Doctoral Thesis
Refine
Year of publication
- 2011 (5) (remove)
Document Type
- Doctoral Thesis (5) (remove)
Language
- English (5) (remove)
Has Fulltext
- yes (5)
Is part of the Bibliography
- no (5)
Keywords
- Aufwandsschätzung (1)
- Cost estimation (1)
- Effort estimation (1)
- Entwicklungsprojekt (1)
- Financial Advice (1)
- Fund Selection Criterion (1)
- Geldpolitik (1)
- Household Finance (1)
- International Macroeconomics (1)
- Makroökonomie (1)
Institute
- Wirtschaftswissenschaften (5) (remove)
This dissertation consists of three essays, which study the implication of financial frictions in business cycles and monetary policy making. The first essay develops a Dynamic Stochastic General Equilibrium (DSGE) model to study how the instability of the banking sector can amplify and propagate business cycles. Model simulations show that in an economic down turn, in addition to credit demand contraction induced by low firm net worth, low bank capital
position can create strong credit supply contraction, and have a quantitatively significant effect on business cycle dynamics. The second essay studies the optimal Taylor-type monetary policy rules based on the model developed in the first chapter and find that with interest rate smoothing, 'leaning against the wind' can significantly dampen the procyclicality of financial distortions, and increase the welfare of the economy. The third chapter examines the role of households frugality in a financial crisis and finds that higher savings by more frugal households provide an important cushion for the fall in private investment funding.
Table of Contents – Cumulative Dissertation Thesis German Summary Summary of Analysis Results for German-Speaking Readers Introductory Paper Introduction and Overview of the Dissertation Paper 1 Vykoukal, Jens / Wolf, Martin / Beck, Roman (2009) Services Grids in Industry: On-Demand Provisioning and Allocation of Grid-based Business Services In: Business & Information Systems Engineering (BISE), 1(2), 177-184 Paper 2 Vykoukal, Jens / Setzer, Michael / Beck, Roman (2008) Grid Architecture for Risk Management: A Case Study in a Financial Institution In: Proceedings of the 12th Pacific Asia Conference on Information Systems (PACIS), Suzhou, China Paper 3 Vykoukal, Jens / Pahlke, Immanuel / Beck, Roman (2011) Impact of Grid Assimilation on Operational Agility in Turbulent Environments: An Empirical Investigation in the Financial Services Industry In: Proceedings of the 19th European Conference on Information Systems (ECIS), Helsinki, Finland Paper 4 Vykoukal, Jens / Wolf, Martin / Beck, Roman (2009) Does Green IT Matter? Analysis of the Relationship between Green IT and Grid Technology from a Resource-based View Perspective In: Proceedings of the 13th Pacific Asia Conference on Information Systems (PACIS), Hyderabad, India Paper 5 Vykoukal, Jens (2010) Grid Technology as Green IT Strategy? Empirical Results from the Financial Services Industry In: Proceedings of the 18th European Conference on Information Systems (ECIS), Pretoria, South Africa Paper 6 Vykoukal, Jens / Beck, Roman / Wolf, Martin (2010) Impact of Pressure for Environmental Sustainability on Grid Assimilation: Empirical Results from the Financial Services Industry In: Australasian Journal of Information Systems (AJIS), 17(1), 83-106 Appendix: Publications, Curriculum Vitae
Effort estimates are of utmost economic importance in software development projects. Estimates bridge the gap between managers and the invisible and almost artistic domain of developers. They give a means to managers to track and control projects. Consequently, numerous estimation approaches have been developed over the past decades, starting with Allan Albrecht's Function Point Analysis in the late 1970s. However, this work neither tries to develop just another estimation approach, nor focuses on improving accuracy of existing techniques. Instead of characterizing software development as a technological problem, this work understands software development as a sociological challenge. Consequently, this work focuses on the question, what happens when developers are confronted with estimates representing the major instrument of management control? Do estimates influence developers, or are they unaffected? Is it irrational to expect that developers start to communicate and discuss estimates, conform to them, work strategically, hide progress or delay? This study shows that it is inappropriate to assume an independency of estimated and actual development effort. A theory is developed and tested, that explains how developers and managers influence the relationship between estimated and actual development effort. The theory therefore elaborates the phenomenon of estimation fulfillment.
This dissertation contains three essays on monetary policy, dynamics of the interest rates and spillovers across economies. In the first essay I examine the effects of monetary policy and its interaction with financial regulation within a micro-founded macroeconometric framework for a closed economy with a heterogeneous banking system, facing a period of low interest rates. I analyse the interplay between monetary policy and banking regulation and study the role of agents’ expectations for the effectiveness of unconventional monetary policy tools. In the next essay, I argue that openness is crucial for understanding the dynamics of the term structure. In an empirical application, I show that my model of the term structure fits well the yield curve in-sample and has a sound ability to forecast interest rates out-of-sample. The model accounts for the expectations hypothesis, replicates the forward premium anomaly and reconciles the uncovered interest rate parity implications. The last essay is concerned with the dynamics of co-movement among macroeconomic aggregates and the degree of convergence or decoupling amongst economies. The model includes measures of financial and trade-based interdependencies and incorporates feedback between macroeconomic variables and time-varying weights. The findings point at the importance of asset price movements and financial linkages.
In total, this dissertation comprises three research papers. Objective of all of these papers are to detect mistakes of private investors when conducting mutual funds investments and to analyze the implications. Moreover, the question is addressed whether financial advisors help private investors to avoid these investment mistakes. All three research papers use the same data base which has been provided by a German online brokerage house. The detailed data set allows contributing to existing literature on mutual fund investments, smart decision making, household finance as well as financial advice on an investor- and transaction-specific level. The first paper addresses the question which particular decision criteria private investors use when purchasing mutual funds. It can be shown that funds volume is the dominating decision criterion, whereas historical performance is only of minor importance. As performance persistence exists in the underlying data set, it can be concluded that the majority of investors make investment mistakes. In the second paper it is shown that smart investors, i.e. investors who purchase mutual funds by chasing historical performance, are older, wealthier, more experienced and less likely to be overconfident. In addition, it can be verified that there exists a positive impact of the ability to select mutual funds by chasing historical performance on the overall investment success. Hence, the quality of mutual fund selection ability is an ex-ante measure for investment success. Finally, the third paper analyzes the influence of financial advice on mutual fund decision making of private investments. Evidence can be provided that financial advisors do not help their customers to purchase mutual funds by chasing historical performance. In fact, advisors recommend high-volume mutual funds from well-known fund families. Apparently, financial advisors are much more salesmen than real advisors. These results hold when controlling for potential endogeneity issues.