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We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel - monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel exists and tends to concentrate on the bank funding side. Then, to rationalize this evidence we build a macro model where banks subject to runs endogenously choose their funding structure (deposits vs. capital) and risk level. A monetary expansion increases bank leverage and risk. In turn, higher bank risk in steady state increases asset price volatility and reduces equilibrium output.
Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based banks’ runs) which provides a link between endogenous bank capital and macro and policy risk. Our banks also invest in risky government bonds used as capital buffer to self-insure against liquidity risk. The model can replicate the positive connection between sovereign and bank risk observed in the data. Central bank liquidity policy, through full allotment policy, is successful in stabilizing the spiraling feedback loops between bank and sovereign risk.
This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. However, the significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we also document that only idiosyncratic volatility (ivol) has a significant effect on valuation. Second, we analyze the relation of stock returns to realized contemporaneous idiosyncratic volatility and R&D expenses. Single sorting according to the size of idiosyncratic volatility, we only find a significant ivol anomaly for non-R&D portfolios, whereas in a four-factor model the portfolio alphas of R&D portfolios are all positive. Double sorting on idiosyncratic volatility and R&D expenses also reveals these differences between R&D and non-R&D firms. To simultaneously control for several explanatory variables, we also run panel regressions of portfolio alphas which confirm the relative importance of idiosyncratic volatility that is amplified by R&D expenses.
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts individual expected returns and magnitude of realized stock-specific crashes in the cross-section of stocks. An investor that cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and market index.
Recently, we evaluated a fiscal consolidation strategy for the United States that would bring the government budget into balance by gradually reducing government spending relative to GDP to the ratio that prevailed prior to the crisis (Cogan et al, JEDC 2013). Specifically, we published an analysis of the macroeconomic consequences of the 2013 Budget Resolution that was passed by the U.S. House of Representatives in March 2012. In this note, we provide an update of our research that evaluates this year’s budget reform proposal that is to be discussed and voted on in the House of Representative in March 2013. Contrary to the views voiced by critics of fiscal consolidation, we show that such a reduction in government purchases and transfer payments can increase GDP immediately and permanently relative to a policy without spending restraint. Our research makes use of a modern structural model of the economy that incorporates the long-standing essential features of economics: opportunity costs, efficiency, foresight and incentives. GDP rises because households take into account that spending restraint helps avoid future increases in tax rates. Lower taxes imply less distorted incentives for work, investment and production relative to a scenario without fiscal consolidation and lead to higher growth.
Whereas fossil evidence indicates extensive treeless vegetation and diverse grazing megafauna in Europe and northern Asia during the last glacial, experiments combining vegetation models and climate models have to-date simulated widespread persistence of trees. Resolving this conflict is key to understanding both last glacial ecosystems and extinction of most of the mega-herbivores. Using a dynamic vegetation model (DVM) we explored the implications of the differing climatic conditions generated by a general circulation model (GCM) in “normal” and “hosing” experiments. Whilst the former approximate interstadial conditions, the latter, designed to mimic Heinrich Events, approximate stadial conditions. The “hosing” experiments gave simulated European vegetation much closer in composition to that inferred from fossil evidence than did the “normal” experiments. Given the short duration of interstadials, and the rate at which forest cover expanded during the late-glacial and early Holocene, our results demonstrate the importance of millennial variability in determining the character of last glacial ecosystems.
We use unique data from financial advisers’ professional exam scores and combine it with other variables to create an index of financial sophistication. Using this index to explain long-term stock return expectations, we find that more sophisticated financial advisers tend to have lower return expectations. A one standard deviation increase in the sophistication index reduces expected returns by 1.1 percentage points. The effect is stronger for emerging market stocks (2.3 percentage points). The sophistication effect contributes 60% to the model fit, while employer fixed effects combined contribute less than 30%. These results help understand the formation of potentially excessively optimistic expectations.
Den Menschen als vernunftbegabtes Wesen, als animal rationale, zu begreifen heißt, ihn als rechtfertigendes Wesen anzusehen. Die Vernunft ist die Fähigkeit, sich anhand rechtfertigender Gründe in der Welt zu orientieren. Denn „ratio, raison, reason bedeutet“, wie Tugendhat hervorhebt, „ebenso sehr ‚Grund‘ wie ‚Vernunft‘. Das Vermögen der Vernunft ist die Fähigkeit, für seine Meinungen und für seine Handlungen Rede und Antwort stehen zu können; lat. rationem reddere, griech. logon didonai.“ Dieses Rede-und-Antwort-Stehen ist eine soziale Praxis kulturell und historisch situierter Wesen, die einerseits frei sind, ihre Gründe zu wählen und zu prüfen, andererseits aber daran gebunden, welche Gründe ihnen zur Verfügung stehen und welche als gut oder rechtfertigend gelten. Der Raum der Gründe ist ein Raum der Rechtfertigungen, die nicht nur Einzelhandlungen, sondern auch komplexe Handlungsordnungen, also soziale Verhältnisse und politische Institutionen, legitimieren.
Menschen sind aber auch erzählende Wesen. Der Raum der Gründe, in dem sie sich orientieren, ist kein nackter Raum einzelner Sätze oder gar Normen, sondern bevölkert von Narrativen.
A natural experiment in which customer-owned mutual companies converted to publicly listed firms created a plausibly exogenous shock to the stock market participation status of tens of thousands of people. We find the shock changed the way people vote in the affected areas, with a 10% increase in share-ownership rate being followed by a 1.3%–3.1% increase in right-of-center vote share. The institutional details and additional tests suggest that wealth, liquidity, and tax-related incentives cannot fully explain the results. A plausible explanation is that the associated increase in the salience of stock ownership causes a shift in voters’ attention.
The European Commission recently put forward a proposal for a regulation to amend and strengthen the 2009 version of the EU's rules on the regulation of credit rating agencies ("CRA3"). Among other things, Art. 35a of the draft proposal introduces strict liability for rating agencies. This liability proposal is at odds with the aim to strengthen competition in the rating sector and could have a chilling effect on capital markets. The paper analyses existing rules on civil liability of rating agencies under different legal systems. Subsequently, the provision under Art. 35a of the Draft Proposal is examinded more closely. Suggestions on possible improvemts of the proposal are made.
SAFE Newsletter : 2013, Q1
(2013)
Debt-induced crises, including the subprime, are usually attributed exclusively to supply-side factors. We uncover an additional factor contributing to debt culture, namely social influences emanating from the perceived average income of peers. Using unique information from a representative household survey of the Dutch population that circumvents the need to define the social circle, we consider collateralized, consumer, and informal loans. We find robust social effects on borrowing – especially among those who consider themselves poorer than their peers – and on indebtedness, suggesting a link to financial distress. We check the robustness of our results using several approaches to rule out spurious associations and handle correlated effects.
Planar cell polarity (PCP)–the coordinated polarisation of a whole field of cells within the plane of a tissue–relies on the interaction of three modules: a global module that couples individual cellular polarity to the tissue axis, a local module that aligns the axis of polarisation of neighbouring cells, and a readout module that directs the correct outgrowth of PCP-regulated structures such as hairs and bristles. While much is known about the molecular components that are required for PCP, the functional details of–and interactions between–the modules remain unclear. In this work, we perform a mathematical and computational analysis of two previously proposed computational models of the local module (Amonlirdviman et al., Science, 307, 2005; Le Garrec et al., Dev. Dyn., 235, 2006). Both models can reproduce wild-type and mutant phenotypes of PCP observed in the Drosophila wing under the assumption that a tissue-wide polarity cue from the global module persists throughout the development of PCP. We demonstrate that both models can also generate tissue-level PCP when provided with only a transient initial polarity cue. However, in these models such transient cues are not sufficient to ensure robustness of the resulting cellular polarisation.
Since the 1980s, advances in wastewater treatment technology have led to considerably improved surface water quality in the urban areas of many high income countries. However, trace concentrations of organic wastewater-associated contaminants may still pose a key environmental hazard impairing the ecological quality of surface waters. To identify key impact factors, we analyzed the effects of a wide range of anthropogenic and environmental variables on the aquatic macroinvertebrate community. We assessed ecological water quality at 26 sampling sites in four urban German lowland river systems with a 0–100% load of state-of-the-art biological activated sludge treated wastewater. The chemical analysis suite comprised 12 organic contaminants (five phosphor organic flame retardants, two musk fragrances, bisphenol A, nonylphenol, octylphenol, diethyltoluamide, terbutryn), 16 polycyclic aromatic hydrocarbons, and 12 heavy metals. Non-metric multidimensional scaling identified organic contaminants that are mainly wastewater-associated (i.e., phosphor organic flame retardants, musk fragrances, and diethyltoluamide) as a major impact variable on macroinvertebrate species composition. The structural degradation of streams was also identified as a significant factor. Multiple linear regression models revealed a significant impact of organic contaminants on invertebrate populations, in particular on Ephemeroptera, Plecoptera, and Trichoptera species. Spearman rank correlation analyses confirmed wastewater-associated organic contaminants as the most significant variable negatively impacting the biodiversity of sensitive macroinvertebrate species. In addition to increased aquatic pollution with organic contaminants, a greater wastewater fraction was accompanied by a slight decrease in oxygen concentration and an increase in salinity. This study highlights the importance of reducing the wastewater-associated impact on surface waters. For aquatic ecosystems in urban areas this would lead to: (i) improvement of the ecological integrity, (ii) reduction of biodiversity loss, and (iii) faster achievement of objectives of legislative requirements, e.g., the European Water Framework Directive.
This study indicates that embryonic stem cells [ESCs] cultured with retinoic acid and activin A significantly upregulate the miRNA let-7e. This specific miRNA modulates the Wnt pathway and the expression of early nephrogenic markers under these differentiation conditions. The differentiation markers WT1, Pax2 and Wnt4 were downregulated when miRNA let-7e was silenced, thus indicating the role of miRNA let-7e in the differentiation process. PKCβ, GSK3β phosphorylation (GSK3βP) and β-catenin expression was reduced in differentiated cells and reversed by miRNA let-7e silencing. Addition of a PKCβ inhibitor to the miRNA let-7e silenced cells abolished let-7e-derived effects in differentiation markers, and reversed the increase in GSK3βP and β-catenin, thus indicating that miRNA let-7e is involved in differentiation via the modulation of GSK3β phosphorylation and β-catenin production.
Die Dissertation stellt das Machtgeflecht in der Islamischen Stadt Marawi City (Mindanao, Philippinen) dar, in die die dortigen Gender-Debatten involviert sind. In einer Umgebung, die als Konsequenz des Mindanao Konfliktes als “no war, no peace”-Umgebung definiert werden kann, gibt es drei Hauptdarsteller: die nationale Regierung des mehrheitlich christlichen Staates der Philippinen (GRP), die Autonome Regierung im Muslimischen Mindanao (ARMM), zu der auch Marawi City zählt, und die islamische Rebellengruppe Moro Islamic Liberation Front (MILF), die einen islamischen (unter-)Staat fordert. Die GRP unterstützt Re-Islamisierungs- und Re-Traditionalisierungsbewegungen in der ARMM, um die Opposition zur MILF zu stärken. Die Konsequenz ist jedoch keine Kollaboration zwischen der GRP und der ARMM. Stattdessen nutzen Politiker ihre Privilegien aus, um ihren eigenen Absichten zu folgen. Sei dies, um politische Gegner auszuspielen oder das traditionelle Sultanatssystem zu fördern. Für Gender-Debatten gibt es in diesem Kontext der ungelösten nationalen Frage kaum Spielraum außerhalb einer Islamischen Narrative; dies bedeutet jedoch nicht, dass Gender nicht debattiert wird, sondern, dass die Debatten inner-Islamisch sind, hauptsächlich zwischen Repräsentanten des traditionell synkretistischen Islam und Vertretern Islamischer Revitalisierungsbewegungen. Speziell erstere erscheinen sehr einflussreich bezüglich Gender Strategien in der Region. Dies ist nur teilweise auf die Unterstützung der nationalen Regierung zurückzuführen, sondern ist vor allem eine Frage von Identität. Diese wiederum wird nicht vorranging über Religion, sondern nach ethnischen Maßstäben und im Speziellen im Rahmen von Clanstrukturen definiert.