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Eucken's writings are rich in content not only from an (constitutional) economic perspective but also from an economic and business ethics perspective – an often neglected perspective of the reception of German Ordoliberalism in general and the Freiburg School of Economics in particular. The paper gives a first insight into the ethical-normative thinking of Eucken, as one of the main representatives of Ordoliberalism, and explains Eucken’s conception of Social Market Economy as a functioning and humane order as well as Eucken’s Kantian understanding of freedom. To conclude the essay tries to classify Eucken’s Ordoliberalism as a part of the spectrum of modern economic and business ethics.
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor both in complete and in incomplete market settings. We find that the investor significantly adjusts his portfolio when contagion is more likely to occur. Capturing the time dimension of contagion, i.e. the time span between jumps in two stocks or stock indices, is thus of first-order importance when analyzing portfolio decisions. Investors ignoring contagion completely or accounting for contagion while ignoring its time dimension suffer large and economically significant utility losses. These losses are larger in complete than in incomplete markets, and the investor might be better off if he does not trade derivatives. Furthermore, we emphasize that the risk of contagion has a crucial impact on investors' security demands, since it reduces their ability to diversify their portfolios.
Tagungsbericht des Workshops "Völkerrecht und Weltwirtschaft im 19. Jahrhundert. Die Internationalisierung der Ökonomie aus völkerrechts- und wirtschafts(theorie-)geschichtlicher Perspektive", der vom 3. bis 4. September 2009 in Frankfurt am Main stattfand. Veranstalter: Exzellenzcluster "Die Herausbildung normativer Ordnungen"; in Kooperation mit der Goethe Universität Frankfurt am Main; dem Max-Planck-Institut für europäische Rechtsgeschichte
The goal of this research is to develop an understanding of what causes organizations and information systems to be “good” with regard to communication and coordination. This study (1) gives a theoretical explanation of how the processes of organizational adaptation work and (2) what is required for establishing and measuring the goodness of an organization with regard to communication and coordination. By leveraging concepts from cybernetics and philosophy of language, particularly the theoretical conceptualization of information systems as social systems and language communities, this research arrives at new insights. After discussing related work from systems theory, organization theory, cybernetics, and philosophy of language, a theoretical conceptualization of information systems as language communities is adopted. This provides the foundation for two exploratory field studies. Then a formal theory for explaining the adaptation of organizations via language and communication is presented. This includes measures for the goodness of organizations with regard to communication and coordination. Finally, propositions stemming from the theoretical model are tested using multiple case studies in six information system development projects in the financial services industry.
Over the last four decades the literature on bond rating changes and its effects on security prices increased significantly with almost all studies not controlling for the respective reason for those. We therefore investigate the impact of rating events on the stock and the credit default swap (CDS) market incorporating rating reviews and rating changes together with the reason mentioned by the rating agency. Our results for the general effects are in line with prior findings but conditioning on the respective reason shows that the markets’ anticipation of rating actions is largely driven by events due to changes in firms’ operating performance. Furthermore, we provide empirical evidence for the hypothesis in prior literature that a surprise downgrade does not necessarily have to be bad news for stockholders when wealth is transferred from bondholders, but negative rating actions are always bad news for bondholders. The results additionally reveal increasing rating announcement effects by declining credit quality of firms for both rating reviews and changes. JEL Classification: D82, G14, G20. Keywords: Credit Default Swaps, Credit Ratings, Credit Rating Reasons, Event Study.
In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. We make use of a new data base of models designed for such investigations. We focus on three representative models: the Christiano, Eichenbaum, Evans (2005) model, the Smets and Wouters (2007) model, and the Taylor (1993a) model. Although the three models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, the optimal monetary policy responses to other sources of economic fluctuations are widely different in the different models. We show that simple optimal policy rules that respond to the growth rate of output and smooth the interest rate are not robust. In contrast, policy rules with no interest rate smoothing and no response to the growth rate, as distinct from the level, of output are more robust. Robustness can be improved further by optimizing rules with respect to the average loss across the three models.
Soll Wissen nur wirtschaftliches Wachstum fördern? : Umdenken: Innovation als sozialer Prozess
(2009)
Wissenschaftliche Erkenntnisse sollen sich schnell und gewinnbringend in technologische Neuerungen umsetzen lassen, so dass Wirtschaft und Gesellschaft gleichermaßen davon profitieren können. So lässt sich das vorrangige Ziel der Innovations- und Wissenschaftspolitik umschreiben, wie sie beispielsweise von der Europäischen Union betrieben wird. Doch ist diese lineare Betrachtungsweise überhaupt noch zeitgemäß? Zeigen nicht neue Theorien der Ökonomie, dass dieses einfache Fortschrittsverständnis zu kurz greift? Wie müssen sich die herkömmlichen Politikmuster verändern, um Innovation als sozialen Prozess zu verstehen? Wie könnte eine Innovationspolitik aussehen, die Bildung und Wissenschaft nicht nur als Mittel zum ökonomischen Fortschritt instrumentalisiert? Diese und ähnliche aktuelle Fragen wirft unser Forschungsprojekt "Der Beitrag der Neuen Wachstumstheorie zur Koevolution von Wissenskultur und technischem Fortschritt" im Forschungskolleg "Wissenskultur und gesellschaftlicher Wandel" auf.
Traditional New Keynesian models prescribe that optimal monetary policy should aim at price stability. In the absence of a labor market frictions, the monetary authority faces no unemployment/inflation trade-off. I study the design of optimal monetary policy in a framework with sticky prices and matching frictions in the labor market. Optimal policy features deviations from price stability in response to both productivity and government expenditure shocks. When the Hosios 1990 condition is not met, search externalities make the flexible price allocation unfeasible. Optimal deviations from price stability increase with workers’ bargaining power, as firms´ incentives to post vacancies fall and unemployment fluctuates above the Pareto efficient one.
We provide explicit solutions to life-cycle utility maximization problems simultaneously involving dynamic decisions on investments in stocks and bonds, consumption of perishable goods, and the rental and the ownership of residential real estate. House prices, stock prices, interest rates, and the labor income of the decision-maker follow correlated stochastic processes. The preferences of the individual are of the Epstein-Zin recursive structure and depend on consumption of both perishable goods and housing services. The explicit consumption and investment strategies are simple and intuitive and are thoroughly discussed and illustrated in the paper. For a calibrated version of the model we find, among other things, that the fairly high correlation between labor income and house prices imply much larger life-cycle variations in the desired exposure to house price risks than in the exposure to the stock and bond markets. We demonstrate that the derived closed-form strategies are still very useful if the housing positions are only reset infrequently and if the investor is restricted from borrowing against future income. Our results suggest that markets for REITs or other financial contracts facilitating the hedging of house price risks will lead to non-negligible but moderate improvements of welfare.
Renewed interest in fiscal policy has increased the use of quantitative models to evaluate policy. Because of modeling uncertainty, it is essential that policy evaluations be robust to alternative assumptions. We find that models currently being used in practice to evaluate fiscal policy stimulus proposals are not robust. Government spending multipliers in an alternative empirically-estimated and widely-cited new Keynesian model are much smaller than in these old Keynesian models; the estimated stimulus is extremely small with GDP and employment effects only one-sixth as large.
Recent empirical research suggests that measures of investor sentiment have predictive power for future stock returns at intermediate and long horizons. Given that sentiment indicators are widely published, smart investors should exploit the information conveyed by the indicator and thus trigger an immediate market response to the publication of the sentiment indicator. The present paper is the first to empirically analyze whether this immediate response can be identified in the data. We use survey-based sentiment indicators from two countries (Germany and the US). Consistent with previous research we find predictability at intermediate horizons. However, the predictability in the US largely disappears after 1994. Using event study methodology we find that the publication of sentiment indicators affects market returns. The sign of this immediate response is the same as the sign of the intermediate horizon predictability. This is consistent with sentiment being related to mispricing but is inconsistent with the sentiment indicator providing information about future expected returns.
JEL-Classification: G12, G14
Der vorliegende Beitrag untersucht, ob der Mehrheitsaktionär einer Gesellschaft im Vorfeld eines Zwangsausschlusses von Minderheitsaktionären (sog. Squeeze-Out) versucht, die Kapitalmarkterwartungen negativ zu beeinflussen. Ein solches "manipulatives" Verhalten wird häufig in der juristischen wie betriebswirtschaftlichen Literatur unterstellt, da der Aktienkurs fü die Abfindungshöhe die Wertuntergrenze bildet. Unsere empirische Untersuchung der Bilanz- und Pressemitteilungspolitik von Squeeze-Out-Unternehmen im Vorfeld der Ankündigung einer solchen Maßnahme am deutschen Kapitalmarkt zeigt, dass in diesem Zeitraum tatsächlich ein signifikanter Anstieg (Rückgang) der im Ton pessimistischen (optimistischen) Pressemitteilungen feststellbar ist. Allerdings zeigt sich weiter, dass die Aktien der Squeeze-Out-Kandidaten bereits im Vorfeld und am Tag der Ankündigung so hohe positive Überrenditen erzielen, dass der von uns quantifizierte kumulierte Effekt der Informationspolitik auf die Börsenbewertung einen insgesamt nur sehr geringen Einfluss ausübt und von anderen Faktoren (z.B. Abfindungsspekulationen) dominiert wird. JEL: M41, M40, G14, K22
The global financial crisis has lead to a renewed interest in discretionary fiscal stimulus. Advocates of discretionary measures emphasize that government spending can stimulate additional private spending — the so-called Keynesian multiplier effect. Thus, we investigate whether the discretionary spending announced by Euro area governments for 2009 and 2010 is likely to boost euro area GDP by more than one for one. Because of modeling uncertainty, it is essential that such policy evaluations be robust to alternative modeling assumptions and different parameterizations. Therefore, we use five different empirical macroeconomic models with Keynesian features such as price and wage rigidities to evaluate the impact of fiscal stimulus. Four of them suggest that the planned increase in government spending will reduce private spending for consumption and investment purposes significantly. If announced government expenditures are implemented with delay the initial effect on euro area GDP, when stimulus is most needed, may even be negative. Traditional Keynesian multiplier effects only arise in a model that ignores the forward-looking behavioral response of consumers and firms. Using a multi-country model, we find that spillovers between euro area countries are negligible or even negative, because direct demand effects are offset by the indirect effect of euro appreciation.
The utility-maximizing consumption and investment strategy of an individual investor receiving an unspanned labor income stream seems impossible to find in closed form and very dificult to find using numerical solution techniques. We suggest an easy procedure for finding a specific, simple, and admissible consumption and investment strategy, which is near-optimal in the sense that the wealthequivalent loss compared to the unknown optimal strategy is very small. We first explain and implement the strategy in a simple setting with constant interest rates, a single risky asset, and an exogenously given income stream, but we also show that the success of the strategy is robust to changes in parameter values, to the introduction of stochastic interest rates, and to endogenous labor supply decisions.