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This paper compares Bayesian decision theory with robust decision theory where the decision maker optimizes with respect to the worst state realization. For a class of robust decision problems there exists a sequence of Bayesian decision problems whose solution converges towards the robust solution. It is shown that the limiting Bayesian problem displays infinite risk aversion and that decisions are insensitive (robust) to the precise assignment of prior probabilities. This holds independent from whether the preference for robustness is global or restricted to local perturbations around some reference model.
We study optimal nominal demand policy in an economy with monopolistic competition and flexible prices when firms have imperfect common knowledge about the shocks hitting the economy. Parametrizing firms´ information imperfections by a (Shannon) capacity parameter that constrains the amount of information flowing to each firm, we study how policy that minimizes a quadratic objective in output and prices depends on this parameter. When price setting decisions of firms are strategic complements, for a large range of capacity values optimal policy nominally accommodates mark-up shocks in the short-run. This finding is robust to the policy maker observing shocks imperfectly or being uncertain about firms´ capacity parameter. With persistent mark-up shocks accommodation may increase in the medium term, but decreases in the long-run thereby generating a hump-shaped price response and a slow reduction in output. Instead, when prices are strategic substitutes, policy tends to react restrictively to mark-up shocks. However, rational expectations equilibria may then not exist with small amounts of imperfect common knowledge.
We determine optimal monetary policy under commitment in a forwardlooking New Keynesian model when nominal interest rates are bounded below by zero. The lower bound represents an occasionally binding constraint that causes the model and optimal policy to be nonlinear. A calibration to the U.S. economy suggests that policy should reduce nominal interest rates more aggressively than suggested by a model without lower bound. Rational agents anticipate the possibility of reaching the lower bound in the future and this amplifies the effects of adverse shocks well before the bound is reached. While the empirical magnitude of U.S. mark-up shocks seems too small to entail zero nominal interest rates, shocks affecting the natural real interest rate plausibly lead to a binding lower bound. Under optimal policy, however, this occurs quite infrequently and does not require targeting a positive average rate of inflation. Interestingly, the presence of binding real rate shocks alters the policy response to (non-binding) mark-up shocks. JEL Klassifikation: C63, E31, E52 .
Earlier studies of the seigniorage inflation model have found that the high-inflation steady state is not stable under adaptive learning. We reconsider this issue and analyze the full set of solutions for the linearized model. Our main focus is on stationary hyperinflationary paths near the high-inflation steady state. The hyperinflationary paths are stable under learning if agents can utilize contemporaneous data. However, in an economy populated by a mixture of agents, some of whom only have access to lagged data, stable inflationary paths emerge only if the proportion of agents with access to contemporaneous data is sufficiently high. JEL Klassifikation: C62, D83, D84, E31
Optimal trend inflation
(2017)
We present a sticky-price model incorporating heterogeneous Firms and systematic firm-level productivity trends. Aggregating the model in closed form, we show that it delivers radically different predictions for the optimal inflation rate than canonical sticky price models featuring homogenous Firms:
(1) the optimal steady-state inflation rate generically differs from zero and,
(2) inflation optimally responds to productivity disturbances.
Using micro data from the US Census Bureau to estimate the inflation-relevant productivity trends at the firm level, we find that the optimal US inflation rate is positive. It was slightly above 2 percent in the year 1986, but continuously declined thereafter, reaching about 1 percent in the year 2013.
Background: Tuberous sclerosis complex (TSC) is a monogenetic, multisystem disorder characterized by benign growths due to TSC1 or TSC2 mutations. This German multicenter study estimated the costs and related cost drivers associated with organ manifestations in adults with TSC.
Methods: A validated, three-month, retrospective questionnaire assessed the sociodemographic and clinical characteristics, organ manifestations, direct, indirect, out-of-pocket (OOP), and nursing care-level costs among adult individuals with TSC throughout Germany from a societal perspective (costing year: 2019).
Results: We enrolled 192 adults with TSC (mean age: 33.4 ± 12.7 years; range: 18–78 years, 51.6% [n = 99] women). Reported TSC disease manifestations included skin (94.8%) and kidney and urinary tract (74%) disorders, epilepsy (72.9%), structural brain defects (67.2%), psychiatric disorders (50.5%), heart and circulatory system disorders (50.5%), and lymphangioleiomyomatosis (11.5%). TSC1 and TSC2 mutations were reported in 16.7% and 25% of respondents, respectively. Mean direct health care costs totaled EUR 6452 (median EUR 1920; 95% confidence interval [CI] EUR 5533–7422) per patient over three months. Medication costs represented the major direct cost category (77% of total direct costs; mean EUR 4953), and mechanistic target of rapamycin (mTOR) inhibitors represented the largest share (68%, EUR 4358). Mean antiseizure drug (ASD) costs were only EUR 415 (6%). Inpatient costs (8%, EUR 518) and outpatient treatment costs (7%; EUR 467) were important further direct cost components. The mean care grade allowance as an approximator of informal nursing care costs was EUR 929 (median EUR 0; 95% CI EUR 780–1083) over three months. Mean indirect costs totaled EUR 3174 (median EUR 0; 95% CI EUR 2503–3840) among working-age individuals (< 67 years in Germany). Multiple regression analyses revealed mTOR inhibitor use and persistent seizures as independent cost-driving factors for total direct costs. Older age and disability were independent cost-driving factors for total indirect costs, whereas epilepsy, psychiatric disease, and disability were independent cost-driving factors for nursing care costs.
Conclusions: This three-month study revealed substantial direct healthcare, indirect healthcare, and medication costs associated with TSC in Germany. This study highlights the spectrum of organ manifestations and their associated treatment needs in the German healthcare setting. Trial registration: DRKS, DRKS00016045. Registered 01 March 2019, http://www.drks.de/DRKS00016045.
Zur Reform der Einlagensicherung: Elemente einer anreizkompatiblen Europäischen Rückversicherung
(2020)
Bankeinlagen bis 100.000 Euro sind de jure überall im Euroraum gleichermaßen vor Verlusten geschützt. De facto hängt der Wert dieser gesetzlichen Haftungszusage unter anderem von der Ausstattung des nationalen Sicherungsfonds und der relativen Größe des Bankensektors in einer Volkswirtschaft ab. Um die Homogenität des Einlagenschutzes zu gewährleisten und die Bankenunion zu vollenden, bedarf es einer einheitlichen europäischen Einlagensicherung. Die bestehende implizite Risikoteilung im Euroraum ist ordnungspolitisch nicht wünschenswert. Ferner kann eine explizite und glaubwürdige Zweitsicherung Fehlanreize zur Übernahme exzessiver Risiken verhindern, bevor es zum Schadensfall kommt. Daher plädiert dieser Beitrag für ein zweistufiges, streng subsidiär organisiertes Rückversicherungsmodell: Nationale Erstversicherungen würden einen festgeschriebenen Teil, die europäische Rückversicherung nachrangig den Rest der Deckungssumme besichern. Die Rückversicherung gewährt diese Liquiditätshilfen in Form von Kassenkrediten. Weil die Haftung auf nationaler Ebene verbleibt, werden Risiken geteilt aber nicht vergemeinschaftet. Marktgerechte Prämien müssen nicht nur das individuelle Risikogewicht einer Bank sondern auch länderspezifische Risikofaktoren berücksichtigen. Zuletzt braucht der Rückversicherer umfangreiche Aufsichtsrechte, um die Zahlungsfähigkeit der Erstversicherer mit Hinblick auf die nationalen Haftungspflichten jederzeit sicherzustellen.
Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the asset pricing literature are consistent with the survey evidence. We empirically test (1) the notion that survey forecasts constitute rational but risk-neutral forecasts of future returns, and (2) the notion that survey fore- casts are ambiguity averse/robust forecasts of future returns. We find that these alternative hypotheses are also strongly rejected by the data, albeit for different reasons. Hypothesis (1) is rejected because survey return forecasts are not in line with risk-free interest rates and because survey expected excess returns are predictable. Hypothesis (2) is rejected because agents are not al- ways pessimistic about future returns, instead often display overly optimistic return expectations. We speculate as to what kind of expectations theories might be consistent with the available survey evidence.
We analytically characterize optimal monetary policy for an augmented New Keynesian model with a housing sector. In a setting where the private sector has rational expectations about future housing prices and inflation, optimal monetary policy can be characterized without making reference to housing price developments: commitment to a 'target criterion' that refers to inflation and the output gap only is optimal, as in the standard model without a housing sector. When the policymaker is concerned with potential departures of private sector expectations from rational ones and seeks to choose a policy that is robust against such possible departures, then the optimal target criterion must also depend on housing prices. In the empirically realistic case where housing is subsidized and where monopoly power causes output to fall short of its optimal level, the robustly optimal target criterion requires the central bank to 'lean against' housing prices: following unexpected housing price increases, policy should adopt a stance that is projected to undershoot its normal targets for inflation and the output gap, and similarly aim to overshoot those targets in the case of unexpected declines in housing prices. The robustly optimal target criterion does not require that policy distinguish between 'fundamental' and 'non-fundamental' movements in housing prices.
Background: Tuberous sclerosis complex (TSC), a multisystem genetic disorder, affects many organs and systems, characterized by benign growths. This German multicenter study estimated the disease-specific costs and cost-driving factors associated with various organ manifestations in TSC patients. Methods: A validated, three-month, retrospective questionnaire was administered to assess the sociodemographic and clinical characteristics, organ manifestations, direct, indirect, out-of-pocket, and nursing care-level costs, completed by caregivers of patients with TSC throughout Germany. Results: The caregivers of 184 patients (mean age 9.8 ± 5.3 years, range 0.7–21.8 years) submitted questionnaires. The reported TSC disease manifestations included epilepsy (92%), skin disorders (86%), structural brain disorders (83%), heart and circulatory system disorders (67%), kidney and urinary tract disorders (53%), and psychiatric disorders (51%). Genetic variations in TSC2 were reported in 46% of patients, whereas 14% were reported in TSC1. Mean total direct health care costs were EUR 4949 [95% confidence interval (95% CI) EUR 4088–5863, median EUR 2062] per patient over three months. Medication costs represented the largest direct cost category (54% of total direct costs, mean EUR 2658), with mechanistic target of rapamycin (mTOR) inhibitors representing the largest share (47%, EUR 2309). The cost of anti-seizure drugs (ASDs) accounted for a mean of only EUR 260 (5%). Inpatient costs (21%, EUR 1027) and ancillary therapy costs (8%, EUR 407) were also important direct cost components. The mean nursing care-level costs were EUR 1163 (95% CI EUR 1027–1314, median EUR 1635) over three months. Total indirect costs totaled a mean of EUR 2813 (95% CI EUR 2221–3394, median EUR 215) for mothers and EUR 372 (95% CI EUR 193–586, median EUR 0) for fathers. Multiple regression analyses revealed polytherapy with two or more ASDs and the use of mTOR inhibitors as independent cost-driving factors of total direct costs. Disability and psychiatric disease were independent cost-driving factors for total indirect costs as well as for nursing care-level costs. Conclusions: This study revealed substantial direct (including medication), nursing care-level, and indirect costs associated with TSC over three months, highlighting the spectrum of organ manifestations and their treatment needs in the German healthcare setting.