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We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The cross-correlation at zero displacement is typically negative, and cross-correlations at nonzero displacements are positive and decay geometrically. If market makers are sufficiently risk averse, however, the cross-correlation pattern is inverted. Our results are useful for assessing the validity of the frequently-assumed independence of latent price and microstructure noise, for explaining observed cross-correlation patterns, for predicting as-yet undiscovered patterns, and for making informed conjectures as to improved volatility estimation methods.
The future of securitization
(2008)
Securitization is a financial innovation that experiences a boom-bust cycle, as many other innovations before. This paper analyzes possible reasons for the breakdown of primary and secondary securitization markets, and argues that misaligned incentives along the value chain are the primary cause of the problems. The illiquidity of asset and interbank markets, in this view, is a market failure derived from ill-designed mechanisms of coordinating financial intermediaries and investors. Thus, illiquidity is closely related to the design of the financial chains. Our policy conclusions emphasize crisis prevention rather than crisis management, and the objective is to restore a “comprehensive incentive alignment”. The toe-hold for strengthening regulation is surprisingly small. First, we emphasize the importance of equity piece retention for the long-term quality of the underlying asset pool. As a consequence, equity piece allocation needs to be publicly known, alleviating market pricing. Second, on a micro level, accountability of managers can be improved by compensation packages aiming at long term incentives, and penalizing policies with destabilizing effects on financial markets. Third, on a macro level, increased transparency relating to effective risk transfer, risk-related management compensation, and credible measurement of rating performance stabilizes the valuation of financial assets and, hence, improves the solvency of financial intermediaries. Fourth, financial intermediaries, whose risk is opaque, may be subjected to higher capital requirements.
Beyond Weltpolitik, self-containment and civilian power : United Germany´s normalizing ambitions
(1999)
The future of NATO has been a hotly debated topic at the center of IR debates ever since the end of the Cold War. It has also been a very complicated one given the discipline´s conceptual and theoretical difficulties in studying change. Most analysts now agree that NATO (and the transatlantic order more broadly) are going through some major changes. Yet while there is consensus that the depth as well as the pace of these changes is more far-reaching than in past decades it is unclear exactly how deep and how far these changes reach. In order to come to grips with these changes most of the chapters in this book are exploring the character as well as the sources of these changes. This chapter approaches the topic by examining how the discipline has dealt with the question of the evolution of the transatlantic order in the past. It argues that IR has not been very well equipped conceptually to deal with the phenomenon in question, ie. large-scale processes of change. In applying a typological framework developed by Paul Pierson the chapter discusses what types of causal accounts have dominated in the IR literature – and what this may tell us about particular strengths, biases and potential blind spots in coming to grips with the evolution of this order. In essence it argues that the structure of the most prominent explanations is often quite similar irrespective of paradigmatic descent. Inspite of major differences – inspite, even, of mutually exclusive predictions – as to the expected path of the order´s evolution realist, liberal and constructivist accounts heavily rely in equal fashion on causal arguments which emphasize large-scale causal processes which are almost always framed in rather statist structural terms even though they essentially entail slow moving causal processes. This temporal dimension of the causal processes presumably shaping the future of the transatlantic order is seldom spelled out in detail, however. Thus, if one examines the debate as a whole one sees a picture of IR scholarship which essentially oscillates between two extremes: the position that NATO (as the core institution of the transatlantic order) was (and is) certain to survive and the position that it was (and is) certain to collapse. What is more, these extremes on a spectrum of possible positions on the transatlantic order´s evolution between breakdown on the one hand and successful adaptation on the other are not hypothetical but mostly real. Thus, the debate does not gravitate towards the center (ie. a position which, for instance, envisages a loser but still cooperative relationship) after the usual give and take of exchanging scholarly arguments. Rather it mostly sticks with either of the two extreme positions. The chapter illustrates the problems associated with this point in some details and discusses potential remedies.
After he had only tightly lost the election in July 2006, Andrés Manuel López Obrador and his Coalición claimed fraud and asserted that unfair conditions during the campaign had diminished his chances to win the presidency. The paper investigates this latter allegation centering on a perceived campaign of hate, unequal access to campaign resources and malicious treatment by the mass media. It further analyzes the mass media’s performance during the conflictual post electoral period until the final decision of the Federal Electoral Tribunal on September 5th, 2006. While the media’s performance during the campaign tells us about their compliance with fair media coverage mechanisms that have been implemented by electoral reforms in the 1990s, the mass media is uncontained by such measures after the election. Thus, their mode of coverage of the postelectoral conflicts allows us to “test” the mass media’s transformation to a more unbiased, social responsible “fourth estate”. Finally the paper scrutinizes whether the claims of fraud and the protests by the leftist movement resulted in lower levels of institutional trust and democratic support. The analysis of the media performance is based on data provided by the Federal Electoral Institute (IFE). Its Media Monitor encompassed more than 150 TV stations, 240 radio stations and 200 press publications. However, there is no comparable data available for the postelectoral period. Interviews with Mexican media experts, which the author has conducted during the postelectoral period, serve as empirical basis for the second part. Data on the public opinions and attitudes of Mexican citizens are taken from the 2007 Latinobarometro, the 2006 Encuesta Nacional and several polls conducted by Grupo Reforma. The results do not support López Obradors notions. Even though a strong party bias is characteristic of the Mexican media system, all findings hint at a continuity of balanced campaign coverage and fair access to mass media publicity. Coverage during the postelectoral period was more polarized, yet both sides remained at least partially open for oppositional views. The claims of fraud, mass protest mobilization and anti-institutional discourse by Lopez Obrador’s leftist movement seem not to have caused significant loss in institutional trust, support of and satisfaction with democracy, even though these levels remain quite low.
The impact of European integration on the German system of pharmaceutical product authorization
(2008)
The European Union has evolved since 1965 into an influential political player in the regulation of pharmaceutical safety standards. The objective of establishing a single European market for pharmaceuticals makes it necessary for member-states to adopt uniform safety standards and marketing authorization procedures. This article investigates the impact of the European integration process on the German marketing authorization system for pharmaceuticals. The analysis shows that the main focal points and objectives of European regulation of pharmaceutical safety have shifted since 1965. The initial phase saw the introduction of uniform European safety standards as a result of which Germany was obliged to undertake “catch-up” modernization. From the mid-1970s, these standards were extended and specified in greater detail. Since the mid-1990s, a process of reorientation has been under way. The formation of the European Agency for the Evaluation of Medicinal Products (EMEA) and the growing importance of the European authorization procedure, combined with intensified global competition on pharmaceutical markets, are exerting indirect pressure for EU member-states to adjust their medicines policies. Consequently, over the past few years Germany has been engaged in a competition-oriented reorganization of its pharmaceutical product authorization system the outcome of which will be to give higher priority to economic interests.
Der Prozess der europäischen Integration wirkt zunehmend auf die Gestaltung der Gesundheitssysteme der Mitgliedstaaten ein. Die von der Kommission und dem EuGH vorangetriebene Anwendung des europäischen Binnenmarkt- und Wettbewerbsrechts auf die Gesundheitspolitik hat zur Folge, dass marktlichen Steuerungsprinzipien ein Primat gegenüber staatlicher und korporatistischer Regulierung eingeräumt wird. Die gesundheitspolitische Gestaltungskompetenz liegt bei den Mitgliedstaaten, diese haben jedoch die „vier Freiheiten“ bzw. das europäische Wettbewerbsrecht zu beachten. Das Prinzip der Solidarität spielt in den europäischen Verträgen dagegen nur eine untergeordnete Rolle. Solidarität erscheint im europäischen Diskurs als ein Wert, der für die Europäische Union einen wichtigen Bezugspunkt darstellt, ohne dass er eine rechtlich verbindliche Form erhalten hat. Im Resultat entscheidet daher die Auslegung des Solidaritätsprinzips durch den Gerichtshof darüber, ob solidarische Elemente in der nationalen Gesundheitspolitik mit dem europäischen Recht vereinbar sind. Dieser Mechanismus beruht nicht auf demokratisch organisierten Meinungs- und Willensbildungsprozessen, sondern ist Gegenstand schwer prognostizierbarer richterlicher Interpretationskunst.
Die Privatisierung von Krankheitskosten durch erhöhte Zuzahlungen, informelle Leistungsverweigerungen in der GKV sowie das Nebeneinander von gesetzlicher und privater Krankenversicherung bei einer wachsenden Kluft zwischen beiden Systemen haben die sozialen und die räumlich-zeitlichen Barrieren zur Inanspruchnahme von Gesundheitsleistungen für sozial schwache Gruppen erhöht. Damit wächst die Gefahr, dass die Krankenversorgungspolitik zu einer eigenständigen Ursache für die Verstärkung und Aufrechterhaltung gesundheitlicher Ungleichheit wird. Gleichzeitig werden die Möglichkeiten der gesetzlichen Krankenversicherung, durch verbesserte Prävention zu einer Verringerung gesundheitlicher Ungleichheit beizutragen, nur unzureichend genutzt. So liegt die Teilnahmequote von Personen mit niedrigem Sozialstatus an zahlreichen Maßnahmen der Krankheitsfrüherkennung, insbesondere bei der Krebsvorsorge, nach wie vor deutlich unter dem Durchschnitt. Mit der Novellierung des § 20 SGB V im Jahr 2000 hat zwar auch die Verminderung der sozialen Ungleichheit von Gesundheitschancen Eingang in das Zielsystem der GKV gefunden. Allerdings geht dieses Ziel nur teilweise in die Präventionspraxis der Krankenkassen ein. Nach wie vor existieren zahlreiche Hürden bei der Implementierung von Maßnahmen der kontextgestützten Verhältnisprävention.
Die politische Steuerung des Krankenhaussektors hat sich in den vergangenen anderthalb Jahrzehnten nachhaltig verändert. Das Gesundheitsstrukturgesetz von 1992 markiert einen gesundheitspolitischen Paradigmenwechsel, mit dem verstärkt wettbewerbliche Steuerungsinstrumente in das Gesundheitswesen eingeführt wurden. Auch im stationären Sektor ersetzen bzw. ergänzen wettbewerbliche Instrumente korporatistische Arrangements. Die Gegenüberstellung der politischen Steuerung des Krankenhaussektors vor 1992 mit der Situation nach der Gesundheitsreform 2007 verdeutlicht, dass auf den Feldern Leistungserbringung, Vergütung und Qualitätssicherung sukzessive ein neues Steuerungsmodell entstanden ist. Dieses zeichnet sich durch eine gewachsene Komplexität, eine Zunahme von Steuerungsaktivitäten und eine Neujustierung des Verhältnisses staatlicher bzw. korporatistischer Steuerung einerseits und wettbewerblicher Steuerung andererseits aus. Dort, wo es um allokative Entscheidungen geht, werden korporatistische Elemente durch wettbewerbliche ersetzt. Auf anderen Regulierungsfelder bleibt der Korporatismus dagegen erhalten. Der Staat als „architect of political order“ (Anderson) hat diese Transformation herbeigeführt, sieht sich allerdings zunehmend mit dem Widerspruch zwischen einer bedarfsorientierten Krankenhausplanung und Investitionsfinanzierung auf Landesebene und einer Leistungsverteilung über den Wettbewerb konfrontiert.
We study the responses of residential property and equity prices, inflation and economic activity to monetary policy shocks in 17 countries, using data spanning 1986-2006, using single-country VARs and panel VARs in which we distinguish between groups of countries depending on their financial systems. The effect of monetary policy on property prices is about three times as large as its impact on GDP. Using monetary policy to guard against financial instability by offsetting asset-price movements thus has sizable effects on economic activity. While the financial structure influences the impact of policy on asset prices, its importance appears limited.