Refine
Year of publication
- 2010 (47) (remove)
Document Type
- Working Paper (47) (remove)
Language
- English (47) (remove)
Has Fulltext
- yes (47) (remove)
Is part of the Bibliography
- no (47) (remove)
Keywords
- Formale Semantik (4)
- Finanzkrise (3)
- Logik (3)
- Verifikation (3)
- Asset Allocation (2)
- Bank (2)
- Financial Knowledge (2)
- Financial Markets (2)
- Finanzwirtschaft (2)
- Kreditwesen (2)
Institute
- Center for Financial Studies (CFS) (28)
- Informatik (6)
- Exzellenzcluster Die Herausbildung normativer Ordnungen (4)
- Wirtschaftswissenschaften (4)
- Institute for Law and Finance (ILF) (2)
- Extern (1)
- Institut für sozial-ökologische Forschung (ISOE) (1)
- Institute for Monetary and Financial Stability (IMFS) (1)
The 'Russian language proficiency test for multilingual children' is a linguistically and psycholinguistically-grounded test for L1-Russian bilingual children of pre-school and elementary school age. It allows the evaluation of language proficiency in Russian for scientific, therapeutic, and pedagogical purposes. The test is based on preliminary norms: data of 167 German-Russian bilingual children between the ages of 3 years and 6 years 11 months were evaluated.
Bilingual children's proficiency is examined in the following language domains:
- productive and receptive lexicon for verbs and nouns
- production of morphological marking on verbs (first and second-person singular present verbal inflection) and nouns (accusative and dative case singular)
- comprehension of grammatical constructions on the sentence level
The test should be administered by a competent – ideally native – speaker of Russian, and takes approximately 60 minutes to administer.
In addition to the test itself, the 'Russian language proficiency test for multilingual children' contains a questionnaire for gathering detailed information on the input situation as well as the child's previous linguistic and extra-linguistic development. The questionnaire is written in English and Russian and is intended to be filled out by the parents.
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances. JEL Classification: C32, G14, E44
Capturing the zero: a new class of zero-augmented distributions and multiplicative error processes
(2010)
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially simultaneously occurring market events. We introduce a flexible pointmass mixture distribution and develop a semiparametric specification test explicitly tailored for such distributions. Moreover, we propose a new type of multiplicative error model (MEM) based on a zero-augmented distribution, which incorporates an autoregressive binary choice component and thus captures the (potentially different) dynamics of both zero occurrences and of strictly positive realizations. Applying the proposed model to high-frequency cumulated trading volumes of liquid NYSE stocks, we show that the model captures both the dynamic and distribution properties of the data very well and is able to correctly predict future distributions. Keywords: High-frequency Data , Point-mass Mixture , Multiplicative Error Model , Excess Zeros , Semiparametric Specification Test , Market Microstructure JEL Classification: C22, C25, C14, C16, C51
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in microstructure noise. Using transaction data of different stocks traded at the NYSE, we analyze the estimators’ sensitivity to the choice of the pre-averaging bandwidth and suggest an optimal interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we provide guidance for optimal implementation of pre-averaging estimators and discuss potential pitfalls in practice. Quadratic Variation , MarketMicrostructure Noise , Pre-averaging , Sampling Schemes , Jumps
Price pressures
(2010)
We study price pressures in stock prices—price deviations from fundamental value due to a risk-averse intermediary supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price pressure effects are substantially larger with longer durations in smaller stocks. Theoretically, in a simple dynamic inventory model the ‘representative’ intermediary uses price pressure to control risk through inventory mean reversion. She trades off the revenue loss due to price pressure against the price risk associated with remaining in a nonzero inventory state. The model’s closed-form solution identifies the intermediary’s relative risk aversion and the distribution of investors’ private values for trading from the observed time series patterns. These allow us to estimate the social costs—deviations from constrained Pareto efficiency—due to price pressure which average 0.35 basis points of the value traded. JEL Classification: G12, G14, D53, D61
SUMMARY RECOMMENDATIONS 1. One of the major lessons from the current financial crisis refers to the systemic dimension of financial risk which had been almost completely neglected by bankers and supervisors in the pre-2007 years. 2. Accordingly, the most needed change in financial regulation, in order to avoid a repetition of such a crisis in the future, consists of influencing individual bank behaviour such that systemic risk is decreased. This objective is new and distinct from what Basle II was intended to achieve. 3. It is important, therefore, to evaluate proposed new regulatory instruments on the ground of whether or not they contribute to a reduction, or containment of systemic risk. We see two new regulatory measures of paramount importance: the introduction of a Systemic Risk Charge (SRC), and the implementation of a transparent bank resolution regime. Both measures complement each other, thus both have to be realized to be effective. 4. We propose a Systemic Risk Charge (SRC), a levy capturing the contribution of any individual bank to the overall systemic risk which is distinct from the institution’s own default risk. The SRC is set up such that the more systemic risk a bank contributes, the higher is the cost it has to bear. Therefore, the SRC serves to internalize the cost of systemic risk which, up to now, was borne by the taxpayer. 5. Major details of our SRC refer to the use of debt that may be converted into equity when systemic risk threatens the stability of the banking system. Also, the SRC raises some revenues for government. 6. The SRC has to be compared to several bank levies currently debated. The Financial Transaction Tax (FTT) does not directly address systemic risk and is therefore inferior to a SRC. Nevertheless, a FTT may offer the opportunity to subsidize on-exchange trading at the expense of off-exchange (over-the-counter, OTC) transactions, thereby enhancing financial market stability. The Financial Activity Tax (FAT) is similar to a VAT on financial services. It is the least adequate instrument among all instruments discussed above to limit systemic risk. 7. Bank resolution regime: No instrument to contain systemic risk can be effective unless the restructuring of bank debt, and the ensuing loss given default to creditors, is a real possibility. As the crisis has taught, bank restructuring is very difficult in light of contagion risk between major banks. We therefore need a regulatory procedure that allows winding down banks, even large banks, on short notice. Among other things, the procedure will require to distinguish systemically relevant exposures from those that are irrelevant. Only the former will be saved with government money, and it will then be the task of the supervisor to ensure a sufficient amount of nonsystemically relevant debt on the balance sheet of all banks. 8. Further issues discussed in this policy paper and its appendices refer to the necessity of a global level playing field, or the lack thereof, for these new regulatory measures; the convergence of our SRC proposal with what is expected to be long-term outcome of Basle III discussions; as well as the role of global imbalances.
Many studies show that most people are not financially literate and are unfamiliar with even the most basic economic concepts. However, the evidence on the determinants of economic literacy is scant. This paper uses international panel data on 55 countries from 1995 to 2008, merging indicators of economic literacy with a large set of macroeconomic and institutional variables. Results show that there is substantial heterogeneity of financial and economic competence across countries, and that human capital indicators (PISA test scores and college attendance) are positively correlated with economic literacy. Furthermore, inhabitants of countries with more generous social security systems are generally less literate, lending support to the hypothesis that the incentives to acquire economic literacy are related to the amount of resources available for private accumulation. JEL Classification: E2, D8, G1
We estimate the risk and expected returns of private equity investments based on the market prices of exchange traded funds of funds that invest in unlisted private equity funds. Our results indicate that the market expects unlisted private equity funds to earn abnormal returns of about one to two percent. We also find that the market expects listed private equity funds to earn zero to marginally negative abnormal returns net of fees. Both listed and unlisted private equity funds have market betas close to one and positive factor loadings on the Fama-French SMB factor. Private equity fund returns are positively correlated with GDP growth and negatively correlated with the credit spread. Finally, we find that market returns of exchange traded funds of funds and listed private equity funds predict changes in self-reported book values of unlisted private equity funds.
We investigate the incentives for vertical or horizontal integration in the financial security service industry, consisting of trading, clearing and settlement. We thereby focus on firms’ decisions but also look on the implications of these decisions on competition and welfare. Our analysis shows that the incentives for vertical integration crucially depend on industry as well as market characteristics. A more pronounced demand for liquidity clearly favors vertical integration whereas deeper financial integration increases the incentives to undertake vertical integration only if the efficiency gains associated with vertical integration are sufficiently large. Furthermore, we show that market forces can suffer from a coordination problem that end in vertically integrated structures that are not in the best interest of the firms. We believe this problem can be addressed by policy measures such as the TARGET2-Securities program. Furthermore, we use our framework to discuss major industry trends and policy initiatives. Keywords: Vertical Integration , Horizontal Integration , Competition , Trading , Settlement JEL Classification: G15, L13, L22
On the backdrop of the 2008 financial crisis this paper introduces an understanding of societal crises as a reduction in the meaning production of social entities, which can either be internally or externally provoked. The emergence of constitutions and, more generally, constitutional structures, can be understood as responses to both forms of crisis. This is the case because they are double-edged structures which are simultaneously oriented towards the maintenance of internal order and stability within a given social entity at the same time as they frame the transfer of the meaning components between the social entities and their environments. Thus, the 2008 financial crisis indicates a failure of constitutional bonding. When observed from an overall structural perspective, the reasons for this failure can be traced back to an increased discrepancy between the structural composition of world society and the constitutional structures in place. The crisis reflects a failure to respond to two simultaneous, inter-related and mutually re-inforcing structural transformations. First, there is the increased globalisation, which has led to massive dis-locations in the relative centrality of the different national configurations for the reproductive processes of functional systems. Second, there is a structural transformation of the transnational layer of world society through a reduced reliance on the centre/periphery differentiation and an increased reliance on functional differentiation. One of the many consequences of this development is the emergence of new forms of transnational law and politics. A new constitutional architecture which reflects these transformations is needed in order to ensure an adequate constitutional bonding of economic processes, as well as of other social processes.