welche Wege sollten Kandidaten bei der Suche nach ihrem Wunscharbeitgeber einschlagen? Fragen, mit denen sich die Frankfurter Wirtschaftsinformatiker beschäftigen. Das Internet hat in den letzten Jahren die Personalbeschaffung erobert: Viele große und mittlere Unternehmen suchen ihr neues Personal inzwischen überwiegend auf elektronischem Weg. So lassen sich nicht nur die Kosten für das Personalmarketing deutlich reduzieren, auch die Rekrutierungszeiten werden kürzer. Doch gleichzeitig sehen sich die Unternehmen einer wachsenden Flut von Bewerbern gegenüber: Stellensuchende nutzen – verstärkt durch den Druck des Arbeitsmarkts – zunehmend die Chance, ihre Bewerbung über das Internet schnell, kostengünstig und an mehrere Unternehmen gleichzeitig elektronisch zu versenden. Um schnell die relevantesten Bewerber für ausgeschriebene Stellen zu identifizieren, benötigen die Unternehmen entsprechende Tools. Das Team um Wolfgang König und Tobias Keim erforscht innovative Lösungen.
Kapitalmarktorientierte Risikosteuerung in Banken : Marktwertsteuerung statt Marktzinsmethode
(2005)
In diesem Beitrag wird das Konzept der Marktzinsmethode als Grundlage der dualen Risikosteuerung von Kredit- und Marktpreisrisiken in Frage gestellt. Die Kreditrisiken einer Bank implizieren bonitätsinduzierte Marktpreisrisiken und bankspezifische Refinanzierungskosten. Während die bonitätsinduzierten Marktpreisrisiken in der dualen Risikosteuerung keine Berücksichtigung finden, werden die bankspezifischen Refinanzierungskosten zwar erkannt, aber bankintern nicht verursachungsgerecht zugeordnet. Das Grundmodell der Marktzinsmethode bietet keine Lösungsansätze zur Behebung dieser Probleme. Demgegenüber lassen sich die Fehlsteuerungsimpulse von vornherein durch eine konsequente Marktbewertung (Mark to Market) aller Finanzinstrumente vermeiden. Als Ausblick werden erste Überlegungen zur Implementierung einer umfassenden Marktwertsteuerung in Banken entwickelt und exemplarisch ein hierfür geeignetes Bewertungsmodell vorgestellt.
In this paper, we propose a model of credit rating agencies using the global games framework to incorporate information and coordination problems. We introduce a refined utility function of a credit rating agency that, additional to reputation maximization, also embeds aspects of competition and feedback effects of the rating on the rated firms. Apart from hinting at explanations for several hypotheses with regard to agencies' optimal rating assessments, our model suggests that the existence of rating agencies may decrease the incidence of multiple equilibria. If investors have discretionary power over the precision of their private information, we can prove that public rating announcements and private information collection are complements rather than substitutes in order to secure uniqueness of equilibrium. In this respect, rating agencies may spark off a virtuous circle that increases the efficiency of the market outcome.
Mobile telephony and mobile internet are driving a new application paradigm: location-based services (LBS). Based on a person’s location and context, personalized applications can be deployed. Thus, internet-based systems will continuously collect and process the location in relationship to a personal context of an identified customer. One of the challenges in designing LBS infrastructures is the concurrent design for economic infrastructures and the preservation of privacy of the subjects whose location is tracked. This presentation will explain typical LBS scenarios, the resulting new privacy challenges and user requirements and raises economic questions about privacy-design. The topics will be connected to “mobile identity” to derive what particular identity management issues can be found in LBS.
In this paper, I examine the potential of mobile alerting services empowering investors to react quickly to critical market events. Therefore, an analysis of short-term (intraday) price effects is performed. I find abnormal returns to company announcements which are completed within a timeframe of minutes. To make use of these findings, these price effects are predicted using pre-defined external metrics and different estimation methodologies. Compared to previous research, the results provide support that artificial neural networks and multiple linear regression are good estimation models for forecasting price effects also on an intraday basis. As most of the price effect magnitude and effect delay can be estimated correctly, it is demonstrated how a suitable mobile alerting service combining a low level of user-intrusiveness and timely information supply can be designed.
Unter Berücksichtigung der implementationsanalytischen und kausalen Analysen für die Einführungsphase der Vermittlungsgutscheine kommen die Autoren zu dem Schluss, dass die Erprobungsphase dieses arbeitsmarktpolitischen Instruments fortgesetzt werden sollte. Aus der Implementationsanalyse zeigt sich, dass der Verbreitungsgrad des Instruments auch nach 27 Monaten Erprobungsphase sehr gering ist. Die kausalen Analysen beziehen sich aufgrund begrenzter Datenverfügbarkeit lediglich auf zwei Ausgabemonate ein Jahr nach Einführung des Instruments (Mai und Juni 2003) und zeigen geringe positive Beschäftigungseffekte auf der Mikro-Ebene. Ob dadurch die Kosten der Vermittlungsgutscheine gerechtfertigt sind, lässt sich derzeit noch nicht abschließend beurteilen. Anzeichen für Mitnahmeeffekte und/oder Missbrauch existieren. Auch haben erfolgreiche Vermittlungen durch Gutscheine die Beschäftigungschancen in anderen Gruppen geschmälert. Deshalb werden verschiedene Vorschläge für eine kosteneffizientere Ausgestaltung der Vermittlungsgutscheine dargestellt und diskutiert. Insbesondere wird auf die Vorschläge des Bundeskabinetts vom 01.09.2004 eingegangen.
Die vorliegende Analyse untersucht die Beschäftigungseffekte von Vermittlungsgutscheinen und Personal-Service-Agenturen mit Hilfe einer makroökonometrischen Evaluation. Neben einer mikroökonometrischen Evaluation, welche die Wirkungen auf individueller Ebene untersucht, kann eine makroökonometrische Analyse Aussagen über die gesamtwirtschaftlichen Effekte der Maßnahmen machen. Die strukturellen Multiplikatorwirkungen im makroökonomischen Kreislaufzusammenhang werden jedoch nicht berücksichtigt. Das ökonometrische Modell zur Analyse der beiden Maßnahmen basiert auf einer Matching-Funktion, die den Suchprozess von Firmen und von Arbeitern nach einem Beschäftigungsverhältnis abbildet. Die empirischen Analysen werden getrennt für Ost- und Westdeutschland sowie für die Strategietypen der Bundesagentur für Arbeit durchgeführt. Sie zeigen, dass die Ausgabe von Vermittlungsgutscheinen nur in „großstädtisch geprägten Bezirken vorwiegend in Westdeutschland mit hoher Arbeitslosigkeit“ (Strategietyp II) einen signifikant positiven Effekt auf den Suchprozess hat. Für die Personal-Service-Agenturen zeigen sich signifikant positive Effekte für Ost- als auch für Westdeutschland. Allerdings fehlt für eine abschließende Bewertung der Ergebnisse für die Personal- Service-Agenturen aufgrund der relativ geringen Teilnehmerzahl noch ein Vergleich mit mikroökonometrischen Analysen.
Serial correlation in dynamic panel data models with weakly exogenous regressor and fixed effects
(2005)
Our paper wants to present and compare two estimation methodologies for dynamic panel data models in the presence of serially correlated errors and weakly exogenous regressors. The ¯rst is the ¯rst di®erence GMM estimator as proposed by Arellano and Bond (1991) and the second is the transformed Maximum Likelihood Estimator as proposed by Hsiao, Pesaran, and Tahmiscioglu (2002). Thereby, we consider the ¯xed e®ects case and weakly exogenous regressors. The ¯nite sample properties of both estimation methodologies are analysed within a simulation experiment. Furthermore, we will present an empirical example to consider the performance of both estimators with real data. JEL Classification: C23, J64
In this paper we evaluate the employment effects of job creation schemes on the participating individuals in Germany. Job creation schemes are a major element of active labour market policy in Germany and are targeted at long-term unemployed and other hard-to-place individuals. Access to very informative administrative data of the Federal Employment Agency justifies the application of a matching estimator and allows to account for individual (group-specific) and regional effect heterogeneity. We extend previous studies in four directions. First, we are able to evaluate the effects on regular (unsubsidised) employment. Second, we observe the outcome of participants and non-participants for nearly three years after programme start and can therefore analyse mid- and long-term effects. Third, we test the sensitivity of the results with respect to various decisions which have to be made during implementation of the matching estimator, e.g. choosing the matching algorithm or estimating the propensity score. Finally, we check if a possible occurrence of 'unobserved heterogeneity' distorts our interpretation. The overall results are rather discouraging, since the employment effects are negative or insignificant for most of the analysed groups. One notable exception are long-term unemployed individuals who benefit from participation. Hence, one policy implication is to address programmes to this problem group more tightly. JEL Classification: J68, H43, C13
Job creation schemes (JCS) have been one important programme of active labour market policy in Germany aiming at the re-integration of hard-to-place unemployed individuals into regular employment. In ontrast to earlier evaluation studies of these programmes based on survey data, we use administrative data containing more than 11,000 participants for our analysis and hence, can take effect heterogeneity explicitly into account. We focus on effect heterogeneity caused by differences in the implementation of programmes (economic sector, types of support and implementing institutions). The results are rather discouraging and show that in general, JCS are unable to improve the re-integration chances of participants into regular employment.
Vocational training programmes have been the most important active labour market policy instrument in Germany in the last years. However, the still unsatisfying situation of the labour market has raised doubt on the efficiency of these programmes. In this paper, we analyse the effects of the participation in vocational training programmes on the duration of unemployment in Eastern Germany. Based on administrative data for the time between the October 1999 and December 2002 of the Federal Employment Administration, we apply a bivariate mixed proportional hazards model. By doing so, we are able to use the information of the timing of treatment as well as observable and unobservable influences to identify the treatment effects. The results show that a participation in vocational training prolongates the unemployment duration in Eastern Germany. Furthermore, the results suggest that locking-in effects are a serious problem of vocational training programmes. JEL Classification: J64, J24, I28, J68
The effects of vocational training programmes on the duration of unemployment in Eastern Germany
(2005)
Vocational training programmes have been the most important active labour market policy instrument in Germany in the last years. However, the still unsatisfying situation of the labour market has raised doubt on the efficiency of these programmes. In this paper, we analyse the effects of the participation in vocational training programmes on the duration of unemployment in Eastern Germany. Based on administrative data for the time between the October 1999 and December 2002 of the Federal Employment Administration, we apply a bivariate mixed proportional hazards model. By doing so, we are able to use the information of the timing of treatment as well as observable and unobservable influences to identify the treatment effects. The results show that a participation in vocational training prolongates the unemployment duration in Eastern Germany. Furthermore, the results suggest that locking-in effects are a serious problem of vocational training programmes. JEL Classification: J64, J24, I28, J68
Previous empirical studies of job creation schemes in Germany have shown that the average effects for the participating individuals are negative. However, we find that this is not true for all strata of the population. Identifying individual characteristics that are responsible for the effect heterogeneity and using this information for a better allocation of individuals therefore bears some scope for improving programme efficiency. We present several stratification strategies and discuss the occurring effect heterogeneity. Our findings show that job creation schemes do neither harm nor improve the labour market chances for most of the groups. Exceptions are long-term unemployed men in West and long-term unemployed women in East and West Germany who benefit from participation in terms of higher employment rates. JEL: C13 , J68 , H43
Innovations are a key factor to ensure the competitiveness of establishments as well as to enhance the growth and wealth of nations. But more than any other economic activity, decisions about innovations are plagued by failures of the market mechanism. As a response, public instruments have been implemented to stimulate private innovation activities. The effectiveness of these measures, however, is ambiguous and calls for an empirical evaluation. In this paper we make use of the IAB Establishment Panel and apply various microeconometric methods to estimate the effect of public measures on innovation activities of German establishments. We find that neglecting sample selection due to observable as well as to unobservable characteristics leads to an overestimation of the treatment effect and that there are considerable differences with regard to size class and betweenWest and East German establishments.