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SUMMARY RECOMMENDATIONS 1. One of the major lessons from the current financial crisis refers to the systemic dimension of financial risk which had been almost completely neglected by bankers and supervisors in the pre-2007 years. 2. Accordingly, the most needed change in financial regulation, in order to avoid a repetition of such a crisis in the future, consists of influencing individual bank behaviour such that systemic risk is decreased. This objective is new and distinct from what Basle II was intended to achieve. 3. It is important, therefore, to evaluate proposed new regulatory instruments on the ground of whether or not they contribute to a reduction, or containment of systemic risk. We see two new regulatory measures of paramount importance: the introduction of a Systemic Risk Charge (SRC), and the implementation of a transparent bank resolution regime. Both measures complement each other, thus both have to be realized to be effective. 4. We propose a Systemic Risk Charge (SRC), a levy capturing the contribution of any individual bank to the overall systemic risk which is distinct from the institution’s own default risk. The SRC is set up such that the more systemic risk a bank contributes, the higher is the cost it has to bear. Therefore, the SRC serves to internalize the cost of systemic risk which, up to now, was borne by the taxpayer. 5. Major details of our SRC refer to the use of debt that may be converted into equity when systemic risk threatens the stability of the banking system. Also, the SRC raises some revenues for government. 6. The SRC has to be compared to several bank levies currently debated. The Financial Transaction Tax (FTT) does not directly address systemic risk and is therefore inferior to a SRC. Nevertheless, a FTT may offer the opportunity to subsidize on-exchange trading at the expense of off-exchange (over-the-counter, OTC) transactions, thereby enhancing financial market stability. The Financial Activity Tax (FAT) is similar to a VAT on financial services. It is the least adequate instrument among all instruments discussed above to limit systemic risk. 7. Bank resolution regime: No instrument to contain systemic risk can be effective unless the restructuring of bank debt, and the ensuing loss given default to creditors, is a real possibility. As the crisis has taught, bank restructuring is very difficult in light of contagion risk between major banks. We therefore need a regulatory procedure that allows winding down banks, even large banks, on short notice. Among other things, the procedure will require to distinguish systemically relevant exposures from those that are irrelevant. Only the former will be saved with government money, and it will then be the task of the supervisor to ensure a sufficient amount of nonsystemically relevant debt on the balance sheet of all banks. 8. Further issues discussed in this policy paper and its appendices refer to the necessity of a global level playing field, or the lack thereof, for these new regulatory measures; the convergence of our SRC proposal with what is expected to be long-term outcome of Basle III discussions; as well as the role of global imbalances.
Many studies show that most people are not financially literate and are unfamiliar with even the most basic economic concepts. However, the evidence on the determinants of economic literacy is scant. This paper uses international panel data on 55 countries from 1995 to 2008, merging indicators of economic literacy with a large set of macroeconomic and institutional variables. Results show that there is substantial heterogeneity of financial and economic competence across countries, and that human capital indicators (PISA test scores and college attendance) are positively correlated with economic literacy. Furthermore, inhabitants of countries with more generous social security systems are generally less literate, lending support to the hypothesis that the incentives to acquire economic literacy are related to the amount of resources available for private accumulation. JEL Classification: E2, D8, G1
Die Notwendigkeit der ipsilateralen Adrenalektomie als obligater Bestandteil einer Tumornephrektomie beim Nierenzellkarzinom wurde in der Literatur kontrovers diskutiert. Das Ziel der vorliegenden Studie war es, durch einen Vergleich von tumornephrektomierten Patienten mit und ohne Nebennierenbefall Parameter zu ermitteln, die eine präoperative Abschätzung des Nebennierenbefalls erlauben, und somit als Entscheidungshilfe zur Durchführung der Adrenalektomie im Rahmen einer Tumornephrektomie dienen können. In unserer Studie wurden insgesamt 250 Patienten mit Nierenzellkarzinom erfasst, die zwischen 1992 und 2001 in der Klinik für Urologie und Kinderurologie Prof. Dr. med. Dietger Jonas, Johann Wolfgang Goethe – Universität Frankfurt am Main operiert wurden. Dabei wurde in allen Fällen die radikale Tumornephrektomie nach Robson inklusive ipsilateraler Adrenalektomie durchgeführt. Alle Operationspräparate wurden im Senckenbergischen Institut für Pathologie Prof. Dr. med. M.-L. Hansmann, Frankfurt am Main untersucht und nach der 6. Auflage der TNM-Klassifikation in der von der UICC empfohlenen Weise eingestuft. In 9 der 250 Fälle (3,6 %) wurde ein Nebennierenbefall festgestellt. Statistisch signifikante Ergebnisse konnten für folgende Parameter ermittelt werden: · Präoperativer CT-Befund In der präoperativ durchgeführten CT wurden von 235 als unauffällig eingestuften Fällen 5 pathologische Nebennierenbefunde nicht erkannt (2,13 %). Von 15 als auffällig eingestuften Fällen wurden jedoch 4 als richtig pathologisch erkannt (26,6 %). Es ergaben sich für den Nachweis eines Nebennierenbefalls im CT eine Sensitivität von 44 %, eine Spezifität von 95,4 %, ein positiver prädiktiver Wert von 26,6 %, und ein negativer prädiktiver Wert von 97,8 %. · Nierentumorgröße Es zeigte sich ein Nebennierenbefall erst ab einer Tumorgröße von > 5 cm mit einer Wahrscheinlichkeit von 5,8 % (p = 0,035). · pTNM-Stadium Ein Nebennierenbefall ließ sich erst ab Tumorstadium pT 3a erkennen. Bei pT1- oder pT2-Tumoren war kein Nebennierenbefall festgestellt worden. Bei Patienten ohne Lymphknotenmetastasierung konnte ein Tumorbefall der Nebenniere in 2 von 224 Fällen (0,89 %) gefunden werden. Bei den Patienten mit Lymphknotenmetastasierung lag der Nebennierenbefall bei 3 von 12 Fällen (25 %) für die Nierentumoren mit pN1 und bei 4 von 14 Fällen (28,6 %) bei Nierentumoren mit pN2. Bei Patienten ohne Fernmetastasierung (230 Fälle) ließ sich in 3 Fällen (1,3 %) ein Nebennierenbefall aufweisen; bei vorliegender Fernmetastasierung (20 Fälle) lag der Anteil der befallenen Nebennieren mit 6 Fällen bei 30 %. · Tumorgrading Ein Nebennierenbefall war bei keinem der G1-Tumoren festgestellt worden. Bei 4,4 % der G2-Tumoren (6/136 Fällen) und bei 12,5 % der G3-Tumoren (3/24 Fällen) konnte ein Nebennierenbefall nachgewiesen werden. Da das Grading nur am Nephrektomiepräparat vorgenommen werden kann, spielt es als prädiktiver Parameter keine Rolle. · Infiltration benachbarter Strukturen 0,5 % (1/200 Fällen) der Patienten ohne und 16 % (8/50 Fällen) der Patienten mit einem Tumorthrombus in der V. renalis zeigten auch einen Nebennierenbefall (p = 0,000012). 2,9 % (7/240 Fällen) der Patienten ohne und 20 % (2/10 Fällen) der Patienten mit einer Infiltration in die V. cava zeigten einen Nebennierenbefall (p = 0,044). 14,5 % (9/62 Fällen) der Patienten mit Tumorinfiltration in die Nierenkapsel zeigten einen Nebennierenbefall; keiner der Patienten ohne Nierenkapselinfiltration zeigte einen Nebennierenbefall (p = 0,000002). Zusammenfassend lässt sich festhalten, dass eine ipsilaterale Adrenalektomie heutzutage keine obligate Komponente der Tumornephrektomie sein muß, sondern nur durchgeführt werden sollte, wenn folgende präoperative Bedingungen vorliegen: 1. auffällige präoperative bildgebende Beurteilung der Nebenniere durch Sonographie, Computertomographie oder ggf. Magnetresonanztomographie 2. Größe des Nierentumors > 5 cm unabhängig von der Pollokalisation 3. . Primärtumorstadium >= cT3a 4. CT-graphischer Nachweis von Lymphknoten- und/oder Fernmetastasen 5. CT-graphischer Nachweis einer vaskulären Invasion 6. CT-graphischer Nachweis einer Nierenkapselinfiltration 7. auffälliger intraoperativer Befund
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal Reserve’s Greenbook and the Survey of Professional Forecasters (SPF). The model parameters and model forecasts are derived from historical data vintages so as to ensure comparability to historical forecasts by professionals. The mean model forecast comes surprisingly close to the mean SPF and Greenbook forecasts in terms of accuracy even though the models only make use of a small number of data series. Model forecasts compare particularly well to professional forecasts at a horizon of three to four quarters and during recoveries. The extent of forecast heterogeneity is similar for model and professional forecasts but varies substantially over time. Thus, forecast heterogeneity constitutes a potentially important source of economic fluctuations. While the particular reasons for diversity in professional forecasts are not observable, the diversity in model forecasts can be traced to different modeling assumptions, information sets and parameter estimates. JEL Classification: G14, G15, G24
Price pressures
(2010)
We study price pressures in stock prices—price deviations from fundamental value due to a risk-averse intermediary supplying liquidity to asynchronously arriving investors. Empirically, twelve years of daily New York Stock Exchange intermediary data reveal economically large price pressures. A $100,000 inventory shock causes an average price pressure of 0.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price pressure effects are substantially larger with longer durations in smaller stocks. Theoretically, in a simple dynamic inventory model the ‘representative’ intermediary uses price pressure to control risk through inventory mean reversion. She trades off the revenue loss due to price pressure against the price risk associated with remaining in a nonzero inventory state. The model’s closed-form solution identifies the intermediary’s relative risk aversion and the distribution of investors’ private values for trading from the observed time series patterns. These allow us to estimate the social costs—deviations from constrained Pareto efficiency—due to price pressure which average 0.35 basis points of the value traded. JEL Classification: G12, G14, D53, D61
This paper presents a model to analyze the consequences of competition in order-flow between a profit maximizing stock exchange and an alternative trading platform on the decisions concerning trading fees and listing requirements. Listing requirements, set by the exchange, provide public information on listed firms and contribute to a better liquidity on all trading venues. It is sometimes asserted that competition induces the exchange to lower its level of listing standards compared to a situation in which it is a monopolist, because the trading platform can free-ride on this regulatory activity and compete more aggressively on trading fees. The present analysis shows that this is not always true and depends on the existence and size of gains related to multi market trading. These gains relax competition on trading fees. The higher these gains are, the more the exchange can increase its revenue from listing and trading when it raises its listing standards. For large enough gains from multi-market trading, the exchange is not induced to lower the level of listing standards when a competing trading platform appears. As a second result, this analysis also reveals a cross - subsidization effect between the listing and the trading activity when listing is not competitive. This model yields implications about the fee structures on stock markets, the regulation of listings and the social optimality of competition for volume. JEL Classification: G10, G18, G12
This paper proposes the Shannon entropy as an appropriate one-dimensional measure of behavioural trading patterns in financial markets. The concept is applied to the illustrative example of algorithmic vs. non-algorithmic trading and empirical data from Deutsche Börse's electronic cash equity trading system, Xetra. The results reveal pronounced differences between algorithmic and non-algorithmic traders. In particular, trading patterns of algorithmic traders exhibit a medium degree of regularity while non-algorithmic trading tends towards either very regular or very irregular trading patterns. JEL Classification: C40, D0, G14, G15, G20
How ordinary consumers make complex economic decisions: financial literacy and retirement readiness
(2010)
This paper explores who is financially literate, whether people accurately perceive their own economic decision-making skills, and where these skills come from. Self-assessed and objective measures of financial literacy can be linked to consumers’ efforts to plan for retirement in the American Life Panel, and causal relationships with retirement planning examined by exploiting information about respondent financial knowledge acquired in school. Results show that those with more advanced financial knowledge are those more likely to be retirement-ready.
We examined financial literacy among the young using the most recent wave of the 1997 National Longitudinal Survey of Youth. We showed that financial literacy is low; fewer than one-third of young adults possess basic knowledge of interest rates, inflation, and risk diversification. Financial literacy was strongly related to sociodemographic characteristics and family financial sophistication. Specifically, a college-educated male whose parents had stocks and retirement savings was about 45 percentage points more likely to know about risk diversification than a female with less than a high school education whose parents were not wealthy. These findings have implications for consumer policy. JEL Classification: D91
This paper investigates the accuracy and heterogeneity of output growth and inflation forecasts during the current and the four preceding NBER-dated U.S. recessions. We generate forecasts from six different models of the U.S. economy and compare them to professional forecasts from the Federal Reserve’s Greenbook and the Survey of Professional Forecasters (SPF). The model parameters and model forecasts are derived from historical data vintages so as to ensure comparability to historical forecasts by professionals. The mean model forecast comes surprisingly close to the mean SPF and Greenbook forecasts in terms of accuracy even though the models only make use of a small number of data series. Model forecasts compare particularly well to professional forecasts at a horizon of three to four quarters and during recoveries. The extent of forecast heterogeneity is similar for model and professional forecasts but varies substantially over time. Thus, forecast heterogeneity constitutes a potentially important source of economic fluctuations. While the particular reasons for diversity in professional forecasts are not observable, the diversity in model forecasts can be traced to different modeling assumptions, information sets and parameter estimates. JEL Classification: C53, D84, E31, E32, E37 Keywords: Forecasting, Business Cycles, Heterogeneous Beliefs, Forecast Distribution, Model Uncertainty, Bayesian Estimation