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In 2011 wurde der Preis für Wirtschaftswissenschaften der schwedischen Reichsbank im Gedenken an Alfred Nobel an die US-Ökonomen Thomas J. Sargent von der New York University und Chistopher A. Sims von Princeton University verliehen. Gerade deutsche Zeitungskommentare kritisierten die Forscher vielfach für die Verwendung „unrealistischer“ Annahmen wie Nutzenmaximierung und rationale Erwartungen. Diese Kritik verkennt den maßgeblichen Beitrag von Sargent und Sims zur Entwicklung der modernen Makroökonomik. Ihre empirischen Methoden sind heute Standardwerkzeuge der akademischen Forschung und werden auch von Ökonomen in Zentralbanken, Finanzministerien und internationalen Organisationen eingesetzt. Sie haben grundlegende neue Erkenntnisse ermöglicht, zum Beispiel über die Wirkungsweise der Geld- und Fiskalpolitik.
Dieser Text fasst eine Studie zusammen, die für das Bundesministeriums für Ernährung, Landwirtschaft und Verbraucherschutz verfasst wurde und sich mit dem Kundennutzen von Anlageberatung auseinandersetzt. Das erhebliche Potenzial von interessenskongruenter Anlageberatung wird aufgezeigt und die aktuell geringe Leistungstransparenz im Markt kritisiert. Es wird empfohlen, ein standardisiertes Vokabular für Depotrisiken einzuführen und den Zugang aller Anleger zu leicht verständlichen und vergleichbaren Informationen zu historischem Depotrisiko und historischer Deporendite sicherzustellen. Die Studie fokussiert auf Wertpapierberatung und damit zuvorderst auf jene Teilmenge von Verbrauchern, die über Anlagevermögen verfügen. Die Grundideen zu Leistungstransparenz und standardisiertem Risikovokabular lassen sich jedoch auch z.B. auf den Alterssicherungsmarkt übertragen.
Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios towards home equity. Using US household data from the Survey of Income and Program Participation for the period 1996-2006, we find that especially households with low net worth maintain a larger share of their wealth as home equity if a larger homestead exemption applies. This home equity bias is also more pronounced if the household head is in poor health, increasing the chance of bankruptcy on account of unpaid medical bills. The bias is further stronger for households with mortgage finance, shorter house tenures, and younger household heads, which taken together reflect households that face more financial uncertainty.
Unternehmen und Ethik
(2010)
Die noch nicht völlig überwundene Finanzmarktkrise hat nicht nur den Gesetzgeber auf den Plan gerufen. Auch die Frage nach der Ethik der Akteure wird vielfach erörtert. Haben von Gier getriebene Finanzmarktakteure nicht nur Rechtsregeln, sondern auch ethische Normen, die Grundsätze des Wirtschaftens ehrbarer Kaufleute, gewissenlos beiseite geschoben, um sich zu bereichern? Wie läßt sich die Beachtung dieser Normen künftig sichern? Diese aktuelle Debatte soll Anlaß zu einigen allgemeineren Betrachtungen zum Thema „Unternehmen und Ethik“ sein.
Trust in policy makers fluctuates signi
cantly over the cycle and affects the transmission mechanism. Despite this it is absent from the literature. We build a monetary model embedding trust cycles; the latter emerge as an equilibrium phenomenon of a game-theoretic interaction between atomistic agents and the monetary authority. Trust affects agents' stochastic discount factors, namely the price of future risk, and through this it interacts with the monetary transmission mechanism. Using data from the Eurobarometer surveys, we analyze the link between trust and the transmission mechanism of macro and monetary shocks: Empirical results are in line with theoretical ones.
I investigate the effect of transparency on the borrowing costs of Emerging Market Economies. Transparency is measured by whether or not the countries publish the IMF Article IV Staff reports and the Reports on the Observance of Standards and Codes (ROSC). Using difference-in-difference estimation, I study the effect on the sovereign credit spreads for 18 Emerging Market Economies over the periods 1999-2007 and 2008-2012. I show that the effect of publishing the Article IV reports is negligible while publishing ROSC matters, leading to a reduction in the spreads of nearly 30 basis points in the pre-crisis sample 1999-2007.
We review arguments for and against reserve requirements and conclude that the main question is whether a distinction between money creation and intermediation can be made. We argue that such a distinction can be made in a money-in-advance economy and show that if the money-in-advance constraint is universally binding then reserve requirements on checkable accounts have no effect on intermediation. We then proceed to show that in a model in which trade is uncertain and sequential, a fractional reserve banking system gives rise to endogenous monetary shocks. These endogenous monetary shocks lead to fluctuations in capacity utilisation and waste. When the money-in-advance constraint is universally binding, a 100% reserve requirement on checkable accounts can eliminate this waste.
The bail-in puzzle
(2011)
Under the current conditions of a global financial crisis, notably in Europe’s banking industry, the governance role of bond markets is defunct. In fact, investors have understood that bank debt will almost always be rescued with taxpayers’ money. The widespread practice of government-led bank bailouts has thus severely corrupted the bond market, leading to the underestimation of risk and, as a consequence, the destruction of market discipline. Any feasible solution to the bank-debt-is-too-cheap problem will have to re-install true default risk for bank bond holders.
We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the spillover effects between individual company value-at-risks and the option-implied value-at-risk of a financial index. First, we study the spillover effect of increasing company risks on the financial sector. Second, we analyze which companies are mostly affected if the tail risk of the financial sector increases. Key metrics such as size, leverage, market-to-book ratio and earnings have a significant influence on the systemic risk profiles of financial institutions.
After initial temporary measures in support of Greece prooved insufficient to end the sovereign debt crisis, extensive countermeasures have ensued. The heads of state of the euro group have agreed to permanent support mechanims over the course of the past two years. In addition, the European Central Bank (ECB) has become involved in the assistance program. The article provides an overview of the various support mechanisms installed and cautions against the connected legal problems.
This European Policy Analysis discusses the need to strengthen the institutions underpinning the euro and makes several policy recommendations. The Stability and Growth Pact must be reinforced, have greater automaticity and entail graduated sanctions. Fiscal surveillance must be improved through the establishment of a European Fiscal Stability Agency. Finally, the European Financial Stability Facility must be made permanent.
Das vornehmliche Ziel der OGAW Richtlinien ist es einen gemeinsamen europäischen Markt für Investment-Dienstleistungen auf Basis wohldefinierten Qualitätsstandards zu erreichen. Ein grenzüberschreitender Vertrieb eröffnet die Möglichkeit der Ausweitung von Geschäftsaktivitäten auf neue wirtschaftlich attraktive Absatzmärkte. Die Stellungnahme kommentiert die im Gesetzesentwurf vorgeschlagenen regulatorischen Instrumente vor dem Hintergrund verschiedener gegebener Kriterien.
Stellungnahme zum Antrag der SPD-Fraktion auf Einführung einer Finanztransaktionssteuer in Europa
(2011)
Die Finanztransaktionssteuer ist kein geeignetes Instrument zur Verringerung systemischer Risiken, noch ein Mittel zur Vorbeugung einer Finanzkrise. Da sie zudem nur in Deutschland, Frankreich und einzelnen anderen Staaten eingeführt würde, wäre das Steueraufkommen, aufgrund von Steuerumgehung durch Verlagerung von Finanztransaktionen ins Ausland, gering.
Der Deutsche Coprporate Governance Kodex soll das deutsche Corporate Governance System transparent und nachvollziehbar machen. Der Kodex stellt gesetzliche Vorschriften zur Leitung und Überwachung deutscher börsennotierter Gesellschaften dar und enthält international anerkannte Standards guter und verantwortungsvoller Unternehmensführung. Die Stellungnahme befasst sich mit von der Regierungskommission Deutscher Corporate Governance Kodex vorgebrachten Änderungsvorschlägen.
Schlechte Erfahrungen
(2012)
Eine Transaktionssteuer auf Finanzgeschäfte würde weniger Geld einbringen, als viele ihrer Anhänger hoffen - und sie birgt gravierende ökonomische und juristische Risiken. Die Bundesregierung sollte sich der Belastungen durch eine Finanztransaktionssteuer bewusst sein – und sie nicht ohne Beteiligung der weltweit führenden Finanzplätze einführen. Eine internationale Einigung auf strengere Eigenkapitalvorschriften für Banken muss Vorrang haben.
We analytically show that a common across rich/poor individuals Stone-Geary utility function with subsistence consumption in the context of a simple two-asset portfolio-choice model is capable of qualitatively explaining: (i) the higher saving rates of the rich, (ii) the higher fraction of personal wealth held in stocks by the rich, and (iii) the higher volatility of consumption of the wealthier. On the contrary, time-variant "keeping-up with the Joneses" weighted average consumption playing the role of moving benchmark subsistence consumption gives the same portfolio composition and saving rates across the rich and the poor, failing to reconcile the model with what micro data say.
Risiko muss wieder kosten
(2011)
In April 2002 the European Central Bank (ECB) and the Center for Financial Studies (CFS) launched the ECB-CFS Research Network to promote research on “Capital Markets and Financial Integration in Europe”. The ECB-CFS research network aims at stimulating top-level and policy-relevant research, significantly contributing to the understanding of the current and future structure and integration of the financial system in Europe and its international linkages with the United States and Japan. This report summarises the work done under the network after two years. Over time the network formed a coherent and growing group of researchers interested in the integration of European financial markets, while using light organisational structures and budgets. The members of this evolving group met repeatedly at the events organised by the network to present the latest results of their research and to share views on policy options. In this sense, the “network of people” intended at the start was created. Overall, the network aroused great interest, as leading academic researchers, researchers from the main policy institutions and high-level policy makers participated actively in it by presenting research results, through speeches and in policy panels. It also stimulated a new research field on securities settlement systems, an area of high policy relevance and interest to the ECB that had not attracted much interest in the research community beforehand. Also, the network seems to have triggered several related outside initiatives by international institutions, such as the IMF or the OECD. During its first two years the network was organised around three workshops and a final symposium on 10-11 May 2004. To focus research resources and to ensure medium-term policy relevance, a limited number of areas have been given top priority: bank competition and the geographical scope of banking; international portfolio choices and asset market linkages between Europe, the United States and Japan; European bond markets; European securities settlement systems; and the emergence and evolution of new markets in Europe (in particular start-up financing markets). In order to stimulate further research focused on the priority fields of the network, the ECB Lamfalussy research fellowships were established. These fellowships sponsor projects proposed by young researchers, both a dvanced doctoral students and younger professors. Five Lamfalussy fellowships were granted in 2003 and five more in 2004. The first papers from this program have already been issued in the ECB working paper series or are forthcoming. One of them won the prize for the best paper written by a Ph.D. student at the 2004 European Finance Association Meetings in Maastricht. Results of the network in the five top priority areas can be summarised as follows: Bank competition and the geographical scope of banking. First, integration does not appear to be very advanced in many retail banking markets. Second, some of the inherent characteristics of traditional loan and deposit business constrain the cross-border expansion of commercial banking, even in a common currency area. Hence, the implementation of some policies to foster cross-border integration in retail banking may be ineffective. Third, theoretical research suggests that supervisory structures may not be neutral towards further European banking integration. Finally, a stronger role of area-wide competition policies could be beneficial for further banking integration. This would also stimulate economic growth, as more competition in the banking sector induces financially dependent firms to grow more. European bond markets. While the government bond market has integrated rapidly with the EMU convergence process, its full integration has not yet been achieved. The introduction of a common electronic trading platform reduced transaction costs substantially, but yield spreads of long-term sovereign bonds of the euro area are still heterogeneous. This is largely explained by different sensitivities to an international risk factor, whereas liquidity differentials only play a role in conjunction with this latter factor. Somewhat surprisingly in this context, the dynamically developing corporate bond market exhibits a relatively high level of integration. There is also increasing evidence that the introduction of the euro has contributed to a reduction in the cost of capital in the euro area, in particular through the reduction of corporate bond underwriting fees. As a result, firms may wish to increase bond financing relative to equity financing. The development of a larger corporate bond market is also important for monetary policy. For example, US evidence suggests that the rating of corporate bonds may contribute to the persistence of recessions, as rating agencies´ policies affect firms asymmetrically in their access to the bond market over the business cycle. US evidence also suggests that liquidity conditions in stock and bond markets tend to be positively correlated. European securities settlement systems. European securities settlement infrastructures are highly fragmented and further integration and/or consolidation would exploit economies of scale that could greatly benefit investors. It is not clear, however, whether direct public intervention in favour of consolidation would lead to the highest level of efficiency, for example because of the existence of strong vertical integration between trading and securities platforms (“silos”). In contrast, promoting open access to clearing and settlement systems could lead to consolidation and the highest level of efficiency. Finally, regarding concerns about unfair practices by Central Securities Depositories (CSDs) toward custodian banks, regulatory interventions favouring custodian banks should be discouraged, as long as CSDs are not allowed to price discriminate between custodian banks and investor banks. The emergence and evolution of new markets in Europe (in particular start-up financing markets). While fairly well integrated, “new markets” and start-up financing are less developed and integrated in Europe than in the United States. However, new markets and venture capitalists are the most important intermediaries for the financing of projects with high risk but with potentially very high return. The analysis carried out within the network reveals that European start-up financiers are mostly institutional investors, while US venture capitalists are mostly rich individuals. Also, new markets are essential for the development of start-up finance in Europe, as they provide an exit strategy for start-up financiers who can then sell new successful projects using initial public offerings. Finally, the legal framework affects the development of venture capital firms. For example, very strict personal bankruptcy laws constrain early stage entrepreneurs, reducing demand for venture capital finance. International portfolio choices and asset market linkages between Europe, the United States and Japan. At a global scale, asset market linkages have increased recently. For example, major economies such as the United States and the euro area have become more financially interdependent. This phenomenon can be observed in stock and bond markets as well as in money markets, where the main direction of spillovers has recently been from the US to the euro area. Country-specific shocks now play a smaller role in explaining stock return variations of firms whose sales are internationally diversified. Increases in firmby-firm market linkages are a global phenomenon, but they are stronger within the euro area than in the rest of the world. Various other phenomena also increase market linkages and therefore the likelihood that financial shocks spread across countries. One example is the use of global bonds. Finally, the nowadays more direct access of unsophisticated investors to financial markets may increase volatility. Other areas. Financial integration affects financial structures, but it does not need to lead to their convergence across countries. Financial structures matter for growth, as market-oriented financial systems benefit all sectors and firms, whereas bank-based systems primarily benefit younger firms that depend on external finance. Moreover, good corporate governance increases firms’ value. In particular, the dual board system, where the monitoring and advising roles of the board of directors are separated, is found to dominate the single board structure. Therefore, the further development of the European single market should strongly require good corporate governance. In general, well designed institutions foster entrepreneurial activity, partly by relaxing capital constraints. The results of the network clearly illustrated the substantial effects the introduction of the euro had on euro area financial markets. In addition to the effects on bond markets, stock markets and the cost of capital summarised above, research produced showed that the single currency had its strongest effects on money markets, whose unsecured segment is now completely integrated. Without any doubt the euro generally enhanced the liquidity and efficiency of euro area financial markets, and ongoing initiatives such as the European Union’s Financial Services Action Plan will help to continue this process. In sum, in the first two years the network has established itself as the hub for the research debate on European financial integration. Some of the best papers produced by the network, leading to the conclusions mentioned above, are currently being considered for publication in two special issues of academic journals. An issue of the Oxford Review of Economic Policy on “European financial integration” is published contemporaneously with this report, and an issue of the Review of Finance is planned for next year. The current policy context, the gradual progress of integration as well as the creation of other related non-ECB or non-CFS initiatives on financial integration suggest that this topic will remain high on the agendas of policy makers and academics for the years to come. Therefore, the ECB Executive Board and the CFS decided to continue the network, refocusing its priorities. Three priority areas have been added: 1) The relationship between financial integration and financial stability, 2) EU accession, financial development and financial integration, and 3) financial system modernisation and economic growth in Europe. These three areas have become particularly important at the current juncture, but have not received particularly strong attention in the first two years of the network. For example, the area of financial stability research was highlighted by the ECB research evaluators as an area deserving further development. Moreover, despite the results found in the first two years of the network, new developments remain to be further explored in the earlier priority areas. A three-year extension is envisaged, running from after the May 2004 symposium until 2007, with two events to be held per year. The threeyear period is long enough to consider the first effects of the Financial Services Action Plan. It also constitutes a realistic horizon for the ambitious agenda implied by the three new priorities. The generally light organisational structure and working of the network will not be changed. In addition, given the value of the Lamfalussy fellowship research program in inducing further research in the areas of the network, the program has also been extended for all the research topics in the area of the network.