Working Paper
Refine
Year of publication
- 2022 (126) (remove)
Document Type
- Working Paper (126) (remove)
Has Fulltext
- yes (126)
Is part of the Bibliography
- no (126)
Keywords
- Covid-19 (4)
- Digital Services Act (4)
- ESG (4)
- Digitalisierung (3)
- Mobilität (3)
- climate change (3)
- AI borrower classification (2)
- AI enabled credit scoring (2)
- Artificial Intelligence (2)
- Asset Pricing (2)
- Banking Union (2)
- Big Data (2)
- COVID-19 (2)
- Corona-Pandemie (2)
- DSA (2)
- Desinformation (2)
- Disclosure (2)
- European Central Bank (2)
- European Parliament (2)
- Experiment (2)
- Experten (2)
- FOMC (2)
- FinTech (2)
- Financial Regulation (2)
- Finanzkrise (2)
- Flüchtlinge (2)
- Forschung (2)
- Gesundheit (2)
- Hassrede (2)
- Household Finance (2)
- Klimawandel (2)
- Krise (2)
- Market Liquidity (2)
- Medienberichterstattung (2)
- Nachhaltigkeit (2)
- Performance (2)
- Politikberatung (2)
- Russia (2)
- SWIFT (2)
- Sustainability (2)
- Transparency (2)
- Ukraine (2)
- Wissenschaftskommunikation (2)
- accountability (2)
- brown-spinning (2)
- climate (2)
- credit scoring methodology (2)
- credit scoring regulation (2)
- financial privacy (2)
- institutional investors (2)
- natural gas (2)
- peer effects (2)
- political economy (2)
- politische Reformen (2)
- portfolio management (2)
- price stability (2)
- private companies (2)
- private equity (2)
- responsible lending (2)
- social media (2)
- statistical discrimination (2)
- sustainability (2)
- uncertainty (2)
- 13F filings (1)
- 2-Sector Model (1)
- 401(k) plan (1)
- Accounting (1)
- Acquisitions (1)
- Affordability crisis (1)
- Akzeptanzuntersuchung (1)
- Akzeptierbarkeit (1)
- Antitrust (1)
- Art investment (1)
- Art. 17 DSM-Richtlinie (1)
- Asset prices (1)
- Bailin (1)
- Bank Accounting (1)
- Bank's Balance Sheets (1)
- Banks (1)
- Bayesian Estimation (1)
- Behavioral Finance (1)
- Behavioral Measurement (1)
- Beliefs (1)
- Beliefs and Choice (1)
- Bestimmtheit (1)
- Bias in medical research (1)
- Biased Beliefs (1)
- Big Five (1)
- Big Five Personality (1)
- Big Techs (1)
- Big Three (1)
- Big data (1)
- Blockchain (1)
- Broker (1)
- Business Subsidies (1)
- CBDC (1)
- CECL (1)
- Carbon Taxation (1)
- Cash (1)
- Caste (1)
- Causal Machine Learning (1)
- Chihuahuan Desert (1)
- Choice under Risk (1)
- Cholesky decomposition (1)
- Climate Change (1)
- Coalitions (1)
- Colocation (1)
- Complex Financial Instruments (1)
- Consulting (1)
- Consumer Welfare (1)
- Content ID (1)
- Corporate Governance (1)
- Corporate concentration (1)
- Covid pandemic (1)
- Cryptocurrencies (1)
- Cultural Economics (1)
- Cultural Finance (1)
- Cultural Norms (1)
- Customer data sharing (1)
- DMA (1)
- DSGE (1)
- DSGE models (1)
- Data access (1)
- Data portability (1)
- Dienst der Informationsgesellschaft (1)
- Digital Markets Act (1)
- Digital footprints (1)
- Disclosure regulation (1)
- Discrimination (1)
- Dyson (1)
- ESM (1)
- Economic and Monetary Union (1)
- Eindeutigkeit (1)
- Empirical Contract Theory (1)
- Energy Embargo (1)
- Enriched Digital Footprint (1)
- Environmental (1)
- Environmental, social, and governance factors (ESG) (1)
- Estimation (1)
- Ethics (1)
- European Banking Union (1)
- European Capital Markets Union (1)
- European Commision (1)
- European Commission (1)
- European Investment Bank (1)
- European Stability Mechanism (1)
- European integration (1)
- Eurozone (1)
- Execution Cost (1)
- Exklusion (1)
- Expected credit losses (1)
- Externalities (1)
- Factor Models (1)
- Fahrradinfrastruktur (1)
- Fiduciary Duties (1)
- FinTech and Textual Analysis (1)
- Financial Markets (1)
- Financial Supervision (1)
- Financial interests (1)
- Fintech (1)
- Fire Sales (1)
- Fixed Income (1)
- Forecasting (1)
- Frankfurt am Main (1)
- Fraud (1)
- Fund family (1)
- Gambling (1)
- Gemeinschaftliches Wohnen (1)
- Gemeinwohl (1)
- Generationenrente (1)
- Generations (1)
- Global Optimization (1)
- Governance (1)
- Green Nudging (1)
- Green Quantitative Easing (1)
- Greenwashing (1)
- Hate Speech (1)
- Haushaltsbefragung (1)
- Headline (1)
- Heterogeneous Agents (1)
- Heterogeneous Firms (1)
- High-Frequency Trading (1)
- High-dimensional Methods (1)
- History & Finance (1)
- Household finance (1)
- IFRS 9 (1)
- IPS (1)
- IV (1)
- IV approach (1)
- Idiosyncratic Risk (1)
- Impairments (1)
- Incomplete Contracts (1)
- Institutional Investor (1)
- Integrated Assessment Model (1)
- Inter-ethnic Conflict (1)
- Invasion (1)
- Klarheit (1)
- Krisenprotokoll (1)
- LBO spillovers (1)
- Lending (1)
- Levola (1)
- Life insurance companies (1)
- Limited Commitment (1)
- Limited Enforcement (1)
- Limits to Arbitrage (1)
- Liquidation Preferences (1)
- Liquidity (1)
- Liquidity Risk (1)
- Loans (1)
- Long-run risk (1)
- Lottery stocks (1)
- Maastricht criteria (1)
- Management (1)
- Marginal Propensity to Consume (1)
- Market Fragmentation (1)
- Market Microstructure (1)
- Market Quality (1)
- Marketplace lending (1)
- Methodenbericht (1)
- MiCA (1)
- Middle East and North Africa (1)
- Mixed-frequency data (1)
- Mobilitätsverhalten (1)
- Model-based regulation (1)
- Monitoring (1)
- Monte Carlo Methods (1)
- Morality (1)
- NFT (1)
- NetzDG (1)
- Netzwerkdurchsetzungsgesetz (1)
- Neuaufteilung öffentlicher Räume (1)
- Non-Compete Agreements (1)
- Non-Fungible Tokens (1)
- Numerical accuracy (1)
- Online Poker (1)
- Online-Plattformen (1)
- Open banking (1)
- Option-implied Risk (1)
- Organizational Economics (1)
- Overblocking (1)
- P2P lending (1)
- Paycheck Protection Program (1)
- Paycheck Sensitivity (1)
- Persistence (1)
- Personnel Economics (1)
- Pivotality (1)
- Plattform (1)
- Policy Center (1)
- Political Economy (1)
- Portfolio optimization (1)
- Price elasticity of gasoline demand (1)
- Pricing Determinants (1)
- Product returns (1)
- Prosociality (1)
- Public Finance (1)
- Random Route (1)
- Random-Route-Verfahren (1)
- Real estate (1)
- Reallocation (1)
- Regulation (1)
- Religion (1)
- Rents (1)
- Research and development (1)
- Retail Challenge (1)
- Retail investors (1)
- Ridepooling (1)
- Risikomanagement (1)
- Risikominderung (1)
- Risk Attitudes (1)
- Risk Preferences (1)
- Risk Sharing (1)
- Robo-Advising (1)
- Russian Sanction (1)
- Rücklaufquote (1)
- SME Trading (1)
- SRB (1)
- SRF (1)
- SVAR (1)
- Sanctions (1)
- Securities Market Regulation (1)
- Short-run and long-run inflation expectations (1)
- Short-time work (1)
- Sieckmann (1)
- Social (1)
- Social Capital (1)
- Social Conditioning (1)
- Social Impact (1)
- Social Learning (1)
- Social Security claiming (1)
- Socially responsible investments (1)
- Solution methods (1)
- Solvency regulation (1)
- Soziale Teilhabe / Partizipation (1)
- Sporthelm (1)
- Stability and Growth Pact (1)
- States (1)
- Stationary Equilibrium (1)
- Subsidization (1)
- Supervision (1)
- Supply Chain (1)
- Survey Data (1)
- Swiss Army Knife (1)
- Temporal aggregation (1)
- Textual Analysis (1)
- Time Inconsistency (1)
- Time Preferences (1)
- Trados (1)
- Transaction Data (1)
- Trust (1)
- Universal banks (1)
- Venture Capital (1)
- Venture capital (1)
- Verhaltenskodex (1)
- Verkehr (1)
- Verkehrspolitik (1)
- Verkehrspolitische Maßnahmen (1)
- Vermittlungsdienst, (1)
- Vernetzung (1)
- Vertrauen (1)
- Volcker Rule (1)
- Wettbewerbsrecht (1)
- Wirksamkeit (1)
- annuity (1)
- art (1)
- asset valuation (1)
- asymmetric information (1)
- auctions (1)
- bail-in (1)
- bank regulation (1)
- bank resolution (1)
- banking (1)
- banking union (1)
- banknotes (1)
- banks (1)
- based on a single specimen (1)
- belief formation (1)
- beliefs (1)
- betting (1)
- biases (1)
- big data (1)
- bitcoin (1)
- blockchain (1)
- bond market liquidity (1)
- bureaucrats' incentives (1)
- business cycle (1)
- capital markets (1)
- capital regulation (1)
- capital requirements (1)
- central bank communication (1)
- civil war (1)
- climate-related disclosures (1)
- coal (1)
- collateral reuse (1)
- common ownership (1)
- computer vision (1)
- computer visionbiases (1)
- concept and conceptions of trust (1)
- conditionality (1)
- conflict (1)
- contentious politics (1)
- continuous limit order book (1)
- core (1)
- credit risk (1)
- creditors runs (1)
- crises (1)
- cross-equation restrictions of rational expectations (1)
- cross-section (1)
- cryptocurrencies (1)
- debt cost (1)
- democracy (1)
- deposit guarantee scheme (1)
- derivatives (1)
- diesel (1)
- digital planning tool (1)
- digitale Geschäftsmodelle (1)
- disagreement (1)
- disaster risk (1)
- discourse analysis (1)
- discrimination (1)
- economic governance (1)
- economies of scale (1)
- electricity (1)
- endogeneity (1)
- energy crisis (1)
- equity cost (1)
- experts (1)
- external instruments (1)
- factorization of matrix polynomials (1)
- filtering (1)
- finance (1)
- finance and development (1)
- finance wage premium (1)
- financial distress (1)
- financial solidarity (1)
- fintech (1)
- fiscal rules (1)
- fiscal solidarity (1)
- frequent batch auctions (1)
- gasoline (1)
- gasoline supply (1)
- gasoline tax (1)
- geistiges Eigentum (1)
- geo-economics (1)
- government bonds (1)
- green financing (1)
- high-frequency trading (1)
- identification (1)
- index funds (1)
- inequality (1)
- inflation (1)
- inflation expectations (1)
- inflation surge (1)
- insider trading (1)
- institutions (1)
- investment behavior (1)
- investment decisions (1)
- investment forum (1)
- investor coalitions (1)
- jet fuel (1)
- justification (1)
- kapitalgedeckte Alterssicherung (1)
- labelling (1)
- latency arbitrage (1)
- leverage constraint (1)
- life expectancy (1)
- liquidity provision (1)
- loanable funds (1)
- longevity (1)
- machine learning (1)
- market design (1)
- market microstructure (1)
- market supervision (1)
- market-making (1)
- monetary policy (1)
- monetary policy rule (1)
- monetary system (1)
- monetary transmission (1)
- money (1)
- money creation (1)
- moral hazar (1)
- motivated reasoning (1)
- national interest (1)
- neoinstitutionalism (1)
- net zero transition (1)
- net-zero transition (1)
- normative orders (1)
- oil (1)
- opinion (1)
- orthogonalization (1)
- ownership disclosure (1)
- pass-through (1)
- passive investors (1)
- pathogenic lichenicolous fungi (1)
- pensions (1)
- persistent or transitory inflation shock (1)
- polarization (1)
- policy reform (1)
- policy rule (1)
- politicization (1)
- profit weights (1)
- property rights (1)
- proprietary trading (1)
- randomized control trial (1)
- randomized controlled trial (1)
- rebel governance (1)
- reconciliation of Lucas's advocacy of rational-expectations modelling and policy predictions and Sims's advocacy of VAR modelling (1)
- recursive utility (1)
- regulation (1)
- rehypothecation (1)
- repo market (1)
- retirement (1)
- retirement expectations (1)
- retirement planning (1)
- risk preference (1)
- safe assets (1)
- saving behavior (1)
- savings banks (1)
- securities lending (1)
- sharing economy (1)
- simultaneity (1)
- skill-biased technological change (1)
- sniping (1)
- social impact (1)
- social movements (1)
- social networks (1)
- sovereign bonds (1)
- sovereign debt (1)
- stabilization (1)
- stock market investment (1)
- structural power (1)
- städtebauliches Instrument (1)
- survey (1)
- survey experiment (1)
- survey forecasts (1)
- sustainability disclosures (1)
- tax arbitrage (1)
- taxes (1)
- trust (1)
- venture capital (1)
- worker-firm panels (1)
Institute
- Wirtschaftswissenschaften (99)
- Center for Financial Studies (CFS) (83)
- Sustainable Architecture for Finance in Europe (SAFE) (81)
- House of Finance (HoF) (69)
- Foundation of Law and Finance (24)
- Rechtswissenschaft (21)
- Institute for Monetary and Financial Stability (IMFS) (14)
- Exzellenzcluster Die Herausbildung normativer Ordnungen (6)
- Geographie (5)
- Gesellschaftswissenschaften (4)
This note argues that in a situation of an inelastic natural gas supply a restrictive monetary policy in the euro zone could reduce the energy bill and therefore has additional merits. A more hawkish monetary policy may be able to indirectly use monopsony power on the gas market. The welfare benefits of such a policy are diluted to the extent that some of the supply (approximately 10 percent) comes from within the euro zone, which may give rise to distributional concerns.
We collect data on the size distribution of all U.S. corporate businesses for 100 years. We document that corporate concentration (e.g., asset share or sales share of the top 1%) has increased persistently over the past century. Rising concentration was stronger in manufacturing and mining before the 1970s, and stronger in services, retail, and wholesale after the 1970s. Furthermore, rising concentration in an industry aligns closely with investment intensity in research and development and information technology. Industries with higher increases in concentration also exhibit higher output growth. The long-run trends of rising corporate concentration indicate increasingly stronger economies of scale.
The authors present and compare Newton-based methods from the applied mathematics literature for solving the matrix quadratic that underlies the recursive solution of linear DSGE models. The methods are compared using nearly 100 different models from the Macroeconomic Model Data Base (MMB) and different parameterizations of the monetary policy rule in the medium-scale New Keynesian model of Smets and Wouters (2007) iteratively. They find that Newton-based methods compare favorably in solving DSGE models, providing higher accuracy as measured by the forward error of the solution at a comparable computation burden. The methods, however, suffer from their inability to guarantee convergence to a particular, e.g. unique stable, solution, but their iterative procedures lend themselves to refining solutions either from different methods or parameterizations.
In the aftermath of the Wirecard scandal the German lead stock market index DAX has undergone a series of reforms, including the introduction of a profitability criterion based on EBITDA for new DAX members and enhanced financial reporting requirements with specified sanctions for non-compliance. Furthermore, DAX members need to adhere to certain provisions in the German Corporate Governance Code relating to audit committees. The final step of the reform was implemented in September 2021: the extension of the DAX from 30 to 40 constituents, with the ranking based solely on the free float market capitalisation. After one year of experience with the new design of the DAX, this paper concludes that the reform has strengthened the DAX in terms of diversification, quality and adaptability. However, there is still room for further improvement by introducing a minimum ESG score for DAX companies and thus making sustainability a relevant factor in the selection process. In addition, full compliance with the recommendations of the German Corporate Governance Code should be a condition for DAX companies. Furthermore, the profitability criterion should be applied on a continuous basis to ensure that loss-making companies can be excluded from the DAX after a grace period.
Gegen den Landeshaushalt 2022 des Freistaats Thüringen bestehen nach Einschätzung von Helmut Siekmann erhebliche verfassungsrechtliche Bedenken. In einem Gutachten kommt Siekmann zu dem Schluss, dass sich die festgestellten globalen Minderausgaben im Vergleich zum gesamten Haushaltsvolumen nicht rechtfertigen lassen. Der verfassungsrechtlich gebotene Haushaltsausgleich sei nur dadurch erzielt worden, dass die eigentlich gebotenen Einzelkürzungen nicht vom Parlament entschieden, sondern der Exekutive überlassen worden seien. Durch Globale Minderausgaben soll der Ausgleich von Einnahmen und Ausgaben erreicht werden, ohne dafür erforderliche und politisch oft schwer durchsetzbare Kürzungen bei Einzeltiteln vornehmen zu müssen.
In Thüringen fehlen der Minderheitskoalition aus Linke, SPD und Grünen im Parlament vier Stimmen für eine eigene Mehrheit. Sie muss damit bei allen Entscheidungen eine Unterstützung der oppositionellen CDU aushandeln. Siekmann weist in seinem Gutachten darauf hin, dass die Veranschlagung von globalen Minderausgaben gleich welcher Art in keinem Fall die Exekutive ermächtigt, bestehende Verpflichtungen nicht zu erfüllen.
Liquidity derivatives
(2022)
It is well established that investors price market liquidity risk. Yet, there exists no financial claim contingent on liquidity. We propose a contract to hedge uncertainty over future transaction costs, detailing potential buyers and sellers. Introducing liquidity derivatives in Brunnermeier and Pedersen (2009) improves financial stability by mitigating liquidity spirals. We simulate liquidity option prices for a panel of NYSE stocks spanning 2000 to 2020 by fitting a stochastic process to their bid-ask spreads. These contracts reduce the exposure to liquidity factors. Their prices provide a novel illiquidity measure refllecting cross-sectional commonalities. Finally, stock returns significantly spread along simulated prices.
In the communication of the European Central Bank (ECB), the statement that „we act within our mandate“ is often referred to. Also among practitioners of the Eurosystem the term „mandate“ has become popular. In his Working Paper, Helmut Siekmann analyzes the legal foundation of the tasks and objectives of the Eurosysstem and price stability as a legal term. He finds that the primary law of the EU only very sparsely employs the term „mandate“. It is never used in the context of monetary policy and its institutions. Moreover, he comes to the conclusion that inflation targeting as a task, competence, or objective of the Eurosystem is legally highly questionable according to the common standards of interpretation.
Identifying the cause of discrimination is crucial to design effective policies and to understand discrimination dynamics. Building on traditional models, this paper introduces a new explanation for discrimination: discrimination based on motivated reasoning. By systematically acquiring and processing information, individuals form motivated beliefs and consequentially discriminate based on these beliefs. Through a series of experiments, I show the existence of discrimination based on motivated reasoning and demonstrate important differences to statistical discrimination and taste-based discrimination. Finally, I demonstrate how this form of discrimination can be alleviated by limiting individuals’ scope to interpret information.
Spillovers of PE investments
(2022)
In this paper, we investigate a primary potential impact of leveraged buyout (LBOs) transactions: the effects of LBOs on the peers of the LBO target in the same industry. Using a data sample based on US LBO transactions between 1985 and 2016, we investigate the impact of the peer firms in the aftermath of the transaction, relative to non-peer firms. To account for potential endogeneity concerns, we employ a network-based instrumental variable approach. Based on this analysis, we find support for the proposition that LBOs do indeed matter for peer firms’ performance and corporate strategy relative to non-peer firms. Our study supports a learning factor hypothesis: peers gain by learning from the LBO target to improve their operational performance. Conversely, we find no evidence to support the conjecture that peers lose due to the increased competitiveness of the LBO target firm.
Der Koalitionsvertrag 2021 sieht eine generationengerechte Absicherung des Rentenniveaus durch eine teilweise aus Haushaltsmitteln finanzierte Kapitaldeckung vor. Um dieses Ziel zu verwirklichen, wird hier die Einführung einer Generationenrente ab Geburt vorgeschlagen. Dabei wird aus Haushaltsmitteln ein Betrag von € 5.000 für jedes Neugeborene nach Grundsätzen des professionellen Anlagemanagements am globalen Kapitalmarkt angelegt. Konzeptionell soll sich diese Generationenrente am Modell der Basisrente(§10 Abs. 1 Nr. 2 b EStG) orientieren, d.h. die akkumulierten Gelder sind weder beleihbar, vererbbar noch übertragbar und können frühestens ab Alter 63 zugunsten einer lebenslangen Monatsrente verwendet werden. Unsere Berechnungen zeigen, dass durch die hier vorgeschlagene Generationenrente unabhängig vom Verlauf der individuellen Erwerbsbiographie, Altersarmut für die vom demographischen Wandel besonders betroffenen zukünftigen Generationen vermieden wird.