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In the aftermath of the global financial crisis, both resolution planning, i.e. contingency planning by both regulated institutions and public authorities in order to prepare their actions in financial crisis, and concepts for structural bank reform have been identified as possible solutions to ending “Too Big To Fail” and foster market discipline among bank owners, bank managers and investors in bank debt. Both concepts thus complement the global quest for reliable procedures and tools for bank resolution that would minimise systemic implications once large and complex financial institutions have reached the stage of insolvency. Given the complex task of orchestrating swift and effective resolution actions, especially with regard to cross-border banking groups and financial conglomerates, planning ahead in good times has since been widely recognised as crucial for enhancing resolvability. At least part of the impediments to resolution will be found in organisational, financial and legal complexity that has evolved in banks and groups over time. To remove these impediments, interference with existing corporate and group structures is all but inevitable. However, in both international standard setting and at the European Union level, issues related to resolution planning (within the context of bank resolution reform) and structural banking reforms to date have been discussed rather separately. This lack of consistency is questionable, given the obvious need to reconcile both approaches in order to facilitate effective implementation and enforcement especially with regard to large, complex banking groups. Based on an analysis both of the Bank Recovery and Resolution Directive and the SRM Regulation, this paper explores how these problems could be dealt with within the context of the European Banking Union.
Can a tightening of the bank resolution regime lead to more prudent bank behavior? This policy paper reviews arguments for why this could be the case and presents evidence linking changes in bank resolution regimes with bank risk-taking. The authors find that the tightening of bank resolution in the U.S. (i.e., the introduction of the Orderly Liquidation Authority) significantly decreased overall risk-taking of the most affected banks. This effect, however, does not hold for the largest and most systemically important banks – too-big-to-fail seems to be unresolved. Building on the insights from the U.S. experience, the authors derive principles for effective resolution regimes and evaluate the emerging resolution regime for Europe.
Resolving financial distress where property rights are not clearly defined: the case of China
(2022)
We use data on financially distressed Chinese companies in order to study a debt market where property rights are crudely defined and poorly enforced. To help with identification we use an event where a business-friendly province published new guidelines regarding the administration and enforcement of assets pledged as collateral. Although by no means a comprehensive reform of bankruptcy law or property rights, by instructing courts to enforce existing, albeit rudimentary, contractual rights the new guidelines virtually eliminated creditors runs and produced a sharp increase in the survival rate of financially-distressed companies. These changes illustrate how piecemeal reforms of property rights and their enforcement may have a significant impact on economic outcomes. Our analysis and results challenge the view that a fully fledged system of private property is a precondition for economic development.
We investigate the differential effect of the COVID-19 shock to the stock market shock on the share prices of firms with different levels of ESG (Environmental, Social and Governance) scores. Thereby, we analyse whether and to what extent better ESG ratings provided insurance for investors in the stocks of those firms during this shock. We focus our analysis on the European market in which ESG investment plays a particularly important role. Using a broad sample of listed firms we provide mixed evidence. On the one hand, we show that immediately after the start of the shock firms with a higher ESG score outperformed their peers. On the other hand, this effect faded less than six weeks later. Given the quick recovery of the market our finding supports the idea that ESG stocks provide limited insurance in severe crises.
Socially responsible investing (SRI) continues to gain momentum in the financial market space for various reasons, starting with the looming effect of climate change and the drive toward a net-zero economy. Existing SRI approaches have included environmental, social, and governance (ESG) criteria as a further dimension to portfolio selection, but these approaches focus on classical investors and do not account for specific aspects of insurance companies. In this paper, we consider the stock selection problem of life insurance companies. In addition to stock risk, our model set-up includes other important market risk categories of insurers, namely interest rate risk and credit risk. In line with common standards in insurance solvency regulation, such as Solvency II, we measure risk using the solvency ratio, i.e. the ratio of the insurer’s market-based equity capital to the Value-at-Risk of all modeled risk categories. As a consequence, we employ a modification of Markowitz’s Portfolio Selection Theory by choosing the “solvency ratio” as a downside risk measure to obtain a feasible set of optimal portfolios in a three-dimensional (risk, return, and ESG) capital allocation plane. We find that for a given solvency ratio, stock portfolios with a moderate ESG level can lead to a higher expected return than those with a low ESG level. A highly ambitious ESG level, however, reduces the expected return. Because of the specific nature of a life insurer’s business model, the impact of the ESG level on the expected return of life insurers can substantially differ from the corresponding impact for classical investors.
Ressourcen und Potenziale in Hessens Betrieben : Abschlussbericht des IAB Betriebspanels Hessen 2012
(2013)
Retained earnings and foreign portfolio ownership: implications for the current account debate
(2023)
In some countries, a sizable fraction of savings is derived from corporate savings. Although larger, traded corporations are often co-owned by foreign portfolio investors, current international accounting standards allocate all corporate savings to the host country. This paper suggests a framework to correct for this misleading attribution and applies this concept to Germany. For the years 2012 to 2020, our corrections retrospectively reduce German savings and consequently the German current account surplus by, on average, €11.5bn annually. This amounts to approximately five percent of Germany’s average official current account surplus (€226.6bn) across these years.
We estimate the effect of pension reforms on households' expectations of retirement outcomes and private wealth accumulation decisions exploiting a decade of intense Italian pension reforms as a source of exogenous variation in expected pension wealth. The Survey of Household Income and Wealth, a large random sample of the Italian population, elicits expectations of the age at which workers expect to retire and of the ratio of pension benefits to pre-retirement income between 1989 and 2002. We find that workers have revised expectations in the direction suggested by the reform and that there is substantial offset between private wealth and perceived pension wealth, particularly by workers that are better informed about their pension wealth. Klassifikation: E21, H55
Ausgehend von einer Erläuterung der Kriseninterpretation (crisis narrative), wie sie in dem Bericht der Liikanen-Kommission zugrunde liegt, werden die nach Ansicht des Verfassers zentralen Vorschläge des Kommissionsberichts ausgewählt, vorgestellt und in den größeren Rahmen einer erneuerten Ordnungspolitik für die Finanzmärkte Europas eingeordnet. Die mit den Vorschlägen eng zusammenhängenden Reformelemente der Bankenunion werden in diesem Text bewusst ausgeklammert. Die beiden zentralen Strukturvorschläge des Liikanen-Berichts betreffen die Abspaltung der Handelsgeschäfte von dem Universalbankengeschäft für große, internationale Banken (der Trennbankenvorschlag), sowie die verpflichtende Emission nachrangigen, glaubwürdig haftenden Fremdkapitals (der strenge Bail-in Vorschlag). Glaubwürdigkeit der Haftungszusage wird durch strenge Halterestriktionen erreicht. Vorhersehbare Folgerungen einer Einführung dieser Strukturregeln für die Finanzindustrie und -märkte werden in einem abschließenden Teil angesprochen.
Within a two step GARCH framework we estimate the time-varying spillover effects from European and US return innovations to 10 economic sectors within the euro area, the United States, and the United Kingdom. We use daily data from January 1988 - March 2002. At the beginning of our sample sectors in all three currency areas/blocks formed a quite homogeneous group exhibiting only minor sector-specific characteristics. However, over time sectors became more heterogeneous, that is the response to aggregate shocks increasingly varies across sectors. This provides evidence that sector-specific effects gained in importance. European industries show increased heterogeneity simultaneously with the start of the European Monetary Union, whereas in the US this trend started in the early 1990's. Information technology and non-cyclical services (including telecommunication services) became the most integrated sectors worldwide, which are most affected by aggregate European and US shocks. On the other hand, basic industries, non-cyclical consumer goods, resources, and utilities became less affected by aggregate shocks. Volatility spillovers proved to be small and volatile. JEL_Klassifikation: G1, F36
Deviations from normality in financial return series have led to the development of alternative portfolio selection models. One such model is the downside risk model, whereby the investor maximizes his return given a downside risk constraint. In this paper we empirically observe the international equity allocation for the downside risk investor using 9 international markets’ returns over the last 34 years. The results are stable for various robustness checks. Investors may think globally, but instead act locally, due to greater downside risk. The results provide an alternative view of the home bias phenomenon, documented in international financial markets. JEL Classification: G11, G12, G15
A number of recent studies regress a "narratively" identified measure of a macroeconomic shock directly on an outcome variable. In this note, we argue that this approach can be viewed as the reduced-form regression of an instrumental variable approach in which the narrative time series is used as an instrument for an endogenous series of interest. This motivates evaluating the validity of narrative measures through the lens of a randomized experiment. We apply our framework to four recently constructed narrative measures of tax shocks by Romer and Romer (2010), Cloyne (2013), and Mertens and Ravn (2012). All of them turn out to be weak instruments for observable measures of taxes. After correcting for weak instruments, we find that using any of the considered narrative tax measures as an instrument for cyclically adjusted tax revenues yields tax multiplier estimates that are indistinguishable from zero. We conclude that the literature currently understates the uncertainty associated with quantifying the tax multiplier.
Revisiting the stealth trading hypothesis: does time-varying liquidity explain the size-effect?
(2019)
Large trades have a smaller price impact per share than medium-sized trades. So far, the literature has attributed this effect to the informational content of trades. In this paper, we show that this effect can arise from strategic order placement. We introduce the concept of a liquidity elasticity, measuring the responsiveness of liquidity demand with respect to changes in liquidity supply, as a major driver for a declining price impact per share. Empirical evidence based on Nasdaq stocks strongly supports theoretical predictions and shows that the aspect of liquidity coordination is an important complement to rationales based on asymmetric information.
In recent years European financial regulation has experienced a tremendous reorientation with respect to the shadow banking system, which manifested first and foremost in its reframing as market-based finance. Initially identified as a source of systemic risk certain initiatives did not only fall much behind the envisaged changes but all to the contrary have been substantially modified in a way that they now aim at revitalizing these activities. The reorientation of European regulatory agency on shadow banking post-crisis, from curtailing it to facilitating resilient market-based finance, has been a cause for irritation by academic observers, dismissed by some as mere rebranding or taken as a sign of regulatory capture. All to the contrary, this paper documents the central role of regulatory agency in shadow banking’s reconfiguration. It does so by analyzing the European initiatives concerning the regulation of Asset-Backed Commercial Paper (ABCP) and another prime example of shadow banking, Money Market Mutual Funds (MMFs). Based on documentary analysis and expert interviews we trace the way the recently published EU frameworks for MMFs and ABCP have been designed (in particular the STS, CRR and MMF regulation in 2017). Furthermore, we show how they have been transformed in such a way that their final versions allow to re-establish the shadow banking chain linking MMFs, the ABCP market and arguably the regular banking system. This transformation is driven by a new form of pro-active European regulatory agency which aims at creating a regulatory infrastructure able to sustain the orderly flow of real economy debt. Far from being captured by the industry, they did so consciously and in cooperation with private actors in order to maintain a channel for credit creation outside of bank credit, a task made more complicated by the rushed politicized final negotiations coupled with technical complexity. This paper thereby contributes to a new strand of literature, seeing the creation and reconfiguration of the shadow banking system as characterized by the active and conscious role of state actors.
We introduce rewriting of meta-expressions which stem from a meta-language that uses higher-order abstract syntax augmented by meta-notation for recursive let, contexts, sets of bindings, and chain variables. Additionally, three kinds of constraints can be added to meta-expressions to express usual constraints on evaluation rules and program transformations. Rewriting of meta-expressions is required for automated reasoning on programs and their properties. A concrete application is a procedure to automatically prove correctness of program transformations in higher-order program calculi which may permit recursive let-bindings as they occur in functional programming languages. Rewriting on meta-expressions can be performed by solving the so-called letrec matching problem which we introduce. We provide a matching algorithm to solve it. We show that the letrec matching problem is NP-complete, that our matching algorithm is sound and complete, and that it runs in non-deterministic polynomial time.
We consider matching, rewriting, critical pairs and the Knuth-Bendix confluence test on rewrite rules in a nominal setting extended by atom-variables. Computing critical pairs is done using nominal unification, and rewriting using nominal matching. We utilise atom-variables to formulate rewrite rules, which is an improvement over previous approaches, using usual nominal unification, nominal matching and nominal equivalence of expressions coupled with a freshness constraint. We determine the complexity of several problems in a quantified freshness logic. In particular we show that nominal matching is Πp2-complete. We prove that the adapted Knuth-Bendix confluence test is applicable to a nominal rewrite system with atom-variabes and thus, that there is a decidable test whether confluence of the ground instance of the abstract rewrite system holds. We apply the nominal Knuth Bendix confluence criterion to the theory of monads, and compute a convergent nominal rewrite system modulo alpha-equivalence.
Der vorliegende Beitrag leitete das Programm des Workshops „Schlichten und Richten – Differenzierung und Hybridisierung” (Frankfurt/Main, 9./10. Februar 2012) ein. Mit diesem Workshop begann das Arbeitsprogramm des LOEWE–Schwerpunkts „Außergerichtliche und gerichtliche Konfliktlösung“, der am 1. Januar 2012 seine Tätigkeit aufgenommen hatte (siehe hierzu www.konfliktloesung.eu; eine leicht veränderte Fassung des Beitrags in englischer Sprache wird in Kürze abrufbar sein unter: http://www.ssrn.com/link/Max-Planck-Legal-History-RES.html ). Der Ausgangspunkt des Workshops ist eine deutsche Debattentradition, die die Alternativität von gerichtlichen und nichtgerichtlichen, kontradiktorischen oder konsensualen sowie mehr formalisierten und mehr informalisierten Konfliktlösungsformen unter dem Schlagwort „Schlichten oder Richten“ (auch „Schlichten statt Richten“ oder „Schlichten oder Richten“) thematisierte.
Der Beitrag problematisiert zunächst die bisherige mangelnde rechtshistorische Aufmerksamkeit, die Alternativen zur gerichtlichen Konfliktlösung zugewandt wurde. Er weist daraufhin, dass auch die heutige Diskussion über gelungenes Konfliktlösungsmanagement oft explizit oder implizit von – zuweilen nicht ausreichend reflektierten – historischen Vorannahmen geprägt ist und – damit verbunden – von Vorstellungen über rechtskulturelle Fremdheit und Nähe.
Im zweiten und dritten Abschnitt skizziert der Beitrag kurz den historischen Gang der deutschen Diskussion über „Schlichten und Richten“ seit dem Aufkommen auch rechtswissenschaftlich anerkannter Schlichtungsinstitutionen zu Beginn des 20. Jahrhunderts. Er versucht, deren wechselnde zeitgenössische Kontexte sichtbar zu machen und zeigt, wie sich in diesen Diskussionen (zuweilen utopisch scheinende) rechtspolitische Verheißungen ansiedeln konnten, welch fruchtbaren Boden diese Diskussionen aber auch für neue Kategorienbildungen und multidisziplinäre Zugänge bot.
Im vierten Abschnitt wird versucht, Verknüpfungen mit der gegenwärtigen ADR-Diskussionen herzustellen, während im fünften Abschnitt in analytischer Absicht Konfigurationen des Wortpaars „Schlichten“ und „Richten“ vorgestellt werden: „Schlichten“ und „Richten“ als Alternative, als Abhängigkeitsverhältnis und als Abfolge. Der fünfte Abschnitt schließlich fragt nach Funktionselementen und den Funktionsbedingungen von Schlichten und Richten, d.h.: Welche Leitrationalitäten, Partizipationsmechanismen, Legitimationsnarrative und Reflexionsformen lassen sich jeweils der einen oder anderen Form der Konfliktlösung zuordnen.
All diese Überlegungen sind eher tentativer Art und vermitteln nur erste umrisshafte Vorstellungen. Sie dienen in erster Linie dem Diskussionsanstoß und sollen erste Schneisen in dieses komplexe Forschungsfeld schlagen. Die Vortragsform ist beibehalten und der Fußnotenapparat ist auf das nötige Minimum reduziert.
Bei altgriechischem Prozessrecht denkt man in erster Linie an das Prozessrecht des klassischen Athen, das aus den großen Gerichtsreden bestens bekannt ist; sie waren lange Zeit europäisches Bildungsgut. Zu Beginn des 19. Jahrhunderts, also vor ca. zweihundert Jahren, hat das klassische Griechenland den Anstoß gegeben, den Gemeinen Prozess zu reformieren: Die Geschworenengerichtsbarkeit und die Grundsätze des Parteienbetriebs, der Öffentlichkeit, Mündlichkeit, Unmittelbarkeit der Beweisaufnahme, der freien Beweiswürdigung sind schließlich in die heutigen Prozessordnungen eingeflossen, die nun auch schon über hundert Jahre alt und revisionsbedürftig sind. Vom heutigen Standpunkt aus wären für das klassische Athen einige historische Missverständnisse unserer wissenschaftlichen Vorgänger auszuräumen und das damalige Potential zur außergerichtlichen Konfliktlösung ins rechte Licht zu rücken. Umwälzend Neues ist den attischen Quellen nicht mehr zu entnehmen. Der Ablauf des Gerichtsverfahrens ist hinlänglich erforscht.
Beim Prozess der archaischen griechischen Polis dagegen sind die Dinge noch in Bewegung. Es ist erstaunlich, wie wenig wir über den Gang des gerichtlichen Verfahrens im archaischen Griechenland wissen und wie viel darüber geschrieben wird. Die Quellen (Homer, Hesiod, das Gesetz Drakons und weitere Inschriften, zahlreiche aus Kreta) geben nur knappe Ausschnitte aus einem uns verborgenen Gesamtbild. Insgesamt werfen die Quellen mehr Fragen auf als sie lösen. Das Gesamtbild ist nur durch kreative Phantasie, Vergleich mit anderen Rechtsordnungen oder — völlig unhistorisch und zumeist unbewusst — durch Projektion unserer heutigen Vorstellungen in das archaische Griechenland zu finden. Das Letzte suchen wir zu vermeiden…
We study nominal wage rigidity in the Netherlands using administrative data, which has three key features: (1) high-frequency (monthly), (2) high-quality (administrative records), and (3) high coverage (the universe of workers and the universe of firms). We find wage rigidity patterns in the data that are similar to wage behavior documented for other European countries. In particular we find that the hazard function has two spikes, one at 12 months and another one at 24 months and wage changes have time and state dependency components. As a novel and important piece of evidence we also uncover substantial heterogeneity in the frequency of wage changes due to explicit terms of the labor contract. In particular, contracts featuring flexible hours, such as on-call contracts, exhibit a higher probability of a change in the contract wage compared to fixed hour contracts. Once we split the sample based on contract characteristics, we also find that the response of wage changes to the time and state component is heterogeneous across different type of contracts - with relatively more downward adjustments in flexible-hour contract wages in response to aggregate unemployment.
Die Untersuchung hat gezeigt, daß der Handel mit Bezugsrechten von Todkranken eine sinnvolle, weil dem Betroffenen helfende, Entwicklung darstellen kann. Gleichwohl darf nicht übersehen werden, daß dieser Möglichkeit der Kapitalanlage ein gewisser moralischer Makel anhaftet. Jedoch konnten grundsätzliche rechtliche Hindernisse nicht aufgezeigt werden. Gleichwohl wurden Beispiele dafür angeführt, wie dieser Handel zu mißbräuchlichen Verhaltensweisen führen kann. Jedenfalls verdeutlicht die Entwicklung der "Viatical Settlements", daß der Kapitalmarkt nach weiterer Vervollständigung strebt und mit diesem Instrument eine alternative Verwertung laufender Kapital-Lebensversicherungsverträge geschaffen, sowie erstmals auch für Risiko-Lebensversicherungsverträge den Zugang zum Kapitalmarkt eröffnet hat. Letztlich bleibt aber die Entscheidung, ob es sich hierbei um ein erfolgsversprechendes Beispiel der Innovationskraft des Kapitalmarktes handelt, in erster Linie den potentiellen Investoren und Anbietern von Rechten aus Lebensversicherungsverträgen vorbehalten. Abschließend sei angemerkt, daß mit Hilfe dieses Handels jedenfalls auf ein gesellschaftliches Problem aufmerksam gemacht wird. Gleichwohl muß die Lösung keineswegs zwingend in dem hier aufgezeichneten Weg einer Etablierung von "Viatical Settlements" liegen. Angesichts der dargestellten moralischen Bedenken wäre es wünschenswert, wenn durch Vertragsgestaltungen, die in dem Endstadium der tödlichen Krankheit eine finanzielle Absicherung des Versicherungsnehmer gewährleisten, Viatical Settlements in Deutschland entbehrlich würden.
This paper sheds light on the life insurance sector’s liquidity risk exposure. Life insurers are important long-term investors on financial markets. Due to their long-term investment horizon they cannot quickly adapt to changes in macroeconomic conditions. Rising interest rates in particular can expose life insurers to run-like situations, since a slow interest rate passthrough incentivizes policyholders to terminate insurance policies and invest the proceeds at relatively high market interest rates. We develop and empirically calibrate a granular model of policyholder behavior and life insurance cash flows to quantify insurers’ liquidity risk exposure stemming from policy terminations. Our model predicts that a sharp interest rate rise by 4.5pp within two years would force life insurers to liquidate 12% of their initial assets. While the associated fire sale costs are small under reasonable assumptions, policy terminations plausibly erase 30% of life insurers’ capital due to mark-to-market accounting. Our analysis reveals a mechanism by which monetary policy tightening increases liquidity risk exposure of non-bank financial intermediaries with long-term assets.
This paper investigates the effects of a rise in interest rate and lapse risk of endowment life insurance policies on the liquidity and solvency of life insurers. We model the book and market value balance sheet of an average German life insurer, subject to both GAAP and Solvency II regulation, featuring an existing back book of policies and an existing asset allocation calibrated by historical data. The balance sheet is then projected forward under stochastic financial markets. Lapse rates are modeled stochastically and depend on the granted guaranteed rate of return and prevailing level of interest rates. Our results suggest that in the case of a sharp increase in interest rates, policyholders sharply increase lapses and the solvency position of the insurer deteriorates in the short-run. This result is particularly driven by the interaction between a reduction in the market value of assets, large guarantees for existing policies, and a very slow adjustment of asset returns to interest rates. A sharp or gradual rise in interest rates is associated with substantial and persistent liquidity needs, that are particularly driven by lapse rates.
Rising temperatures, falling ratings: the effect of climate change on sovereign creditworthiness
(2021)
How will a changing climate impact the creditworthiness of governments over the very long term? Financial markets need credible, digestible information on how climate change translates into material risks. To bridge the gap between climate science and real-world financial indicators, the authors simulate the effect of climate change on sovereign credit ratings for 108 countries, creating the world’s first climate-adjusted sovereign credit rating. The study offers a first methodological approach to extend the long-term rating to an ultra-long-term reality, aiming at long-term investors, but also regulators and rating agencies.
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.
Open-end real estate funds (so called “Offene Immobilienfonds”) play a major role in the German market for securitised real estate investments. Such funds are pools of money from many investors, which are invested in real estate by special investment management companies. This study seeks to identify the risk and return profile of this investment vehicle (before and after income taxes), to compare them with those of other major asset classes, and to provide implications for their appropriate role in a mixed-asset portfolio. Addition-ally, an overview of the institutional architecture and role of German open-end real estate funds is given. Empirical evidence suggests that the financial characteristics of open-end real estate funds are in many respects similar to those reported for direct real estate invest-ments. Accordingly, German open-end real estate funds qualify for medium and long-term investment horizons, rather than for shorter holding periods.
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. Keywords: Risk Aversion , Preference Uncertainty , Risk-taking , Asset Allocation JEL Classification: D81, D84, G11 This Version: November 25, 2010
n traditional portfolio theory, risk management is limited to the choice of the relative weights of the riskless asset and a diversified basket of risky securities, respectively. Yet in industry, risk management represents a central aspect of asset management, with distinct responsibilities and organizational structures. We identify frictions that lead to increased importance of risk management and describe three major challenges to be met by the risk manager. First, we derive a framework to determine a portfolio position's marginal risk contribution and to decide on optimal portfolio weights of active managers. Second, we survey methods to control downside risk and unwanted risks since investors frequently have non-standard preferences which make them seek protection against excessive losses. Third, we point out that quantitative portfolio management usually requires the selection and parametrization of stylized models of financial markets. We therefore discuss risk management approaches to deal with parameter uncertainty, such as shrinkage procedures or re- sampling procedures, and techniques of dealing with model uncertainty via methods of Bayesian model averaging.
This paper studies the impact of financial sector size and leverage on business cycles and risk-free rates dynamics. We model a general equilibrium productive economy where financial intermediaries provide costly risk mitigation to households by pooling the idiosyncratic risks of their investment activities. We find that leverage amplifies variations of intermediaries’ relative size, but may also mitigate the business cycle. Moreover, it makes risk-free rates pro-cyclical. Households benefit the most when the financial sector is neither too small, thus avoiding high consumption fluctuations and costly mitigation, nor too big, so that fewer resources are lost after intermediation costs.
We study risk taking in a panel of subjects in Wuhan, China - before, during the COVID-19 crisis, and after the country reopened. Subjects in our sample traveled for semester break in January, generating variation in exposure to the virus and quarantine in Wuhan. Higher exposure leads subjects to reduce planned risk taking, risky investments, and optimism. Our findings help unify existing studies by showing that aggregate shocks affect general preferences for risk and economic expectations, while heterogeneity in experience further affect risk taking through beliefs about individuals’ own outcomes such as luck and sense of control.
JEL Classification: G50, G51, G11, D14, G41
Risk transfer with CDOs
(2008)
Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different tranches of a CDO transaction when the underlying asset returns are driven by a common macro factor and an idiosyncratic component. Junior and senior tranches are found to be nearly orthogonal, motivating a search for the whereabout of systematic risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in contrast to a widely-held claim, we show that (extreme) tail risk in standard CDO transactions is held by all tranches. While junior tranches take on all types of systematic risk, senior tranches take on almost no non-tail risk. This is in stark contrast to an untranched bond portfolio of the same rating quality, which on average suffers substantial losses for all realizations of the macro factor. Second, given tranching, a shock to the risk of the underlying asset portfolio (e.g. a rise in asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche CDO-investors. Our findings can be used to explain major stylized facts observed in credit markets.
Risk transfer with CDOs
(2008)
Modern bank management comprises both classical lending business and transfer of asset risk to capital markets through securitization. Sound knowledge of the risks involved in securitization transactions is a prerequisite for solid risk management. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different tranches of a CDO transaction when the underlying asset returns are driven by a common macro factor and an idiosyncratic component. Junior and senior tranches are found to be nearly orthogonal, motivating a search for the where about of systematic risk in CDO transactions. We propose a metric for capturing the allocation of systematic risk to tranches. First, in contrast to a widely-held claim, we show that (extreme) tail risk in standard CDO transactions is held by all tranches. While junior tranches take on all types of systematic risk, senior tranches take on almost no non-tail risk. This is in stark contrast to an untranched bond portfolio of the same rating quality, which on average suffers substantial losses for all realizations of the macro factor. Second, given tranching, a shock to the risk of the underlying asset portfolio (e.g. a rise in asset correlation or in mean portfolio loss) has the strongest impact, in relative terms, on the exposure of senior tranche CDO-investors. Our findings can be used to explain major stylized facts observed in credit markets.
Large banks often sell part of their loan portfolio in the form of collateralized debt obligations (CDO) to investors. In this paper we raise the question whether credit asset securitization affects the cyclicality (or commonality) of bank equity values. The commonality of bank equity values reflects a major component of systemic risks in the banking market, caused by correlated defaults of loans in the banks' loan books. Our simulations take into account the major stylized fact of CDO transactions, the non-proportional nature of risk sharing that goes along with tranching. We provide a theoretical framework for the risk transfer through securitization that builds on a macro risk factor and an idiosyncratic risk factor, allowing an identification of the types of risk that the individual tranche holders bear. This allows conclusions about the risk positions of issuing banks after risk transfer. Building on the strict subordination of tranches, we first evaluate the correlation properties both within and across risk classes. We then determine the effect of securitization on the systematic risk of all tranches, and derive its effect on the issuing bank's equity beta. The simulation results show that under plausible assumptions concerning bank reinvestment behaviour and capital structure choice, the issuing intermediary's systematic risk tends to rise. We discuss the implications of our findings for financial stability supervision. Klassifikation: G28
We model education as an investment in human capital that, like other investments, is appropriately evaluated in a framework that accounts for risk as well as return. In contrast to dominant wage-premia approach to calculating the returns to education, but which implicitly ignores risk, we evaluate the returns by treating the value of human capital as the price of a non-tradable risky asset. We do so using a lifecycle framework that incorporates risk preferences and earnings risk, as well as a progressive income tax and social insurance system. Our baseline estimate is that a college degree provides a $440K dollar increase in annual certainty-equivalent consumption. Although significantly smaller than traditional estimates of the value of education, these returns are still large enough to offset both the direct and indirect cost of college education for a large range of plausible preference parameters. Importantly, however, we find that accounting for risk reverses the finding from the education wage-premia literature regarding the trends in the returns to education. In particular, we find that the risk-adjusted gains from college completion actually decreased rather than increased in the recent period. Overall, our results show the importance of earnings risks in assessing the value of education.
This paper employs stochastic simulations of the New Area-Wide Model—a microfounded open-economy model developed at the ECB—to investigate the consequences of the zero lower bound on nominal interest rates for the evolution of risks to price stability in the euro area during the recent financial crisis. Using a formal measure of the balance of risks, which is derived from policy-makers’ preferences about inflation outcomes, we first show that downside risks to price stability were considerably greater than upside risks during the first half of 2009, followed by a gradual rebalancing of these risks until mid-2011 and a renewed deterioration thereafter. We find that the lower bound has induced a noticeable downward bias in the risk balance throughout our evaluation period because of the implied amplification of deflation risks. We then illustrate that, with nominal interest rates close to zero, forward guidance in the form of a time-based conditional commitment to keep interest rates low for longer can be successful in mitigating downside risks to price stability. However, we find that the provision of time-based forward guidance may give rise to upside risks over the medium term if extended too far into the future. By contrast, time-based forward guidance complemented with a threshold condition concerning tolerable future inflation can provide insurance against the materialisation of such upside risks.
Optimal monetary policy studies typically rely on a single structural model and identification of model-specific rules that minimize the unconditional volatilities of inflation and real activity. In their proposed approach, the authors take a large set of structural models and look for the model-robust rules that minimize the volatilities at those frequencies that policymakers are most interested in stabilizing. Compared to the status quo approach, their results suggest that policymakers should be more restrained in their inflation responses when their aim is to stabilize inflation and output growth at specific frequencies. Additional caution is called for due to model uncertainty.
The paper considers optimal monetary stabilization policy in a forward-looking model, when the central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy that will be as good as possible in the case of any beliefs that are close enough to model-consistency. It is found that commitment continues to be important for optimal policy, that the optimal long-run inflation target is unaffected by the degree of potential distortion of beliefs, and that optimal policy is even more history-dependent than if rational expectations are assumed. JEL Classification: E52, E58, E42
Robustness, validity, and significance of the ECB's asset quality review and stress test exercise
(2014)
As we are moving toward a eurozone banking union, the European Central Bank (ECB) is going to take over the regulatory oversight of 128 banks in November 2014. To that end, the ECB conducted a comprehensive assessment of these banks, which included an asset quality review (AQR) and a stress test. The fundamental question is how accurately will the financial condition of these banks have been assessed by the ECB when it commences its regulatory oversight? And, can the comprehensive assessment lead to a full repair of banks’ balance sheets so that the ECB takes over financially sound banks and is the necessary regulation in place to facilitate this? Overall, the evidence presented in this paper based on the design of the comprehensive assessment as well as own stress test exercises suggest that the ECB’s assessment might not comprehensively deal with the problems in the financial sector and risks may remain that will pose substantial threats to financial stability in the eurozone.
Dieser Beitrag stellt das transnationale Rohstoffrecht und seine Entwicklung aus einer Konfliktperspektive dar und setzt es in Beziehung zu geopolitischen Transformationen und Wandlungen des Entwicklungsbegriffs. Sachlicher Gegenstand dieses Unterfangens sind erschöpfliche Vorkommen von Rohstoffen in Entwicklungsländern, ihre Ausbeutung und der Handel mit den gewonnenen Rohstoffen. Der Fokus liegt auf Mineralien, Öl und Gas. Der Text ist ein Versuch, Verantwortlichkeiten verschiedener Akteure für anhaltende Armut trotz Rohstoffreichtums greifbarer zu machen.
Ruling parties as communities of practice and collective identity in China-Ethiopia relations
(2015)
While it helps to put the overemphasis on Chinese agency in the literature into perspective, the recent debate on the role played by African agency in Sino-African relations generally adopts the same rationalist perspective on international politics, and thus stands to miss important aspects of the relations studied. This paper takes the example of Ethiopia, which is often used to highlight African elites’ strategic use of the new options presented by China’s rise, and analyses it from a constructivist perspective. Such a perspective proposes that we need to take the role played by ideas, discourses and emotions seriously, and that Ethiopian policy makers do not exist outside a dense web of personal relations, common knowledge, and shared practices that inadvertently structure their relations with China. More specifically, it is argued here that the ruling parties of China and Ethiopia are linked together in an international community of practice, that exchanges within this community have strengthened the perception of like-mindedness, and that Sino-Ethiopian relations therefore rest on a different basis than is acknowledged by purely rationalist accounts.
This policy letter collects elementary economic statistics and provides a very basic look on Russian public finances (i) to inform the reader’s opinion on a possible planning process behind the war against Ukraine and (ii) to discuss prospects of an energy embargo and its capability to affect the stability of the Russian economy.
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.
Im Normalfall, in dem Vorstand und Aufsichtsrat den Jahresabschluß feststellen (vgl. § 172 AktG), können sie einen Teil des Jahresüberschusses, höchstens jedoch die Hälfte, in „andere Gewinnrücklagen“1 einstellen (§ 58 Abs. 2 S. 1 AktG). Die Satzung kann Vorstand und Aufsichtsrat zur Einstellung eines größeren oder kleineren Teils des Jahresüberschusses ermächtigen; allerdings darf die Verwaltung aufgrund einer solchen Satzungsbestimmung keine Beträge in andere Gewinnrücklagen einstellen, wenn die anderen Gewinnrücklagen die Hälfte des Grundkapitals übersteigen oder soweit sie nach der Einstellung die Hälfte übersteigen würden (§ 58 Abs. 2 S. 2, 3 AktG). Nach § 58 Abs. 3 AktG kann die Hauptversammlung sodann in ihrem Beschluß über die Verwendung des Bilanzgewinns (vgl. § 174 AktG) weitere Beträge in Gewinnrücklagen einstellen oder als Gewinn vortragen. Im Folgenden werden nach einer Sichtung wirtschaftswissenschaftlicher Erwägungen zu Thesaurierung und Ausschüttung (unten II.) die Pflichten und die Kontrolle der Entscheidungen über die Gewinnverwendung von Vorstand und Aufsichtsrat einerseits (unten III.) und der Hauptversammlung andererseits (unten IV.) erörtert. V. faßt die Ergebnisse zusammen. Die besonderen Rechtsfragen, die sich bei Rücklagenbildung in abhängigen Gesellschaften ergeben, werden nicht behandelt.
The reuse of collateral can support the efficient allocation of safe assets in the financial system. Exploiting a novel dataset, we show that banks substantially increase their reuse of sovereign bonds in response to scarcity induced by Eurosystem asset purchases. While repo rates react little to purchase-induced scarcity when reuse is low, they become increasingly sensitive at high levels of reuse. An elevated reuse rate is also associated with more failures to deliver and a higher volatility of repo rates in the cross-section of bonds. Our results highlight the trade-off between shock absorption and shock amplification effects of collateral reuse.
After more than a decade of post-socialist transition, transition theories are increasingly criticised for their inability to grasp the new post-socialist reality. However, even in the light of political, economic, social and cultural restructuring processes taking place on a global scale, the structural legacies of socialist and pre-socialist development are not erased. On the contrary, they continue to play an important role by filtering the impact of global tendencies upon post-socialist societies. With reference to a case study from the Romanian city of Timisoara I will address in the following the ambivalencies connected to the efforts of local elites in the process of implementing global-level requirements in a post-socialist environment.
There is a prevalent view outside Greece that promotion of competitiveness is tantamount with price reductions for Greek goods and services. Massive horizontal salary cuts appear, at first, to promote competitiveness by reducing unit labor costs and to reduce fiscal deficits by reducing the wage bill of the public sector. Upon closer look, however, horizontal salary cuts have been much greater than needed for Greek competitiveness, providing an alibi vis a vis the Troika for reforms that are still to be implemented, but at the same time undermining both competitiveness and the potential to reduce public debt through sustainable development.
Europe's debt crisis casts doubt on the effectiveness of fiscal austerity in highly-integrated economies. Closed-economy models overestimate its effectiveness, because they underestimate tax-base elasticities and ignore cross-country tax externalities. In contrast, we study tax responses to debt shocks in a two-country model with endogenous utilization that captures those externalities and matches the capital-tax-base elasticity. Quantitative results show that unilateral capital tax hikes cannot restore fiscal solvency in Europe, and have large negative (positive) effects at "home" ("abroad"). Restoring solvency via either Nash competition or Cooperation reduces (increases) capital (labor) taxes significantly, and leaves countries with larger debt shocks preferring autarky.
We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively and quantitatively explaining: (i) the higher saving rates of the rich, (ii) the higher fraction of personal wealth held in risky assets by the rich, and (iii) the higher volatility of consumption of the wealthier. On the contrary, time-variant “keeping-up-with-the-Joneses” weighted average consumption which plays the role of moving benchmark subsistence consumption gives the same portfolio composition and saving rates across the rich and the poor, failing to reconcile the model with what micro data say. JEL Classification: G11, D91, E21, D81, D14, D11
Until about 25 years ago, almost all European countries had a so-called “three pillar” banking system comprising private banks, (public) savings banks and (mutual) cooperative banks. Since that time, several European countries have implemented far-reaching changes in their banking systems, which have more than anything else affected the two “pillars” of the savings and cooperative banks. The article describes the most important changes in Germany, Austria, France, Italy and Spain and characterizes the former and the current roles of savings banks and cooperative banks in these countries. A particular focus is placed on the German case, which is almost unique in so far as the German savings banks and cooperative banks have maintained most of their traditional features. The article concludes with a plea for diversity of institutional forms of banks and argues that it is important to safeguard the strengths of those types of banks that do not conform to the model of a large shareholder-oriented commercial bank.
The recent wave of randomized trials in development economics has provoked criticisms regarding external validity. We investigate two concerns—heterogeneity across beneficiaries and implementers—in a randomized trial of contract teachers in Kenyan schools. The intervention, previously shown to raise test scores in NGO- led trials in Western Kenya and parts of India, was replicated across all Kenyan provinces by an NGO and the government. Strong effects of shortterm contracts produced in controlled experimental settings are lost in weak public institutions: NGO implementation produces a positive effect on test scores across diverse contexts, while government implementation yields zero effect. The data suggests that the stark contrast in success between the government and NGO arm can be traced back to implementation constraints and political economy forces put in motion as the program went to scale.
Der Islam stellt in Deutschland derzeit die größte religiöse Minderheit dar. Für ein friedliches Zusammenleben und einen Ausgleich zwischen verschiedenen Interessen, stellt das Recht wegen der Möglichkeit der Durchsetzbarkeit einen besonders wichtigen Faktor dar. Gegenstand des Aufsatzes ist die Frage, wie die deutsche Rechtsordnung mit religiösen Konflikten umgeht, inwieweit also die Interessen von Muslimen rechtlich geschützt werden. Dazu werden zunächst die verfassungsrechtlichen Maßstäbe zur Religionsfreiheit darge-stellt und die zentralen Kritikpunkte an der bisher ausgesprochen religionsfreundlichen Rechtsprechung analysiert. Sodann wird die Bedeutung dieser Maßstäbe für drei Einzelfragen näher betrachtet. Behandelt werden zum einen Konfliktfelder durch Religionsausübung in der Schule: das freiwillige Gebet von Schülern in Unterrichtspausen, die Befreiung vom Schwimmunterricht sowie die Kopftuchdebatte. Zum anderen werden die Fragestellungen erörtert, ob und inwieweit Scharia vor deutschen Gerichten Anwendung findet und ob und inwieweit sich innerhalb Deutschlands eine Paralleljustiz entwickelt. Abschließend befasst sich der Aufsatz mit der Beschneidung minderjähriger Jungen aus religiösen Gründen. Dieses Thema hat durch ein Urteil des LG Köln aus dem Jahre 2012 politische Aufmerksamkeit erlangt und schnelle Reaktionen des Gesetzgebers ausgelöst.
Scholarship and practice
(2016)
How can I as an international lawyer, conscious that international law is deeply implicated in today’s global injustices and that the course of history will not be changed by any grand legal design, practice law responsibly? Taking as a point of departure my own desire not to seek comfort in the formulation of a critique of law, but to aspire to a responsible practice, I consult two quite different bodies of work: first, critical theory of law and second, recent scholarship on international law that argues a practice guided by ethics may enhance the legitimacy of international law. I turn then to my own practice of international economic law focusing on my occasional role as legal expert on the so-called megaregionals the EU aims to conclude with Canada and the United States. I propose that the debate on international economic law lacks an investigation into the role of law in shaping political economy; that this lack can be explained by the compartmentalization of expertise which leads to justification gaps with respect to projects such as the megaregionals. One way how lawyers can assume responsibility is to work on closing these gaps even if it means leaving the ‘inside’ of the legal discipline. Finally, I suggest that a responsible legal practice of social change might follow Roberto Unger’s call for institutional imagination. Maybe I can satisfy my wish for a transformative practice by joining forces with friends in experimenting with institutions, hoping to build an alternative political economy.
Schuldenanstieg und Haftungsausschluss im deutschen Föderalstaat : zur Rolle des Moral Hazard
(2007)
Einleitung: Die deutschen Staatsschulden sind in den letzten Jahrzehnten kontinuierlich gestiegen. Künftige Generationen werden zusätzlich aufgrund der demographischen Entwicklung durch die umlagenfinanzierten sozialen Sicherungssysteme belastet. Gerade auch der Anstieg der Verschuldung der Bundesländer war in den letzten Jahrzehnten spürbar. So betrug die Verschuldung aller deutschen Bundesländer zusammengenommen 1991 noch 168 Mrd. Euro, während Anfang 2007 die Verschuldung 483 Mrd. Euro betrug, was eine knappe Verdopplung der Schuldenquote der Länder (Verschuldung in Prozent des BIP) auf ca. 21 Prozent impliziert. In der aktuellen Diskussion um die Reform des deutschen Föderalismus besteht Einigkeit in der Diagnose des Problems. Die Entwicklung der Staatsschulden ist kritisch und darf sich so nicht fortsetzen. Uneinigkeit herrscht hingegen über die Ursache des Anstiegs. Ebenfalls wird um die beste Möglichkeit, diesen zu bremsen, gerungen. Verschiedene Autoren argumentieren, dass der Verschuldungsanstieg der deutschen Bundesländer vor allem auf den Moral Hazard Anreiz zurückzuführen ist. Der vorliegende Diskussionsbeitrag diskutiert dies als einen der möglichen Gründe des Schuldenanstiegs. Hierzu wird zunächst das Konzept kurz eingeführt. Anschließend wird die bestehende empirische Evidenz für Deutschland diskutiert. Schließlich wird eine Bewertung und Einordnung in die aktuelle Debatte vorgenommen. Schlußbemerkungen: Im vorliegenden Diskussionsbeitrag wird das "Moral hazard" Problem als einer der möglichen Gründe für den beobachteten starken Anstieg der Verschuldung deutscher Bundesländer diskutiert. Es wurde gezeigt, dass die Finanzmärkte kaum auf die erheblichen Unterschiede in den fiskalischen Fundamentaldaten der Länder reagieren. Mit einer Fallstudie wurde außerdem verdeutlicht, dass das aktuelle Bundesverfassungsgerichtsurteil zu einer eventuellen Haushaltsnotlage von Berlin Berlin die Risikoeinschätzung der Märkte für deutsche Bundesländer nicht verändert hat. Alles in allem scheint es sinnvoll, über eine größere Beteiligung der Gläubiger an Risiken einzelner Länder nachzudenken. Dies dürfte aber den Schuldenanstieg nur bei bereits hoch verschuldeten Ländern begrenzen und möglicherweise einem Notlagenfall vorbeugen, nicht aber den grundsätzlichen "Defizit-Bias" der Finanzpolitik kompensieren. Insgesamt scheinen deswegen vorgelagerte Regeln notwendig, um den Anstieg der Verschuldung schon früh zu unterbinden und somit Belastungen zukünftiger Generationen zu reduzieren.
Schätzwerte mittelfristiger Gleichgewichtszinsen mit der Methode nach Laubach und Williams (2003) werden inzwischen vielfach in der Diskussion um die Geld- und Fiskalpolitik zitiert. Unter anderem wurden sie von Summers (2014a) als Evidenz für eine säkulare Stagnation angeführt und von Yellen (2015) zur Rechtfertigung der Nullzinspolitik verwendet. In diesem Papier nehmen wir eine umfangreiche Untersuchung und Sensitivitätsanalyse dieser Schätzwerte für die Vereinigten Staaten, Deutschland und den Euro-Raum vor. Aufgrund der hohen Unsicherheit und Sensitivität, die mit den Schätzwerten mittelfristiger Gleichgewichtszinsen mit der Laubach-Williams-Methode und ähnlichen Ansätzen verbunden ist, sollten diese Schätzungen nicht den Ausschlag für entscheidende Weichenstellungen in der Geld- und Fiskalpolitik geben.
Science is under pressure. In times when it is a matter of nothing less that a transformation toward sustainable development, society and politics are demanding not just reliable knowledge but above all useful knowledge. In order to be able to produce such knowledge science must change its structures and ways of working. A renewed understanding of critique can provide guidance to the process of change that must be actively shaped by science itself.* The “Great Transformation” in the direction of sustainable development is a global challenge for society (WBGU2011). All involved have stressed that this transformation, if it succeeds, will lead to profound changes in all parts of society (see PIK 2007). This applies to science as well, which after all is a part of society (WBGU2011, pp. 341 f.). For in view of an unprecedented social-ecological crisis science is coming increasingly under pressure to provide knowledge that is not only methodically reliable but also useful for dealing with the challenges ahead. It is obvious this pressure can strike at the very core of the scientific project: Any orientation toward nonscientific criteria with respect to what is to count as relevant knowledge threatens to undermine the reflexive and cooperative search for “true knowledge.”
In this situation we believe it to be crucial that science does not allow itself to become a plaything of calls for change, but rather that it itself shapes its own response to the new historical challenges. In the following, we argue that a renewed understanding of critique should be the starting point for such an endeavor.1 We will illustrate what a renewed understanding of critique might look like by posing nine theses.2 We see these theses as a contribution to the ongoing discourse on sustainability science or research for sustainable development.
The working paper reflects on the status that "sciences" have held at different points in time, and on the normative orders found in scientific works, as well as on the normative orders imposed by the sciences of a particular place and time on their environment. The latter is also suggested by recent developments concerning the influence (or lack thereof) of scientists on daily life and politics. The paper touches on several fundamental issues in the history of science as a discipline that have been or are still being intensely debated.
This paper proposes an intertemporal model of venture capital investment with screening and advising where the venture capitalist´s time endowment is the scarce input factor. Screening improves the selection of firms receiving finance, advising allows firms to develop a marketable product, both have a variable intensity. In our setup, optimal linear contracts solves the moral hazard problem. Screening however asks for an entrepreneur wage and does not allow for upfront payments which would cause severe adverse selection. Project characteristics have implications for screening and advising intensity and the distribution of profits. Finally, we develop a formal version of the "venture capital cycle" by extending the basic setup to a simple model of venture capital supply and demand.
European scholars, colonial administrators, missionaries, bibliophiles and others were the main collectors of Malay books in the nineteenth century, both in manuscript or printed form. Among these persons were many well-known names in the field of Malay literature and culture like Raffles, Marsden, Crawfurd, Klinkert, van der Tuuk, von Dewall, Roorda, Favre, Maxwell, Overbeck, Wilkinson and Skeat, to name only a few. Their collections were often handed over to public libraries where they form an important part of the relevant Oriental or Southeast Asian manuscript collections.
Therefore the knowledge of the intellectual culture of the Malay Peninsula and the Malay World in general depended very much on these manuscripts and printed books collected often by chance or in a rather unsystematic way. The collections reflect in a strong sense the interests of its administrative or philologist collectors: court histories, genealogies of aristocratic lineages, law collections (adat-istiadat as well as undangundang) or prose belles-lettres build a vast bulk of these collections, while Islamic religious texts and poetry forms popular in the 19th century (especially syair) are fairly underrepresented. Malay manuscripts and books located in religious institutions like mosques or pondok/pesantren schools have not been searched for; until today there are more or less no systematic studies of these collections. As in some statistics religious texts build about 20% of all existing Malay manuscripts, their neglect by Europeans scholars leads to a distorted view of the literary culture in the Malay language.
Im Zusammenhang mit dem Präventivkrieg der Vereinigten Staaten gegen den Irak ist von einem Versagen der parlamentarischen Kontrolle die Rede. Analog zur Tonkin-Gulf-Resolution von 1964, mit der das amerikanische Parlament Präsident Lyndon B. Johnson praktisch eine Blankovollmacht für den Vietnamkrieg erteilt hatte, sei der USKongress im Oktober 2002 davor zurückgeschreckt, seiner verfassungsrechtlichen Verantwortung, welche ihm vor allem aus dem alleinigen Rechtzur Kriegserklärung erwächst, auch nur in Ansätzen nachzukommen. Häufig wird dieses Verhalten auf die Bedrohungslage und das politische Klima nach dem 11. September zurückgeführt. Wie eine kursorische Durchsicht der einschlägigen Literatur zeigt, handelt es sich bei der mangelnden institutionellen Selbstbehauptung des Kongresses im Zusammenhang mit Militäreinsätzen jedoch um kein neues Phänomen: Die Interventionspolitik galt auch schon vor den Terroranschlägen von New York und Washington als ein Politikfeld, in dem es der Legislative allenfalls partiell gelungen ist, die Exekutive nach den Auswüchsen der so genannten imperialen Präsidentschaft wieder stärker zu kontrollieren. Eine Deutung, die in den vergangenen Jahren verstärkt Zulauf erfahren hat, versucht den Ausnahmecharakter der Interventionspolitik mit dem sozialkonstruktivistisch grundierten Konzept einer Kultur der Unterordnung zu erklären. Es existiert aber auch eine rationalistisch argumentierende These, wonach politische Kalküle und Zwänge, die aus einem medial erzeugten Wählerdruck resultieren, das Parlament veranlassen, sich dem Präsidenten in der militärischen Interventionspolitik unterzuordnen. Die Studie will anhand von zwei Fallbeispielen aus den 1990er Jahren,dem zweiten Golfkrieg und dem Kosovokrieg, klären, welcher Stellenwert diesen beiden Faktoren für die mangelnde institutionelle Selbstbehauptung des Kongresses in der militärischen Interventionspolitik zukommt. Unser Befund deutet darauf hin, dass eine separate, besonders stark ausgeprägte Teilkultur der Unterordnung auf Seiten der Republikaner existiert, die ceteris paribus dazu führt, dass sich eine von der Grand Old Party kontrollierte Legislative in Fragen, die Krieg und Frieden betreffen, institutionell grundsätzlich weniger stark behaupten kann als ein demokratisch dominierter Kongress.
The paper makes two contributions to semantic typology of secondary predicates. It provides an explanation of the fact that Russian has no resultative secondary predicates, relating this explanation to the interpretation of secondary predicates in English. And it relates depictive secondary predicates in Russian, which usually occur in the instrumental case, to other uses of the instrumental case in Russian, establishing here, too, a difference to English concerning the scope of the secondary predication phenomenon.
Ongoing demographic change will lead to a relative scarcity of raw labor to the effect that output growth will be decreasing in the next decades, a secular stagnation. As physical capital will be relatively abundant, this decrease of output will be accompanied by reductions of asset returns. We quantify these effects for the US economy by developing an overlapping generations model with risky and risk-free assets. Without adjustments of human capital, risky returns decrease until 2035 by about 0.7 percentage point, and the risk-free rate by about one percentage point, leading to substantial welfare losses for asset rich households. Per capita output is reduced by 6%. Endogenous human capital adjustments strongly mitigate these effects. We conclude that human capital policies will be crucial in the context of labor shortages.
Securities transaction tax in France: impact on market quality and inter-market price coordination
(2014)
The general concept of a Securities Transaction Tax is controversial among academics and politicians. While theoretical research is quite advanced, the empirical guidance in a fragmented market context is still scarce. Possible negative effects for market liquidity and market efficiency are theoretically predicted, but have not been empirically tested yet. In light of the agreement of eleven European member states to implement an STT, this study aims to give a comprehensive overview of the effects of the STT, introduced in France in 2012, on liquidity demand, liquidity supply, volatility and inter-market information transmission. The results show that the STT has led to a decline in liquidity demand, has had a detrimental effect on liquidity supply and negatively influences the inter-market information transmission efficiency. However, no effect on volatility can be observed.
Grundlage des Artikels ist der Berliner Teil der zweijährigen Studie "Moriana", in der – im ersten Jahr – Wandel der Produktion und Wirtschaftsstruktur, der Arbeits- und Beschäftigungsverhältnisse, der Sozialstruktur und die Rezeption dieser Veränderungen durch Politik, Gewerkschaften, Arbeitgeber, Forschung und Dritter Sektor untersucht wurden. Im zweiten Jahr wurden die Situation und die Bedürfnisse von selbstständig Beschäftigten genauer betrachtet. Das Forschungsprojekt wurde von dem Institut A.A.STER in Mailand unter der Leitung von Aldo Bonomi koordiniert und in den Städten Berlin (D), Paris (F), Valencia (ES), Mailand (I), Turin (I), Genua (I) und Neapel (I) durchgeführt. Das Projekt arbeitete – vor allem im zweiten Teil – mit dem Ansatz der "aktiven Untersuchung", im Rahmen derer die Betroffenen selbst ihre Situation und Bedürfnisse beschreiben und ihre subjektive Wahrnehmung im Mittelpunkt steht. In Berlin wurden dafür im Jahr 2000 u.a. ausführliche Interviews mit 30 Selbstständigen verschiedener Einkommensstufen sowie unterschiedlichen Qualifikationsgrades geführt, und diesen ein zusätzlich ein Fragebogen mit 100 Fragen vorgelegt. Die Ergebnisse können zwar nicht als repräsentativ bezeichnet werden, zeigen aber eine Tendenz auf.
Vortrag in Linz im KunstRaum Goethestrasse am 25.09.2002 im Rahmen der Reihe ESTABLISH CULTURAL WORKER - Ist die KulturArbeit (oder) Kunst?: Zuerst möchte ich kurz zu dem Moriana Projekt etwas sagen. Es wurde in 7 Städten durchgeführt, und war ein europäisches Forschungsprojekt von einem italienischen Forschungsinstitut. Es ging um die Situation von Kleinstselbstständigen, FreiberuflerInnen etc. Dies mit einem erneuerten Ansatz dessen, was früher einmal Arbeitermituntersuchung hiess, nämlich militante Untersuchung. Das heisst, die Leute die in den Verhältnissen stecken, analysieren selbst ihre Arbeitssituation, versuchen selbst ihre Bedürfnisse zu beschreiben, versuchen selbst diesen Arbeitsprozess zu beschreiben, und werden, durch einen Intervention des/der ForscherIn, versucht in eine bestimmte Richtung zu drängen. Nämlich in die Richtung, für ihre Interessen zumindest zu einer Selbstformulierung zu kommen, wenn nicht gar zu einer Selbstorganisierung. Letzteres hat bei dem Projekt nicht geklappt, oder nur zu ganz kleinen Teilen. ...
We study optimal investment in self-protection of insured individuals when they face interdependencies in the form of potential contamination from others. If individuals cannot coordinate their actions, then the positive externality of investing in self-protection implies that, in equilibrium, individuals underinvest in self-protection. Limiting insurance coverage through deductibles or selling “at-fault” insurance can partially internalize this externality and thereby improve individual and social welfare. JEL Classification: C72, D62, D80
Semantik für Sprechakte
(1972)
Semantik wird herkömmlicherweise als die Interpretation von Zeichenketten verstanden, die die Syntax liefert. Damit gibt sie aber ein dubioses Programm für die Beschäftigung mit natürlichen Sprachen ab. Ausgangspunkt für diese muß die Feststellung sein, daß Sprechen ein Handeln ist und kein Produzieren von Zeichenketten (außer vielleicht zu Demonstrationszwecken). Sprechhandlungen sind z. B.: jmd. Widersprechen, jmd. beschuldigen, sich ausreden bzw. entschuldigen usw. Über die Sprechhandlungen selbst werde ich im folgenden nichts weiter sagen; ich werde vielmehr ein Verfasser und Leser gemeinsames Verständnis, begründet in einer gemeinsamen Erfahrung, voraussetzen. In dem so angedeuteten Rahmen soll es die Aufgabe der Semantik sein, die Bedingungen für Sprechhandlungen zu explizieren: Welche Bedingungen muß z. B. eine Sprechhandlung erfüllen, um eine Beschuldigung zu sein (als Beschuldigung zu gelten, als solche akzeptiert zu werden o. ä.)? Dieses Programm möchte ich im folgenden exemplarisch entwickeln.
Semiotische Philosophie?
(1975)
The philosophical interest in semiotics arose out of its chief aim, the elucidation of the foundations and forms of knowledge. Since Locke and Leibniz it has been recognized that signs not only serve to present and communicate knowledge already given, but also open up certain domains of knowledge that would otherwise be inaccessible. Since the use of sign systems presupposes insight into the rule-governed construction of these systems, it is more appropriate to speak of a semiotic complementation than of a 'semiotic transformation of philosophy' (Apel). With the exception of elementary forms of knowledge, which are, however, fundamental, all knowledge rests on an interdependence of intuitive and semiotically mediated cognitions. In the contemporary philosophy of science a planifactory function joins the cognitiye function of signs. Signs serve to plan and steer actions and operations. The cybernetic sciences as a semiotic discipline have succeeded, for the first time since the breakthrough of modern science, in reversing the relation between the natural and the human sciences. A model from the human sciences has successfully been superposed upon natural sciences and technical disciplines.
Tail-correlation matrices are an important tool for aggregating risk measurements across risk categories, asset classes and/or business segments. This paper demonstrates that traditional tail-correlation matrices—which are conventionally assumed to have ones on the diagonal—can lead to substantial biases of the aggregate risk measurement’s sensitivities with respect to risk exposures. Due to these biases, decision-makers receive an odd view of the effects of portfolio changes and may be unable to identify the optimal portfolio from a risk-return perspective. To overcome these issues, we introduce the “sensitivity-implied tail-correlation matrix”. The proposed tail-correlation matrix allows for a simple deterministic risk aggregation approach which reasonably approximates the true aggregate risk measurement according to the complete multivariate risk distribution. Numerical examples demonstrate that our approach is a better basis for portfolio optimization than the Value-at-Risk implied tail-correlation matrix, especially if the calibration portfolio (or current portfolio) deviates from the optimal portfolio.
The pricing of an ambiguous asset, whose cash flow stream is uncertain, may be affected by three factors: the belief regarding the realization likelihood of cash flows, the subjective attitude towards risk, and the attitude towards ambiguity. While previous literature looks at the total price discount under ambiguity, this paper investigates with laboratory experiments how much effect each factor can induce. We apply both non-parametric and parametric methods to cleanly separate the belief effects, the risk premiums, and the ambiguity premiums from each other. Both methods lead to similar results: Overall, subjects have substantial ambiguity aversion, and ambiguity premiums account for the largest price deviation component when the degree of ambiguity is high. As information accumulates, ambiguity premiums decrease. We also find that beliefs do influence prices under ambiguity. This is not because beliefs are biased towards either good or bad scenarios per se, but because subjects display sticky belief updating as new information becomes available. The clear separation performed in this paper between belief and attitude also enables a more accurate estimation of the parameter of ambiguity aversion compared to previous studies, since the effect of beliefs is partialled out. Overall, we find empirically that both factors, belief and attitude towards ambiguity, are important factors in pricing under ambiguity.
Despite a lot of re-structuring and many innovations in recent years, the securities transaction industry in the European Union is still a highly inefficient and inconsistently configured system for cross-border transactions. This paper analyzes the functions performed, the institutions involved and the parameters concerned that shape market and ownership structure in the industry. Of particular interest are microeconomic incentives of the main players that can be in contradiction to social welfare. We develop a framework and analyze three consistent systems for the securities transaction industry in the EU that offer superior efficiency than the current, inefficient arrangement. Some policy advice is given to select the 'best' system for the Single European Financial Market.
This working paper is based on a lecture given at the Summer School “Multiple Inequalities in the Age of Transnationalization”, June 23-27 2014 at Goethe University Frankfurt. In it, I explore the linkages between sexuality and migration and aim to show that instead of deeming them a narrow subfield of migration studies, thinking through these linkages has much wider implications for different fields, including post- and decolonial queer studies, the study of race and sexuality, the study of citizenship and state projects of inclusion/exclusion, and for work that attempts to ce-center the predominant knowledge production focused on the Global North.
Intrinsic motivation for honesty is perceived as an important determinant of large and persistent variation in cheating behavior. However, little is known about its actual role due to challenges in obtaining precise measures of motivation for honesty, as well as field outcomes on cheating. We fill these gaps using a unique setting of informal milk markets in India. A novel behavioral experiment, which combines a standard die roll task with Bluetooth technology, is used to measure motivation for honesty of milkmen at both extensive and intensive margins. We then buy milk from the same milkmen and show that cheating in the field, measured by the amount of water added to milk, widens significantly with a milkman’s degree of dishonesty. Additional analyses show that conventional binary measure of motivation for honesty suffers from measurement errors, resulting in underestimation of this association.
Shallow meritocracy
(2023)
Meritocracies aspire to reward hard work and promise not to judge individuals by the circumstances into which they were born. However, circumstances often shape the choice to work hard. I show that people's merit judgments are "shallow" and insensitive to this effect. They hold others responsible for their choices, even if these choices have been shaped by unequal circumstances. In an experiment, US participants judge how much money workers deserve for the effort they exert. Unequal circumstances disadvantage some workers and discourage them from working hard. Nonetheless, participants reward the effort of disadvantaged and advantaged workers identically, regardless of the circumstances under which choices are made. For some participants, this reflects their fundamental view regarding fair rewards. For others, the neglect results from the uncertain counterfactual. They understand that circumstances shape choices but do not correct for this because the counterfactual—what would have happened under equal circumstances—remains uncertain.
This paper investigates the magnitude and the main determinants of share price reactions to buy-back announcements of German corporations. For our comprehensive sample of 224 announcements that took place between May 1998 and April 2003 we find average cumulative abnormal returns around -7.5% for the thirty days preceding the announcement and around +7.0 % for the ten days following the announcement. We regress post-announcement abnormal returns with multiple firm characteristics and provide evidence which supports the undervaluation signaling hypothesis but not the excess cash hypothesis or the tax-efficiency hypothesis. In extending prior empirical work, we also analyze price effects from initial statements of firms that they intend to seek shareholder approval for a buy-back plan. Observed cumulative abnormal returns on this initial date are in excess of 5% implying a total average price effect between 12% and 15% from implementing a buy-back plan. We conjecture that the German regulatory environment is the main reason why market variations to buy-back announcements are much stronger in Germany than in other countries and conclude that initial statements by managers to seek shareholders’ approval for a buy-back plan should also be subject to legal ad-hoc disclosure requirements.
This paper investigates the magnitude and the main determinants of share price reactions to buy-back announcements of German corporations. Based on a sample of 224 announcements from the period May 1998 to April 2003 we find average cumulative abnormal returns around -7.5% for the thirty days preceding the announcement and around +7.0 % for the ten days following the announcement. We regress postannouncement abnormal returns with multiple firm characteristics and provide evidence which supports the undervaluation signaling hypothesis but not the excess cash hypothesis. In extending prior empirical work, we also analyze price effects from an initial statement by management that it intends to seek shareholder approval for a buy-back plan. Observed cumulative abnormal returns on this initial date are in excess of 5% implying a total average price effect between 12% and 15% from implementing a buy-back plan. We conjecture that the German regulatory environment is the main reason why market variations to buy-back announcements are much stronger in Germany than in other countries and conclude that initial statements by managers to seek shareholders’ approval for a buy-back plan should also be subject to legal ad-hoc disclosure requirements. EFM classification: 330, 350
Using hand-collected data on CEO appointments during shareholder activism campaigns, this study examines whether shareholder involvement in CEO recruiting affects frictions in CEO hiring decisions. The results indicate that appointments of CEOs who are recruited with shareholder activist influence are followed by more favorable stock market reactions and stronger profitability improvements than CEO appointments that also occur during activism campaigns but without the influence of activists. I find little evidence that shareholder activists increase hiring frictions by facilitating the recruiting of CEOs who will implement myopic corporate policies. Analyses of recruiting process characteristics reveal that activist influence is associated with more resources being dedicated to the CEO search process and with a higher propensity to recruit CEOs from outside the firm. These findings contribute to the CEO labor market literature, which tends to focus on the decision to remove incumbent CEOs but provides limited insights into CEO recruiting.
This paper has shown that some of the principal arguments against shareholder voice are unfounded. It has shown that shareholders do own corporations, and that the nature of their property interest is structured to meet the needs of the relationships found in stock corporations. The paper has explained that fiduciary and other duties restrain the actions of shareholders just as they do those of management, and that critics cannot reasonably expect court-imposed fiduciary duties to extend beyond the actual powers of shareholders. It has also illustrated how, although corporate statutes give shareholders complete power to structure governance as they will, the default governance structures of U.S. corporations leaves shareholders almost powerless to initiate any sort of action, and the interaction between state and federal law makes it almost impossible for shareholders to elect directors of their choice. Lastly, the paper has recalled how the percentage of U.S. corporate equities owned by institutional investors has increased dramatically in recent decades, and it has outlined some of the major developments in shareholder rights that followed this increase. I hope that this paper deflated some of the strong rhetoric used against shareholder voice by contrasting rhetoric to law, and that it illustrated why the picture of weak owners painted in the early 20th century should be updated to new circumstances, which will help avoid projecting an old description as a current normative model that perpetuates the inevitability of "managerialsm", perhaps better known as "dirigisme".
Shareholder voting is back on the agenda of public debate for several reasons. One is the investors’ internationalization of capital investments and the raising of funds globally by companies. It can be predicted that considering the growing together of capital markets the trend to international investments will increase not least because the introduction of the Euro will create a uniform European stock market. This leads to the question how the law deals with this development and its problems. The EU Commission has commissioned a comparative study dealing, inter alia, with shareholders’ representation at general meetings in the EU member states.1 The aim is to simplify the operating regulations for public limited companies in the EU. Furthermore, the internationalization of shareholdings leads the investors to ask how their interests are protected abroad. Are the mechanisms of shareholder protection sufficient for foreign investors? In particular the formation of transnational companies like Daimler-Chrysler will change corporate governance systems. It remains to be seen whether and how foreign institutional investors will use measures of - in this case - German corporate law to control the management. From a microeconomic point of view the question is what specific features of a given corporate governance system might contribute to better performance of firms. The following remarks will however, be confined to one specific aspect of corporate governance only, the exercise of shareholders’ voting rights at the general meeting.
Der folgende Beitrag geht der Frage nach, wie die Verteilung von Entscheidungs- und Handlungsrechten in Unternehmen im Rahmen der Corporate Governance ausgestaltet werden kann. Im Zentrum der Überlegungen steht die Frage, welcher der am Unternehmen beteiligten Interessengruppen diese Rechte sinnvollerweise zukommen sollten. Insbesondere die beiden polaren Systeme - das auf dem Shareholder-Value-Primat aufbauende System einer ausschließlich im Interesse der Aktionäre geführten Unternehmung auf der eine Seite - und einem Corporate Governance-System, das die Interessen aller am Unternehmen beteiligten Stakeholder berücksichtigt, auf der anderen Seite - werden geschildert und mit den Mitteln der ökonomischen Theorie bewertet. Spezifische Investitionen möglicher Stakeholder und die Institutionen und Mechanismen, die eine Absicherung der daraus entstehenden ökonomischen Renten für die jeweiligen Stakeholder erlauben, sind damit wichtige Bestimmungsparameter für die Unternehmensverfassung. Insbesondere die Existenz und Güte von Märkten innerhalb des Finanzsystems, in dem ein Unternehmen tätig ist, lassen das ein oder das andere Corporate Governance-System vorteilhafter erscheinen. Überlegungen zu anderen möglichen Mechanismen, die auf der internen Organisation von Unternehmungen basieren und dadurch eine Feinsteuerung von Entscheidungs- und Handlungsrechten - und der damit verbundenen Machtverteilung zwischen den Interessengruppen im Unternehmen - erlaubt, schließen die Arbeit ab.
In order to better differentiate the drivers of corporations’ actions, in particular shareholder wealth and stakeholder interests, the paper explores the significance of the comply or explain-principle and its underlying enforcement mechanisms more generally. Against this background, compliance rates with specific provisions may shed a light on companies’ reasons for following the code. An analysis of these rates at the example of distinct provisions of the German Corporate Governance Code is therefore entered into. In light of the current corporate governance debate and the legitimacy problems that are raised, among the code provisions that exemplify these questions very well are those regulating incentive pay, severance pay caps, and age limits for supervisory board members. Their analysis will lay a basis for an answer to the question about what motivates companies to comply with the code. The motivation then paves the way to arrive at a further specification of the determinants of the regulatory evolution of the Code and the range of stakeholders and their concerns that enter into it.
We present evidence on the way personal and institutional factors could together guide public company directors in decision-making concerning shareholders and stakeholders. In a sample comprising more than nine hundred directors originating from over fifty countries and serving in firms from twenty three countries, we confirm that directors around the world hold a principled, quasi-ideological stance towards shareholders and stakeholders, called shareholderism, on which they vary in line with their personal values. We theorize and find that in addition to personal values, directors’ shareholderism level associates with cultural norms that are conducive to entrepreneurship. Among legal factors, only creditor protection exhibits a negative correlation with shareholderism, while general legal origin and proxies for shareholder and employee protection are unrelated to it.
This report documents the extension LRPw of LRP by sharing decorations. We show correctness of improvement properties of reduction and transformation rules and also of computation rules for decorations in the extended calculus LRPw. We conjecture that conservativity of the embedding of LRP in LRPw holds.
The calculus LRP is a polymorphically typed call-by-need lambda calculus extended by data constructors, case-expressions, seq-expressions and type abstraction and type application. This report is devoted to the extension LRPw of LRP by scoped sharing decorations. The extension cannot be properly encoded into LRP if improvements are defined w.r.t. the number of lbeta, case, and seq-reductions, which makes it necessary to reconsider the claims and proofs of properties. We show correctness of improvement properties of reduction and transformation rules and also of computation rules for decorations in the extended calculus LRPw. We conjecture that conservativity of the embedding of LRP in LRPw holds.
The calculus LRP is a polymorphically typed call-by-need lambda calculus extended by data constructors, case-expressions, seq-expressions and type abstraction and type application. This report is devoted to the extension LRPw of LRP by scoped sharing decorations. The extension cannot be properly encoded into LRP if improvements are defined w.r.t. the number of lbeta, case, and seq-reductions, which makes it necessary to reconsider the claims and proofs of properties. We show correctness of improvement properties of reduction and transformation rules and also of computation rules for decorations in the extended calculus LRPw. We conjecture that conservativity of the embedding of LRP in LRPw holds.
Die dynamische Entwicklung im Bereich neuer Mobilitätsdienstleistungen hat dazu geführt, dass der städtische Mobilitätsmarkt von einer hohen Dynamik und einer Vielzahl neuer Akteure gekennzeichnet ist. Smartphones und mobiles Internet unterstützen die neuen Angebote wie flexibles, stationäres oder Peer-to-Peer-Carsharing sowie Mitnahme- und Fahrradverleihsysteme. Die neuen Angebote reagieren auf eine veränderte Nachfrage, generieren aber wiederum auch neue Nutzungsmuster. Kommunale und regionale Akteure stehen vor der Aufgabe, auf die neuen Herausforderungen, die sich in räumlichen und politischen Konflikten niederschlagen können, zu reagieren. Die vorliegende Studie zeigt auf Basis einer Bestandsaufnahme von Sharing-Systemen in der Region FrankfurtRheinMain Handlungsoptionen für Vertreter aus Politik und Verwaltung auf, um die neuen Angebote im Sinne einer nachhaltigen Verkehrs- und Stadtentwicklung zu integrieren. Dabei zeigt sie zunächst die Chancen und Herausforderungen auf, die sich aus den jüngsten Entwicklungen ergeben. Anschließend folgt eine ausführliche Bestandsaufnahme, die sich in sechs Handlungsfelder gliedert: Fahrradverleihsysteme, Carsharing, Mitnahmeangebote und Mitfahrparkplätze, Verknüpfung des öffentlichen Verkehrs mit multimodalen Angeboten, multimodale Mobilitätsapps und -plattformen sowie Parken. Dabei werden Aussagen zu Angebotsformen, verkehrlichen und ökologischen Wirkungen sowie zu regionalen Entwicklungen getroffen. Anschließend werden auf Basis vorhandener Untersuchungen und im Rahmen des Projekts durchgeführter Fokusgruppen Nutzungsmuster, Bekanntheit und Attraktivität von Sharing-Systemen dargestellt. Die Handlungsempfehlungen wurden in mehreren Workshops mit regionalen Praxisakteuren aus den Bereichen Stadtverwaltung, Carsharing, Verkehrsverbund, Fahrradverleihsysteme, Mitfahrangebote etc. und vertiefenden Expertengesprächen entwickelt.
Short sale bans may improve market quality during crises: new evidence from the 2020 Covid crash
(2022)
In theory, banning short selling stabilizes stock prices but undermines pricing efficiency and has ambiguous impacts on market liquidity. Empirical studies find mixed and conflicting results. This paper leverages cross-country policy variation during the 2020 Covid crisis to assess differential impacts of bans on stock liquidity, prices, and volatility. Results suggest that bans improved liquidity and stabilized prices for illiquid stocks but temporarily diminished liquidity for highly liquid stocks.The findings support theories in which short sale bans may improve liquidity by selectively filtering out informed— potentially predatory—traders. Thus, policies that target the most illiquid stocks may deliver better overall market quality than uniform short sale bans imposed on all stocks.
The overvaluation hypothesis (Miller 1977) predicts that a) stocks are overvalued in the presence of short selling restrictions and that b) the overvaluation increases in the degree of divergence of opinion. We design an experiment that allows us to test these predictions in the laboratory. The results indicate that prices are higher with short selling constraints, but the overvaluation does not increase in the degree of divergence of opinion. We further find that trading volume is lower and bid-ask spreads are higher when short sale restrictions are imposed. JEL Classification: C92, G14 Keywords: Overvaluation Hypothesis , Short Selling Constraints , Divergence of Opinion
Other than in Belgium, German banks may hold even controlling equity participations in industrial firms (and such firms may own banks) and do so to a large extent. Vis-a-vis the European development this leads to two questions: From the perspective of the (Belgian and other) competitors of these banks, whether their own domestic System might be disadvantageous to them. And from a public interest perspective, which advantages and drawbacks are connected with the different regulations in Europe. The article first informs about the legal framework and some statistical facts. Then the various and different reasons why banks acquire and hold shares on own account are analyzed. The following Parts deal with the various public policy arguments whether equity links between banks and industrial firms should be prohibited or not (safety and soundness of banking; autonomie de Ia fonction bancaire ; abuse of confidential information and conflicts of interest; antitrust considerations; negative and positive impacts on the respective firm). In its last part the article deals with recent proposals in the German political debate to limit stockholdings of banks. The article argues that a step-by-step approach to the Single Problems and issues (conflict of interests; anticompetitive effects etc.) should be preferred to a general limitation of stock ownership of banks.