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This cumulative dissertation contains four self-contained chapters on stochastic games and learning in intertemporal choice.
Chapter 1 presents an experiment on value learning in a setting where actions have both immediate and delayed consequences. Subjects make a series of choices between abstract options, with values that have to be learned by sampling. Each option is associated with two payoff components: One is revealed immediately after the choice, the other with one round delay. Objectively, both payoff components are equally important, but most subjects systematically underreact to the delayed consequences. The resulting behavior appears impatient or myopic. However, there is no inherent reason to discount: All rewards are paid simultaneously, after the experiment. Elicited beliefs on the value of options are in accordance with choice behavior. These results demonstrate that revealed impatience may arise from frictions in learning, and that discounting does not necessarily reflect deep time preferences. In a treatment variation, subjects first learn passively from the evidence generated by others, before then making a series of own choices. Here, the underweighting of delayed consequences is attenuated, in particular for the earliest own decisions. Active decision making thus seems to play an important role in the emergence of the observed bias.
Chapter 2 introduces and proves existence of Markov quantal response equilibrium (QRE), an application of QRE to finite discounted stochastic games. We then study a specific case, logit Markov QRE, which arises when players react to total discounted payoffs using the logit choice rule with precision parameter λ. We show that the set of logit Markov QRE always contains a smooth path that leads from the unique QRE at λ = 0 to a stationary equilibrium of the game as λ goes to infinity. Following this path allows to solve arbitrary finite discounted stochastic games numerically; an implementation of this algorithm is publicly available as part of the package sgamesolver. We further show that all logit Markov QRE are ε-equilibria, with a bound for ε that is independent of the payoff function of the game and decreases hyperbolically in λ. Finally, we establish a link to reinforcement learning, by characterizing logit Markov QRE as the stationary points of a game dynamic that arises when all players follow the well-established reinforcement learning algorithm expected SARSA.
Chapter 3 introduces the logarithmic stochastic tracing procedure, a homotopy method to compute stationary equilibria for finite and discounted stochastic games. We build on the linear stochastic tracing procedure (Herings and Peeters 2004), but introduce logarithmic penalty terms as a regularization device, which brings two major improvements. First, the scope of the method is extended: it now has a convergence guarantee for all games of this class, rather than just generic ones. Second, by ensuring a smooth and interior solution path, computational performance is increased significantly. A ready-to-use implementation is publicly available. As demonstrated here, its speed compares quite favorable to other available algorithms, and it allows to solve games of considerable size in reasonable times. Because the method involves the gradual transformation of a prior into equilibrium strategies, it is possible to search the prior space and uncover potentially multiple equilibria and their respective basins of attraction. This also connects the method to established theory of equilibrium selection.
Chapter 4 introduces sgamesolver, a python package that uses the homotopy method to compute stationary equilibria of finite discounted stochastic games. A short user guide is complemented with discussion of the homotopy method, the two implemented homotopy functions logit Markov QRE and logarithmic tracing, and the predictor-corrector procedure and its implementation in sgamesolver. Basic and advanced use cases are demonstrated using several example games. Finally, we discuss the topic of symmetries in stochastic games.
For private investors it is imperative to a) understand and define their own, individual risk preferences, b) assess their financial and demographic circumstances to determine the individual risk-taking potential, and c) form and maintain a well-diversified risky portfolio. The three chapters of my thesis each match one of these three tasks. \\ \noindent The first chapter of my thesis presents novel experimental evidence to test the existence of a potential projection bias in loss aversion, a significant determinant of investor preferences, thus matching task a). The second chapter is devoted to the determination of private investors' risk-taking potential based on their financial and socio-demographic circumstances, matching task b): In a large portfolio experiment, we examine the ability and heterogeneity of lay and professional advisors in matching investor demographics, such as age and income, with risky asset portfolio shares. The third and final chapter addresses the question on how to reach and maintain an efficient risky portfolio, therefore matching task c): It analyzes a decision support system for private investors that allows its users to simulate any arbitrary set of securities, and by reporting aggregated expected return and risk, to optimize their current portfolio.
This dissertation consists of four self-contained chapters in the overlapping fields of industrial organization and organizational economics on the topics pricing, careers and supervision. Each chapter is the result of an independent research project. The dissertation analyzes empirical research topics by exploring novel observational data sets. It sheds light on open questions in the economic profession by extending fundamental models on pricing in the first two chapters and by challenging conventional explanations and methods on careers and supervision in the last two chapters.
- Chapter 1:
The first chapter is based on joint work with Steffen Eibelshäuser. It models price competition among brick-and-mortar retailers with business hours. Specifically, we propose a dynamic model of intraday price competition featuring spatial differentiation and firm size heterogeneity. The model makes detailed predictions concerning equilibrium-pricing patterns. When spatial differentiation is high and consumers cannot easily switch between retailers, equilibrium prices are stable at oligopoly levels. When differentiation is low, equilibrium prices fluctuate in cycles. The shapes of the cycles depend on the level of differentiation and on retailers’ reaction times. When reaction times decrease, the number of price cycles increases. In a second step, we apply the model to the German retail gasoline market. Gasoline retailers have been using digital price tags for decades and fast-paced price competition with more than ten price changes per day is no exception. Our model has successfully predicted the emergence of an additional intraday subcycle in April 2017. Moreover, we were able to confirm several detailed predictions concerning the shape of equilibrium price paths and individual firm behavior. Finally, we calibrate the model using a generalized method of moments. The model fits the data remarkably well, with coefficients of determination ranging from 60% to 80%. We use the fitted model to evaluate a number of policy counterfactuals. Restricting price increases results in higher prices and decreased welfare, leading us to conclude that regulation of dynamic markets is highly complex and can easily backfire.
- Chapter 2:
The second chapter analyzes the price-matching policies of two gasoline retailers. Customers of these retailers that are able to provide evidence of competitors posting lower prices have the ability to claim price matches. As shown in the first chapter, the Edgeworth Cycle model rationalizes price fluctuations in the German gasoline retail market. To determine policy interactions in cycling markets, this chapter extends the classical Edgeworth Cycle model by price-matching. The model predicts that price-matching retailers post higher prices and initiate price increases. The price-consulted firm anticipates this strategy, posts lower prices, and provokes the implementing firm to restore the price more frequently. Consulted stations also anticipate earlier price restoration reactions from implementing stations and, thus, provoke restorations earlier. This effect dominates in welfare calculations, such that price matching has positive welfare implications.
The second part of the chapter tests the hypotheses with price data on the German gasoline retail market. The estimation exploits a discontinuity in the policy-affected retailers. Therefore, the analysis disentangles the competitive effects of implementing and price-consulted market participants in comparison to retailers that are not affected. As predicted, the posted average and minimum prices of one implementing retailer and its consulted competitors increase. For the other price-matching retailer, I find reduced prices that contradict the model. The last part of the chapter relates the empirics to static models and shows that the dynamic component provides previously undiscovered insights.
- Chapter 3:
The third chapter is based on joint work with Emmanuelle Auriol and Guido Friebel. It represents the subtopic of careers in this dissertation. Specifically, the chapter provides the first comprehensive data collection analysis of women’s careers in all European research institutions in the field of economics. Using a web-scraping algorithm that constantly accesses position information on institutions’ websites, we collect a novel data set on researchers in Europe. These details entail information on researchers’ gender obtained by the first name and a face recognition. Similar to survey data on U.S. institutions, we identify a leaky pipeline, as women are less likely to become professors than men are. The situation is very heterogeneous across Europe. The gap is substantially larger in Western and Southern Europe than in Central and Eastern Europe. Furthermore, we identify institutions with a higher research output and a better research-ranking having a systematically lower share of females in full professor positions as well as entry-level positions for Ph.D. graduates. Austria, Belgium, Italy, Portugal, and Spain are the drivers for this correlation. All these results are in line with the “leaky pipeline” hypothesis, in which, over the different stages of a career, the attrition of women is higher than the one of men. We show that the cohort hypothesis arguing that the lag effect between the time of Ph.D. completion and the time of promotion to a full professorship is unable to explain the current low number of females.
- Chapter 4:
The fourth and last chapter "What does Mystery Shopping do?" is based on joint work with Sidney Block, Guido Friebel, Matthias Heinz, and Nick Zubanov. It addresses an auditing practice with a yearly U.S.-turnover of 19.5 billion USD in 2016 (European Society for Opinion and Market Research, 2017: Global Market Research 2017). The term mystery represents the key aspect of the tool. During an anonymous visit, so-called mystery shoppers perform certain predefined tasks such as purchasing a product, asking questions, registering complaints, or behaving in a certain way. Following their visit, the shoppers provide detailed reports about their experiences to the evaluated firms. The chapter investigates whether the practice is suitable to determine employees’ pay. Contrary to the general understanding that firms are able to observe service quality and, in turn, can proxy for business success with mystery shopping, we do not observe mystery-shopping evaluations to correlate positively with firm performance. A decomposition of the evaluation reports indicates that mystery-shopping scores are biased and the shopper’s identity explains up to 20% of the score’s variance. Thus, the shopper’s identity has the largest impact out of all observable characteristics. With the results that mystery-shopping scores are noisy and biased, we conclude that they are not suitable for performance pay in the context of our study. In addition, we show that if the number of observations is sufficiently large, aggregated scores relate to business success. The required number of shops per evaluation period must be, however, larger by a factor between 3 and 30 per evaluated subject. Hence, cost advantages of mystery shopping diminish such that the cost benefits to customer assessments could vanish completely. The current methodology, however, may still be useful for other employee-related purposes like monitoring, which is in line with the policies of the considered firms.
IT-driven trading innovations offer institutional investors alternative trading channels to broker delegated order handling. Motivated by the impact on intermediation relationships in securities trading and the adoption rate of such trading channels, the new option of self-directed order handling is analyzed. To capture the prerequisites for institutional investors to insource their order handling, an order-channel management (OCM) framework is introduced. It is based on a structural approach to account for the increasing complexity in comparison to traditional intermediary services. Drivers for the adoption of an OCM framework are investigated from the strategic perspective. Operational OCM is based on the business value of IT analysis of distinct trading innovations. It includes smart order router technology, low latency technology as an upgrade for existing IT-driven trading channels as well as negotiation dark pools, representing alternative trading venues. Evidence that all investigated IT-driven trading innovations generate additional business value is provided as one result. However, it is also shown that they exhibit entry barriers tightly related to investor size. Further, Task-Technology Fit is proven to be the major driver for the adoption decision. Consequently, IT-driven trading innovations should increase trading control, satisfy high anonymity and varying urgency demands.
Demographic change belongs to the mega-trends of the 20th and the 21st century. The ongoing aging process in major industrialized countries gives rise to the relative scarcity of raw labor and the relative abundance of physical capital. Standard macroeconomic models suggest that this depresses asset returns and increases wages which, in turn, provides incentives for more human capital accumulation. This thesis quantifies the macroeconomic effects of demographic change and reveals the importance of human capital adjustments for price and welfare effects within and across generations. Chapter 1 investigates the distributions of income, skills, and welfare in the German economy along the inter- and the intra-generational dimension. It shows that demographic change leads to a more capital- and skill-intensive economy and that high-school households loose compared to college households in terms of welfare. Chapter 2 disentangles the effect of demographic change on returns to risk-free and risky assets in the U.S. and measures the net effect on the equity premium. It shows that both returns decline while the equity premium increases slightly. Endogenous human capital adjustments are crucial for relatively small effects. Chapter 3 develops a method for computing transitional dynamics in heterogeneous agent models with aggregate risk if these transitions are induced by exogenous deterministic dynamics such as demographic change. The application of the method to a simple illustrative example shows a large reduction in total computing time while approximation errors are small.
Die Dissertation besteht aus drei thematisch zusammenhängenden Forschungspapieren, in denen zeitstetige Konsum-, Investment- und Versicherungsprobleme über den Lebenszyklus betrachtet werden. Ein besonderer Fokus liegt auf realistischen Features wie stochastischem Sterberisiko und nicht-replizierbarem Einkommen. In der ersten Forschungsarbeit untersuche ich die Relevanz von stochastischem Sterberisiko. Dabei zeige ich, dass eine Sprungkomponente in der Sterberate die optimalen Entscheidungen der Agenten und das Wohlfahrtslevel signifikant beeinflusst. Eine Diffusionskomponente ist hingegen vernachlässigbar. In dem zweiten Forschungspapier untersuchen wir die Risikolebensversicherungsnachfrage einer Familie, dessen Alleinverdiener stochastischem Sterberisiko ausgesetzt ist. Wir achten insbesondere auf eine realistische Modellierung der Versicherung. Wir zeigen, dass dadurch junge Agenten dem Versicherungsmarkt fern bleiben und die Versicherungsnachfrage mit dem Alter steigt, im Gegensatz zu Modellen mit einfachen stetig-veränderbaren Versicherungen. Weiterhin verstärken langlaufende Versicherungsverträge die negativen Effekte von Einkommensschocks und werden daher von risikoaversen Agenten weniger abgeschlossen. In der dritten Forschungsarbeit untersuche ich die Critical Illness Versicherungsnachfrage eines Agenten in einem Modell mit stochastischem Sterberisiko und Gesundheitsausgaben. Die Versicherung übernimmt dabei die zusätzlichen Gesundheitskosten, die bei einem Sprung entstehen. Fast alle Agenten schließen solch eine Versicherung vor dem Rentenalter ab, selbst wenn diese sehr kostspielig ist. Insbesondere Agenten mit geringen Gesundheitsausgaben und hohem Einkommen haben eine hohe Versicherungsnachfrage.
Essays in behavioral economics - evidence on self-selection into jobs, social networks and leniency
(2013)
Die Dissertation mit dem Titel „Essays in Behavioral Economics – Evidence on Self-Selection into Jobs, Social Networks and Leniency“ besteht aus einer Sammlung von vier wissenschaftlichen Abhandlungen. Alle Arbeiten verbindet die Analyse von theoretischen Konzepten und Erkenntnissen der Verhaltensökonomie unter Verwendung der experimentellen Methode. Die erste wissenschaftliche Abhandlung trägt den Titel „Sorting of Motivated Agents - Empirical Evidence on Self-Selection into the German Police“ und untersucht Selbstselektion bestimmter Individuen in den Polizeiberuf. Die experimentelle Studie untersucht die Frage, ob Polizeibewerber sich hinsichtlich ihrer Präferenzen in Bezug auf ihr Normdurchsetzungsverhalten in den Polizeiberuf selektieren. Die zweite Abhandlung greift diese Erkenntnisse auf und untersucht Polizeianwärter in ihrer Berufsausbildung ebenfalls hinsichtlich ihrer Normdurchsetzungsbereitschaft. Die Arbeit trägt den Titel „Selection and formation of motivated agents -- empirical evidence from the German Police”. In der dritten wissenschaftlichen Abhandlung werden geschlechterspezifische Unterschiede bei der Wahl von Partnern und dem Aufbau des sozialen Netzwerkes untersucht. Diese trägt den Titel „Selectivity and opportunism: two dimensions of gender differences in trust games and network formation“ und wurde zusammen mit Guido Friebel, Marie Lalanne, Paul Seabright und Peter Schwardmann verfasst. Die vierte Abhandlung geht einer aktuellen Fragestellung der Industrieökonomie nach und trägt den Titel „Antitrust, auditing and leniency programs: evidence from the laboratory“, verfasst mit Mehdi Feizi and Ali Mazyaki. In ihrer Gesamtheit liefert meine Dissertation Antworten auf personalpolitische, soziale und industrieökonomische Fragestellungen.
In this thesis the behavior of banks in financial markets which banks frequently use to obtain short-term as well as long-term financing is studied. In the first chapter we incorporate an interbank market for collateralized lending among banks into a dynamic, stochastic, general equilibrium (DSGE) framework to analyze the impact of variations in the expected value of the collateral on the interbank lending volume. We find that a central bank which decides to lower the haircut on eligible collateral in repurchase agreements is able to stimulate interbank markets. In the second chapter a microeconomic model of bank behavior on the interbank market is set up to analyze the impact of risk-taking behavior of interbank borrowing banks and uncertainty about their balance sheet quality on the lending behavior of interbank lending banks. It is found that the disruptions on the interbank market are the result of optimal behavior on the part of interbank lending banks in response to the uncertainty about the balance sheet quality of an interbank borrowing bank. In the third chapter we use monthly data on German bank bond spreads and regress it on bank-specific risk factors to assess the degree of market discipline in the German bank bond market. The regression results for the whole German bank bond market indicate that the bond spread does not show signs of market discipline. However, a structural break analysis uncovers that since the beginning of the financial crisis the German bank bond market exhibits at least a weak form of market discipline for bonds issued by medium-size and large banks.
Die vorliegende Arbeit beschäftigt sich mit der zeitstetigen Portfoliooptimierung sowie mit Themen aus dem Bereich des Kreditrisikos. Das Ziel der Portfoliooptimierung ist es, zu einem gegebenen Anfangskapital die bestmöglichen Konsum- und Investmentstrategien zu finden. In dieser Arbeit wird dabei vor allem der Einfluss von Einkommen auf diese Entscheidungen untersucht. Da einerseits jedoch der zukünftige Einkommensstrom vom Zufall bestimmt ist und es andererseits keine Finanzprodukte gibt, die diesen replizieren können, stellt die Einbindung von Einkommen in die Portfoliooptimierung ein großes Problem dar. Es führt dazu, dass die Annahmen eines vollständigen Marktes nicht weiter gelten, so dass die Standardmethoden zur Lösung nicht angewendet werden können. Diese Arbeit analysiert mehrere Ausprägungen dieses Problems und geht auf verschiedene Verfahren zur Lösung ein. Weiterhin untersucht diese Studie den Einfluss des Kreditrisikos einer Firma auf die jeweilige Firmenrendite. Dabei wird vor allem auf eine Anomalie, die bereits umfassend in der Literatur diskutiert wurde, Bezug genommen. Diese Anomalie besagt, dass Firmen mit hohen Ausfallwahrscheinlichkeiten geringere Renditen erwirtschaften als Firmen mit kleineren Ausfallwahrscheinlichkeiten. Eine weitere Frage, die in den Bereich des Kreditrisikos fällt, ist die Frage, inwieweit Modelle dazu in der Lage sind, strukturierte Produkte zu bewerten und abzusichern. Diese Arbeit versucht Antworten darauf zu geben.
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.
This thesis consists of four chapters. Each chapter covers a topic in international macroeconomics and monetary policy. The first chapter investigates the impact of unexpected monetary policy shocks on exchange rates in a multi-country econometric model. The second chapter examines the linkage between macroeconomic fundamentals and exchange rates through the monetary policy expectation channel. The third chapter focuses on the international transmission of bank and corporate distress. The last chapter unfolds the interest rate channel of monetary policy transmission in-an emerging economy-China, where regulations and market forces co-exist in this transmission.
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.
This dissertation introduces in chapter 1 a new comparative approach to model-based research and policy analysis by constructing an archive of business cycle models. It includes many well-known models used in academia and at policy institutions. A computational platform is created that allows straightforward comparisons of models’ implications for monetary and fiscal stabilization policies. Chapter 2 applies business cycle models to forecasting. Several New Keynesian models are estimated on historical U.S. data vintages and forecasts are computed for the five most recent recessions. The extent of forecast heterogeneity for models and professional forecasts is analysed. Chapter 3 extends the forecasting analysis to a long sample and to the evaluation of density forecasts. Weighted forecasts are computed using a variety of weighting schemes. The accuracy of forecasts is evaluated and compared to professional forecasts and forecasts from nonstructural time series methods. Chapter 4 adds a new feature to existing business cycle models. Specifically, a medium-scale New Keynesian model is constructed that allows for strategic complementarities in price-setting. The role of trade integration for monetary policy transmission is explored. A new dimension of the exchange rate channel is highlighted by which monetary policy directly impacts domestic inflation. Chapter 5 tests whether simple symmetric monetary policy rules used in most business cycle models are a sufficient description of reality. I use quantile regressions to estimate policy parameters and find asymmetric reactions to inflation, the output gap and past interest rates.
The goal of this research is to develop an understanding of what causes organizations and information systems to be “good” with regard to communication and coordination. This study (1) gives a theoretical explanation of how the processes of organizational adaptation work and (2) what is required for establishing and measuring the goodness of an organization with regard to communication and coordination. By leveraging concepts from cybernetics and philosophy of language, particularly the theoretical conceptualization of information systems as social systems and language communities, this research arrives at new insights. After discussing related work from systems theory, organization theory, cybernetics, and philosophy of language, a theoretical conceptualization of information systems as language communities is adopted. This provides the foundation for two exploratory field studies. Then a formal theory for explaining the adaptation of organizations via language and communication is presented. This includes measures for the goodness of organizations with regard to communication and coordination. Finally, propositions stemming from the theoretical model are tested using multiple case studies in six information system development projects in the financial services industry.
CHAPTER A: THE INVESTMENT BEHAVIOR OF PRIVATE EQUITY FUND MANAGERS I The Bright and Dark Side of Staging: Investment Performance and the Varying Motivations of Private Equity Firms II The Liquidation Dilemma of Money Losing Investments – The Impact of Investment Experience and Window Dressing of Private Equity and Venture Capital Funds CHAPTER B: THE ASSESSMENT OF RISK AND RETURN OF PRIVATE EQUITY I Venture Capital Performance Projection: A Simulation Approach II Modeling Default Risk of Private Equity Funds – A Market-based Framework
Inhaltsverzeichnis Liste der wissenschaftlichen Beiträge .................................................................................. III Inhaltsverzeichnis ..............................................................................................................IV Abbildungsverzeichnis I List of Figures ................................................................................ VII Tabellenverzeichnis I List of Tables ..................................................................................... VIII Abkürzungsverzeichnis .......................................................................................................... IX 1 Einleitung 1.1 Problemstellung .............................................................................................................. 1 1.2 Einordnung und Ergebnisse der wissenschaftlichen Beiträge ....................................... 3 Literaturverzeichnis ................................................................................................................ 9 2 Langes Leben und Wohlstand im Alter: Ein Überblick über die finanzwirtschaftlichen Alternativen zur Ausgestaltung des Ruhestandes ... 10 2.1 Einführung .................................................................................................................... 10 2.2 Produktalternativen fiir die Ausgestaltung der Entnahmephase .................................. 12 2.2.1 Leibrenten .......................................................................................................... 12 2.2.1.1 Charakteristika von Leibrenten und deren historische Entwicklung .... 12 2.2.1.2 Leibrentenmarkt und -produkte in Deutschland ................................... 15 2.2.1.3 Determinanten von Leibrentenprämien ................................................ 22 2.2.2 Entnahmepläne ................................................................................................... 28 2.2.2.1 Charakteristika von Entnahmeplänen ................................................... 28 2.2.2.2 Entnahmepläne als Instrument der Ruhestandsplanung ....................... 31 2.2.2.3 Leibrenten vs. Entnahmepläne .............................................................. 33 2.3 Forschungsergebnisse zur Ausgestaltung der Entnahmephase .................................... 36 2.3.1 Einleitende Bemerkungen .................................................................................. 36 2.3.2 Positive Literatur ................................................................................................ 37 2.3.2.1 Theoretische Arbeiten zur Bedeutung von Leibrenten ......................... 37 2.3.2.2 Vererbungsmotive als Erklärungsansatz fiir geringe Nachfrage nach Leibrenten ... 39 2.3.2.3 Kosten als Erklärungsansatz fiir geringe Nachfrage nach Leibrenten .. 42 2.3.2.4 Weitere Erklärungsansätze rur geringe Nachfrage nach Leibrenten .... 44 2.3.3 Normative Literatur ............................................................................................ 47 2.3.3.1 Untersuchungen zu reinen Entnahmeplänen ......................................... 47 2.3.3.2 Untersuchung von Entnahmeplänen unter Berücksichtigung von Leibrenten ..... 50 2.3.4 Sonstige Arbeiten ............................................................................................... 56 2.4 Schlussbetrachtung ....................................................................................................... 57 Anhang A: Berechnung von Leibrentenprämien ................................................................. 59 Anhang B: Abbildung der Biometrie ................................................................................... 62 Literaturverzeichnis .............................................................................................................. 67 3 Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans... 76 3.1 Introduction .................................................................................................................. 76 3.2 The Case of Phased Withdrawal .................................................................................. 79 3.2.1 Withdrawal Plans with Fixed Benefits ............................................................... 80 3.2.2 Phased Withdrawal Rules with Variable Benefits ............ : ................................ 80 3.3 Risk and Reward Analysis of Phased Withdrawal Plans Conditional on Survival... ... 82 3.3.1 Research Design ................................................................................................. 82 3.3.2 Analysis of Expected Benefits ........................................................................... 84 3.3.3 Shortfall Risk Analysis ...................................................................................... 86 3.3.4 Analysis of Expected Bequests .......................................................................... 89 3.4 Risk-Minimizing Phased Withdrawal Strategies ......................................................... 90 3.4.1 Optimized Withdrawal Rules in a Risk-Return Context... ................................. 90 3.4.2 Comparative Results: Annuity versus Phased Withdrawal Plans ...................... 92 3.4.3 Phased Withdrawal Plans with Mandatory Deferred Annuities ........................ 97 3.4.4 Comparative Results ........................................................................................ 100 3.5 Summary and concluding remarks ............................................................................. 101 Appendix A: Determining Annuity Benefits ..................................................................... 104 Appendix B: Determining Expected Benefits, Expected Bequest and the Risk of a Consumption Shortfall for Phased Withdrawal Plans with given Benefit-to-Wealth Ratios .......................................................................................................................... 105 References .......................................................................................................................... 107 4 Leistungsgarantien in der Auszahlphase von investmentbasierten Altersvorsorgeverträgen: Entwicklung eines konditionalen Eigenkapitalsystems und Analyse seiner ökonomischen Implikationen ... 111 4.1 Einführung .................................................................................................................. 111 4.2 Altersvorsorgeverträge in der Auszahlphase ............................................................. 114 4.2.1 Gesetzliche Regelungen ................................................................................... 114 4.2.2 Entnahmepläne vs. Leibrenten ......................................................................... 115 4.3 Konditionales Eigenkapitalsystem fiir Altersvorsorgeverträge ................................. 117 4.3.1 Einleitende Vorbemerkungen ........................................................................... 117 4.3.2 Konzeptionelle Grundlagen eines konditionalen EK-Systems ........................ 119 4.3.3 Deduktion eines Eigenkapitalsystems fiir die Entnahmephase ........................ 121 4.4 Eigenkapitalanforderungen in der Entnahmephase .................................................... 126 4.4.1 Vorbemerkungen zur empirischen Untersuchung ............................................ 126 4.4.2 Ex post Analyse von Altersvorsorge-Entnahmeplänen ................................... 128 4.4.3 Untersuchung der Eigenkapitalanforderungen im ex ante Kontext ................. 132 4.4.3.1 Untersuchungsansatz und Modellannahmen ....................................... 132 4.4.3.2 Analysen auf Einzelvertragsbasis ....................................................... 135 4.4.3.3 Analysen im Rahmen eines Geschäfts- und Absatzmodells ............... 140 4.4.3.4 Robustheitsanalysen ............................................................................ 145 4.5 Schlussbetrachtung ..................................................................................................... 147 Literaturverzeichnis ............................................................................................................ 149 Lebenslauf ............................................................................................................................. 151 Ehrenwörtliche Erklärung: ................................................................................................. 154