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Insurance guarantee schemes aim to protect policyholders from the costs of insurer insolvencies. However, guarantee schemes can also reduce insurers’ incentives to conduct appropriate risk management. We investigate stock insurers’ risk-shifting behavior for insurance guarantee schemes under the two different financing alternatives: a flat-rate premium assessment versus a risk-based premium assessment. We identify which guarantee scheme maximizes policyholders’ welfare, measured by their expected utility. We find that the risk-based insurance guarantee scheme can only mitigate the insurer’s risk-shifting behavior if a substantial premium loading is present. Furthermore, the risk-based guarantee scheme is superior for improving policyholders’ welfare compared to the flat-rate scheme when the mitigating effect occurs.
Regionale Wettbewerbsfähigkeit der Metropolregionen FrankfurtRheinMain und Stuttgart im Vergleich
(2013)
Ressourcen und Potenziale in Hessens Betrieben : Abschlussbericht des IAB Betriebspanels Hessen 2012
(2013)
The concept of length, the concept is synonymous, the concept is nothing more than, the proper definition of a concept ... Forget programs and visions; the operational approach refers specifically to concepts, and in a very specific way: it describes the process whereby concepts are transformed into a series of operations—which, in their turn, allow to measure all sorts of objects. Operationalizing means building a bridge from concepts to measurement, and then to the world. In our case: from the concepts of literary theory, through some form of quantification, to literary texts.
We would study not style as such, but style 'at the scale of the sentence': the lowest level, it seemed, at which style as a distinct phenomenon became visible. Implicitly, we were defining style as a combination of smaller linguistic units, which made it, in consequence, particularly sensitive to changes in scale—from words to clauses to whole sentences.
The amino acid content (alanine/arginine, glutamine, proline, taurine) of five different lichen species (Evernia prunastri, Hypogymnia physodes, Parmelia sulcata, Physcia adscendens, Xanthoria parietina) from different parts of Germany and NW France with different atmospheric nitrogen depositions was determined.
The study revealed that the so called nitrophytic lichen species (Physcia adscendens, Xanthoria parietina) had no higher amino acid contents as compared with the other species. The amino acid contents of five different lichen species from the same tree varied without regard to the nitrophily of the species. The contents of amino acids of the lichen species studied from Bonn is four to twelve times higher as in the same species in the Vosges Mountains, France. The amount of amino acids in nitrophytic species (Xanthoria parietina, Physcia adscendens) from a region with high load of atmospheric nitrogen (35 kg/y/ha) is in average 5 times higher than in the same species from a region with low nitrogen immission (16 kg/y/ha).
It can be concluded that the amino acid contents of lichens reflects the atmospheric nitrogen load and that the amino acid content of so called nitrophytic lichen species is not higher as in other species, that lichens are passive sampler and take up the available nitrogen but make no use of it but store it as amino acids. On the other hand, the conductivity of the cell liquid (as a measure of the osmotic pressure) of nitrophytic lichen species is higher as compared with non-nitrophytic species. Thus the “nitrophily” of these species is presumably not based upon the facility to higher nitrogen uptake but osmotic tolerance against the salt effects of nitrogen compounds. Within nitrophytic species, the osmotic values of Phaeophyscia orbicularis are double as high as those from Physcia adscendens, which is explained by the higher tolerance of Phaeophyscia against dry deposition. The higher osmotic values of nitrophilous lichen species lead to the conclusion that they are also drought resistant species and occur in regions with low humidity where they are more competitive than other lichen species.
The IMFS Interdisciplinary Study 2/2013 contains speeches of Michael Burda (Humboldt University ), Benoît Coeuré (European Central Bank), Stefan Gerlach (Bank of Ireland and former IMFS Professor), Patrick Honohan (Bank of Ireland), Sabine Lautenschläger (Deutsche Bundesbank), Athanasios Orphanides (MIT) and Helmut Siekmann as well as Volker Wieland.
This study contains articles based on speeches and presentations at the 14th CFS-IMFS Conference "The ECB and its Watchers" on June 15, 2012 by Mario Draghi, John Vickers, Peter Praet, Lucrezia Reichlin, Vitor Gaspar, Lucio Pench and Stefan Gerlach and a post-conference outlook by Helmut Siekmann and Volker Wieland.
Obgleich Staaten im Kontext asymmetrischer Konflikte prinzipiell danach streben, nicht-staatlichen Gewaltakteuren Anerkennung und Legitimität vorzuenthalten, wird dieser Doktrin des Nicht-Dialogs weltweit zunehmend zuwider gehandelt. Der Doktrin der Nicht-Anerkennung steht eine Praxis der internationalen, politischen Anerkennung solcher Gruppen entgegen. Doch welchen Einfluss haben die Nicht-Anerkennung und die von internationalen Drittparteien gewährte Anerkennung auf die Gewaltanwendung nicht-staatlicher Gewaltakteure? Die Geschichte der palästinensischen Widerstandsgruppen Fatah (1962 bis 1993) und Hamas (1987 bis 2008) eignet sich, diesen Fragen auf den Grund zu gehen, da sie durch Akte der Anerkennung und Nicht-Anerkennung einerseits und Prozesse der Eskalation und De-Eskalation andererseits geprägt ist. Es zeigt sich, dass eine Strategie der graduellen Anerkennung unter bestimmten Bedingungen zur De-Eskalation nicht-staatlicher Gewalt beitragen kann.
Vor dem Hintergrund der Kontingenz des kulturwissenschaftlichen Forschungsprogramms, also Ursache-Wirkungsrelationen, die weder notwendig noch unmöglich sind, wird in diesem Beitrag ein Konzept von Sicherheitskultur aus Sicht der Akteur-Netzwerk-Theorie vorgestellt. Aus dieser Perspektive erklärt sich der Wandel von Sicherheitskulturen nicht aus einer einzigen Variable, sondern aus vernetzten Interaktionen zwischen menschlichen und nicht-menschlichen Akteuren. Der Versuch mithilfe von nicht-menschlichen Akteuren die gesellschaftliche Ordnung zu stabilisieren produziert dabei stets neue Unschärfen und Kontingenzen, die mit weiteren Stabilisatoren eingehegt werden müssen. Ein solches Konzept von Sicherheitskultur ermöglicht es den Blick auf quasi kausale Interobjektivitäten und deren Unvorhersagbarkeiten zu richten, die mit einer auf rein menschliche Akteure gerichteten Sozialwissenschaft unsichtbar blieben.
Seit einigen Jahren wird in wissenschaftlichen und politischen Kontexten immer häufiger der Begriff der 'Kultur' mit dem der 'Sicherheit' in Zusammenhang gebracht. Diesem Trend liegt offenbar die Vermutung zugrunde, mit dem Kulturbegriff ließen sich ungleichzeitige Veränderungen von objektiver und subjektiver, nationaler und internationaler, sozialer und militärischer Sicherheit beschreiben und das Verhältnis von sicherheitspolitischen Diskursen und sicherheitspolitischer Praxis analysieren. Noch freilich wird der Begriff der 'Sicherheitskultur' so unterschiedlich und unbestimmt verwendet, dass Erkenntnisse aus der einen Disziplin nicht einfach in eine andere übertragen werden können und der politische Sprachgebrauch uneinheitlich bleibt.
Humanitäre Interventionen sind seit den neunziger Jahren wiederkehrend im Fokus öffentlicher wie wissenschaftlicher Debatten. Erklärungen, warum sich Staaten entschließen, unabhängig von geopolitischen Interessen humanitäre Interventionen zu fordern oder sich an ihnen zu beteiligen, bleiben nach wie vor umstritten. Geteilte Moralvorstellungen und die Bereitstellung eines Handlungsrahmens für die Umsetzungspraxis sind zwei zentrale Analysedimensionen einer internationalen, humanitäre Interventionen befördernden Sicherheitskultur. Eine Normentwicklung kann in diesem Sinne nur in der Kombination mit tatsächlicher Akteurspraxis und medial-öffentlicher Aufmerksamkeit verstanden und beurteilt werden.
Beispiele klimabedingter Risiken werden verschiedenen Risikoklassen zugeordnet. Risiken lassen sich nicht nur als systemische Risiken erfassen, sondern auch danach unterscheiden, wie gut sich der wahrscheinliche Schadensfall und das wahrscheinliche Schadensausmaß kalkulieren lässt. Für ein besseres Verständnis des Risikos wird hier insbesondere der Einfluss des Klimawandels auf die Entwicklung des Risikos und seine Einschätzung betrachtet. Für diese erste Entfaltung des Verständnisses klimabedingter Risiken wird vergleichend die Typisierung des Wissenschaftlichen Beirats der Bundesregierung Globale Umweltveränderungen herangezogen.
Der vorliegende Beitrag versucht sich in einer Positionsbestimmung asienbezogener Area Studies, indem er sozial- und kulturwissenschaftliche Debatten über die sich wandelnde Rolle von Area Studies im angelsächsischen und deutschen Sprachraum sowie die jüngere internationale Diskussion verschiedener Konzepte der Region Asien bzw. Ostasien aufarbeitet und in Beziehung zueinander setzt. Ziel ist es, daraus ein möglichst produktives Verständnis von Regionalforschung einerseits und der erforschten Region andererseits abzuleiten.
A concurrent implementation of software transactional memory in Concurrent Haskell using a call-by-need functional language with processes and futures is given. The description of the small-step operational semantics is precise and explicit, and employs an early abort of conflicting transactions. A proof of correctness of the implementation is given for a contextual semantics with may- and should-convergence. This implies that our implementation is a correct evaluator for an abstract specification equipped with a big-step semantics.
Außerhalb Griechenlands herrscht die Ansicht vor, dass eine höhere Wettbewerbsfähigkeit gleichbedeutend ist mit Preissenkungen für Güter und Dienstleistungen. Angesichts der begrenzten Bereitschaft in Griechenland, Reformen umzusetzen, fordern die Gläubiger drastische Lohnkürzungen, um die Produktivität zu erhöhen und die öffentlichen Ausgaben zu senken. Doch mit einer Kürzungsrunde nach der anderen lässt sich Wettbewerbsfähigkeit nicht erreichen. Umfangreiche flächendeckende Lohnkürzungen reduzieren vielmehr die erwartete Produktivität, da sie die besten Arbeitnehmer vertreiben, dem Rest Anreize zur Produktivität nehmen und neue gute Leute fernhalten.
This paper shows equivalence of applicative similarity and contextual approximation, and hence also of bisimilarity and contextual equivalence, in LR, the deterministic call-by-need lambda calculus with letrec extended by data constructors, case-expressions and Haskell's seqoperator. LR models an untyped version of the core language of Haskell. Bisimilarity simplifies equivalence proofs in the calculus and opens a way for more convenient correctness proofs for program transformations.
The proof is by a fully abstract and surjective transfer of the contextual approximation into a call-by-name calculus, which is an extension of Abramsky's lazy lambda calculus. In the latter calculus equivalence of similarity and contextual approximation can be shown by Howe's method. Using an equivalent but inductive definition of behavioral preorder we then transfer similarity back to the calculus LR.
The translation from the call-by-need letrec calculus into the extended call-by-name lambda calculus is the composition of two translations. The first translation replaces the call-by-need strategy by a call-by-name strategy and its correctness is shown by exploiting infinite tress, which emerge by unfolding the letrec expressions. The second translation encodes letrec-expressions by using multi-fixpoint combinators and its correctness is shown syntactically by comparing reductions of both calculi. A further result of this paper is an isomorphism between the mentioned calculi, and also with a call-by-need letrec calculus with a less complex definition of reduction than LR.
Internationales Regulierungsgefälle und Wettbewerbsfähigkeit des Finanzplatzes Frankfurt am Main
(2013)
Enthält folgende Beiträge:
Prof. Dr. Reto Francioni: Internationales Regulierungsgefälle und Wettbewerbsfähigkeit des Finanzplatzes Frankfurt am Main
Prof. Dr. Horst Hammen: Regulierungsgefälle zu Lasten des Börsenplatzes Frankfurt – Hochfrequenzhandel, Organized Trading Facilities (OTF) und Finanztransaktionssteuer
Motivated by our experience in analyzing properties of translations between programming languages with observational semantics, this paper clarifies the notions, the relevant questions, and the methods, constructs a general framework, and provides several tools for proving various correctness properties of translations like adequacy and full abstractness. The presented framework can directly be applied to the observational equivalences derived from the operational semantics of programming calculi, and also to other situations, and thus has a wide range of applications.
Our motivation is the question whether the lazy lambda calculus, a pure lambda calculus with the leftmost outermost rewriting strategy, considered under observational semantics, or extensions thereof, are an adequate model for semantic equivalences in real-world purely functional programming languages, in particular for a pure core language of Haskell. We explore several extensions of the lazy lambda calculus: addition of a seq-operator, addition of data constructors and case-expressions, and their combination, focusing on conservativity of these extensions. In addition to untyped calculi, we study their monomorphically and polymorphically typed versions. For most of the extensions we obtain non-conservativity which we prove by providing counterexamples. However, we prove conservativity of the extension by data constructors and case in the monomorphically typed scenario.
Our motivation is the question whether the lazy lambda calculus, a pure lambda calculus with the leftmost outermost rewriting strategy, considered under observational semantics, or extensions thereof, are an adequate model for semantic equivalences in real-world purely functional programming languages, in particular for a pure core language of Haskell. We explore several extensions of the lazy lambda calculus: addition of a seq-operator, addition of data constructors and case-expressions, and their combination, focusing on conservativity of these extensions. In addition to untyped calculi, we study their monomorphically and polymorphically typed versions. For most of the extensions we obtain non-conservativity which we prove by providing counterexamples. However, we prove conservativity of the extension by data constructors and case in the monomorphically typed scenario.
This note proposes a new set-up for the fund backing the Single Resolution Mechanism (SRM). The proposed fund is a Multi-Tier Resolution Fund (MTRF), restricting the joint and several supranational liability to a limited range of losses, bounded by national liability at the upper and the lower end. The layers are, in ascending order: a national fund (first losses), a European fund (second losses), the national budget (third losses), the ESM (fourth losses, as a backup for sovereigns). The system works like a reinsurance scheme, providing clear limits to European-level joint liability, and therefore confining moral hazard. At the same time, it allows for some degree of risk sharing, which is important for financial stability if shocks to the financial system are exogenous (e.g., of a supranational macroeconomic nature). The text has four parts. Section A describes the operation of the Multi-Tier Resolution Fund, assuming the fund capital to be fully paid-in (“Steady State“). Section B deals with the build-up phase of the fund capital (“Build up“). Section C discusses how the proposal deals with the apparent incentive conflicts. The final Section D summarizes open questions which need further thought (“Open Questions“).
This policy letter provides an overview of the strengths, weaknesses, risks and opportunities of the upcoming comprehensive risk assessment, a euro area-wide evaluation of bank balance sheets and business models. If carried out properly, the 2014 comprehensive assessment will lead the euro area into a new era of banking supervision. Policy makers in euro area countries are now under severe pressure to define a credible backstop framework for banks. This framework, as the author argues, needs to be a broad, quasi-European system of mutually reinforcing backstops.
June 4th, 2013 marks the formal launch of the third generation of the Equator Principles (EP III) and the tenth anniversary of the EPs – enough reasons for evaluating the EPs initiative from an economic ethics and business ethics perspectives. In particular, this essay deals with the following questions: What are the EPs and where are they going? What has been achieved so far by the EPs? What are the strengths and weaknesses of the EPs? Which necessary reform steps need to be adopted in order to further strengthen the EPs framework? Can the EPs be regarded as a role-model in the field of sustainable finance and CSR? The paper is structured as follows: The first chapter defines the term EPs and introduces the keywords related to the EPs framework. The second chapter gives a brief overview of the history of the EPs. The third chapter discusses the Equator Principles Association, the governing, administering, and managing institution behind the EPs. The fourth chapter summarizes the main features and characteristics of the newly released third generation of the EPs. The fifth chapter critically evaluates the EP III from an economic ethics and business ethics perspectives. The paper concludes with a summary of the main findings.
The financial services industry worldwide has undergone major transformation since the late 1970s. Technological advancements in information processing and communication facilitated financial innovation and narrowed traditional distinctions in financial products and services, allowing them to become close substitutes for one another. The deregulation process in many major economies prior to the recent financial crisis blurred the traditional lines of demarcation between the distinct types of financial institutions, exposing those firms to new competitors in their traditional business areas, while the increasing globalization of financial markets fostered the provision of financial services across national borders. Against this backdrop, a trend toward consolidation across financial sectors as well as across national borders increasingly manifested itself since the 1990s. The developments in the financial markets ever more intensified competition in the financial services industry and induced financial institutions to redefine their business strategies in search of higher profitability and growth opportunities. Consolidation across distinct financial sectors, i.e. financial conglomeration, in particular became a popular business strategy in light of the potential operational synergies and diversification benefits it can offer. This trend spurred the growth of diversified financial groups, the so-called financial conglomerates, which commingle banking, securities, and insurance activities under one corporate umbrella.5 Still today, large, complex financial conglomerates are represented among major players in the financial markets worldwide, whose activities not only sway across traditional boundaries of banking, securities, and insurance sectors but also across national borders.
Notwithstanding the economic benefits that conglomeration may produce as a business strategy, the emergence of financial conglomerates also exacerbated existing and created new prudential risks in the financial system. 6 The mixing of a variety of financial products and services under one corporate roof and the generally large and complex group structure of financial conglomerates expose such organizations to specific group risks such as contagion and arbitrage risk as well as systemic risk. When realized, these risks may not only cause the failure of an entire financial group but threaten the stability of the financial system as a whole, as evidenced by the events during recent financial crisis of 2007-2009...
Following the experience of the global financial crisis, central banks have been asked to undertake unprecedented responsibilities. Governments and the public appear to have high expectations that monetary policy can provide solutions to problems that do not necessarily fit in the realm of traditional monetary policy. This paper examines three broad public policy goals that may overburden monetary policy: full employment; fiscal sustainability; and financial stability. While central banks have a crucial position in public policy, the appropriate policy mix also involves other institutions, and overreliance on monetary policy to achieve these goals is bound to disappoint. Central Bank policies that facilitate postponement of needed policy actions by governments may also have longer-term adverse consequences that could outweigh more immediate benefits. Overburdening monetary policy may eventually diminish and compromise the independence and credibility of the central bank, thereby reducing its effectiveness to preserve price stability and contribute to crisis management.
This paper tests whether an increase in insured deposits causes banks to become more risky. We use variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance coverage from $100,000 to $250,000 per depositor and bank. For some banks, the amount of insured deposits increased significantly; for others, it was a minor change. Our analysis shows that the more affected banks increase their investments in risky commercial real estate loans and become more risky relative to unaffected banks following the change. This effect is most distinct for affected banks that are low capitalized.
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European financial system during the ongoing sovereign debt crisis. Our analysis documents an increase in systemic risk contributions in the euro area during the post-Lehman global recession and especially after the beginning of the euro area sovereign debt crisis. We also find a considerable potential for cascade effects from small to large euro area sovereigns. When we investigate the effect of sovereign default on the European Union banking system, we find that bigger banks, banks with riskier activities, with poor asset quality, and funding and liquidity constraints tend to be more vulnerable to a sovereign default. Surprisingly, an increase in leverage does not seem to influence systemic vulnerability.
We show that market discipline, defined as the extent to which firm specific risk characteristics are reflected in market prices, eroded during the recent financial crisis in 2008. We design a novel test of changes in market discipline based on the relation between firm specific risk characteristics and debt-to-equity hedge ratios. We find that market discipline already weakened after the rescue of Bear Stearns before disappearing almost entirely after the failure of Lehman Brothers. The effect is stronger for investment banks and large financial institutions, while there is no comparable effect for non-financial firms.
Sondierungsstudie im Auftrag des Bundesministeriums für Bildung und Forschung: Die jüngste Finanzkrise und die darauf folgende Staatsschuldenkrise hat sowohl wirtschaftlich als auch gesellschaftlich tiefgreifende Spuren hinterlassen. Dabei wurden auch sehr deutliche Lücken in der Forschung offenbar. Ziel dieser Studie ist es, aufbauend auf dem aktuellen Forschungsstand weiteren Forschungsbedarf in den wesentlich mit Finanzkrisen verbundenen Bereichen aufzuzeigen. Es werden fünf Forschungsbereiche mit jeweiligen Unterthemen vorgeschlagen. Diese fünf Forschungsbereiche gehen unmittelbar aus der Struktur und den Mechanismen der Finanz- und Staatsschuldenkrise hervor. Dabei wird besonderes Augenmerk auf die wirtschafts- und regulierungspolitische Relevanz der Themen sowie dem Umstand getragen, dass die Beantwortung vieler der Fragen interdisziplinäre Zusammenarbeit erfordert.
Finanzkrisen sind inherent mit dem Bankenmodell verbunden. Aufgrund von Verbindungen der Banken untereinander können Probleme einzelner Institute auf andere Institute übertragen werden. Diese systemischen Risiken können das gesamte Finanzsystem destabilisieren. Das Finanzsystem nimmt durch die Kreditvergabe und Bereitstellung von Transaktionssystemen eine herausragende Stellung in einer Volkswirtschaft ein, wodurch stabilisierende Eingriffe der Politik notwendig werden können. Eingriffe zur Wiederherstellung von Stabilität können sehr kostspielig sein und, wie aktuell eindrucksvoll belegt, die stabilisierenden Staaten selbst destabilisieren. Die alternativen Eingriffe vorab betreffen neben der Geldpolitik vor allem regulatorische Eingriffe. Im besonderen sind die Corporate Governance von Finanzinstituten und die Informationsbereitstellung bzw. Transparenz innerhalb des Finanzsektors von Bedeutung. In den vergangen Jahren wuchs vor dem Hintergrund von Regulierung zudem ein paralleles Schattenbankensystems heran, das in seiner Bedeutung dem traditionellen Bankensystem nur unwesentlich nachsteht.
Zwar sind die groben Zusammenhänge und Auswirkungen in den einzelnen Bereichen bekannt, jedoch ist für ein tiefgreifendes Verständnis als Grundlage zur Vermeidung bzw. Eindämmung zukünftiger Krisen sowie zur Folgenabschätzung von Regulierung weitere Forschung unabdingbar.
Sovereign bond risk premiums
(2013)
Credit risk has become an important factor driving government bond returns. We therefore introduce an asset pricing model which exploits information contained in both forward interest rates and forward CDS spreads. Our empirical analysis covers euro-zone countries with German government bonds as credit risk-free assets. We construct a market factor from the first three principal components of the German forward curve as well as a common and a country-specific credit factor from the principal components of the forward CDS curves. We find that predictability of risk premiums of sovereign euro-zone bonds improves substantially if the market factor is augmented by a common and an orthogonal country-specific credit factor. While the common credit factor is significant for most countries in the sample, the country-specific factor is significant mainly for peripheral euro-zone countries. Finally, we find that during the current crisis period, market and credit risk premiums of government bonds are negative over long subintervals, a finding that we attribute to the presence of financial repression in euro-zone countries.
This paper takes a novel approach to estimating bankruptcy costs by inference from market prices of equity and put options using a dynamic structural model of capital structure. This approach avoids the selection bias of looking at firms in or near default and therefore permits theories of ex ante capital structure determination to be tested. We identify significant cross sectional variation in bankruptcy costs across industries and relate these to specific firm characteristics. We find that asset volatility and growth options have significant positive impacts, while tangibility and size have negative impacts. Our bankruptcy cost variable estimate significantly negatively impacts leverage ratios. This negative impact is in addition to that of other firm characteristics such as asset intangibility and asset volatility. The results provide strong support for the tradeoff theory of capital structure.
We study to what extent firms spread out their debt maturity dates across time, which we call "granularity of corporate debt." We consider the role of debt granularity using a simple model in which a firm's inability to roll over expiring debt causes inefficiencies, such as costly asset sales or underinvestment. Since multiple small asset sales are less costly than a single large one, firms may diversify debt rollovers across maturity dates. We construct granularity measures using data on corporate bond issuers for the 1991-2011 period and establish a number of novel findings. First, there is substantial variation in granularity in that many firms have either very concentrated or highly dispersed maturity structures. Second, our model's predictions are consistent with observed variation in granularity. Corporate debt maturities are more dispersed for larger and more mature firms, for firms with better investment opportunities, with higher leverage ratios, and with lower levels of current cash flows. We also show that during the recent financial crisis especially firms with valuable investment opportunities implemented more dispersed maturity structures. Finally, granularity plays an important role for bond issuances, because we document that newly issued corporate bond maturities complement pre-existing bond maturity profiles.
We consider an economy where individuals privately choose effort and trade competitively priced securities that pay off with effort-determined probability. We show that if insurance against a negative shock is sufficiently incomplete, then standard functional form restrictions ensure that individual objective functions are optimized by an effort and insurance combination that is unique and satisfies first- and second-order conditions. Modeling insurance incompleteness in terms of costly production of private insurance services, we characterize the constrained inefficiency arising in general equilibrium from competitive pricing of nonexclusive financial contracts.
We propose a new classification of consumption goods into nondurable goods, durable goods and a new class which we call “memorable” goods. A good is memorable if a consumer can draw current utility from its past consumption experience through memory. We construct a novel consumption-savings model in which a consumer has a well-defined preference ordering over both nondurable goods and memorable goods. Memorable goods consumption differs from nondurable goods consumption in that current memorable goods consumption may also impact future utility through the accumulation process of the stock of memory. In our model, households optimally choose a lumpy profile of memorable goods consumption even in a frictionless world. Using Consumer Expenditure Survey data, we then document levels and volatilities of different groups of consumption goods expenditures, as well as their expenditure patterns, and show that the expenditure patterns on memorable goods indeed differ significantly from those on nondurable and durable goods. Finally, we empirically evaluate our model’s predictions with respect to the welfare cost of consumption fluctuations and conduct an excess-sensitivity test of the consumption response to predictable income changes. We find that (i) the welfare cost of household-level consumption fluctuations may be overstated by 1.7 percentage points (11.9% points as opposed to 13.6% points of permanent consumption) if memorable goods are not appropriately accounted for; (ii) the finding of excess sensitivity of consumption documented in important papers of the literature might be entirely due to the presence of memorable goods.
There is mounting evidence that retail investors make predictable, costly investment mistakes, including underinvestment, naïve diversification, and payment of excessive fund fees. Over the past thirty-five years, however, participant-directed 401(k) plans have largely replaced professionally managed pension plans, requiring unsophisticated retail investors to navigate the financial markets themselves. Policy-makers have struggled with regulatory interventions designed to improve the quality of investment decisions without a clear understanding of the reasons for investor mistakes. Absent such an understanding, it is difficult to design effective regulatory responses. This article offers a first step in understanding the investor decision-making process. We use an internet-based experiment to disentangle possible explanations for inefficient investment decisions. The experiment employs a simplified construct of an employee’s allocation among the options in a retirement plan coupled with technology that enables us to collect data on the specific information that investors choose to view. In addition to collecting general information about the process by which investors choose among mutual fund options, we employ an experimental manipulation to test the effect of an instruction on the importance of mutual fund fees. Pairing this instruction with simplified fee disclosure allows us to distinguish between motivation-limits and cognition-limits as explanations for the widespread findings that investors ignore fees in their investment decisions. Our results offer partial but limited grounds for optimism. On the one hand, within our simplified experimental construct, our subjects allocated more money, on average, to higher-value funds. Furthermore, subjects who received the fees instruction paid closer attention to mutual fund fees and allocated their investments into funds with lower fees. On the other hand, the effects of even a blunt fees instruction were limited, and investors were unable to identify and avoid clearly inferior fund options. In addition, our results suggest that excessive, naïve diversification strategies are driving many investment decisions. Although our findings are preliminary, they suggest valuable avenues for future research and important implications for regulation of retail investing.
The substantial variation in the real price of oil since 2003 has renewed interest in the question of how to forecast monthly and quarterly oil prices. There also has been increased interest in the link between financial markets and oil markets, including the question of whether financial market information helps forecast the real price of oil in physical markets. An obvious advantage of financial data in forecasting oil prices is their availability in real time on a daily or weekly basis. We investigate whether mixed-frequency models may be used to take advantage of these rich data sets. We show that, among a range of alternative high-frequency predictors, especially changes in U.S. crude oil inventories produce substantial and statistically significant real-time improvements in forecast accuracy. The preferred MIDAS model reduces the MSPE by as much as 16 percent compared with the no-change forecast and has statistically significant directional accuracy as high as 82 percent. This MIDAS forecast also is more accurate than a mixed-frequency realtime VAR forecast, but not systematically more accurate than the corresponding forecast based on monthly inventories. We conclude that typically not much is lost by ignoring high-frequency financial data in forecasting the monthly real price of oil.
Model case procedures have some fundamentals in common with collective redress in civil law countries. This is particularly true in the field of investor protection which is highly regulated and marked by resulting enforcement failures, which led the German legislator to the enactment of the KapMuG and its recent amendment which highlight exemplary elements of model case procedure. A survey of the ongoing activities of the European Union in the area of collective redress and of its repercussions on the member state level therefore forms a suitable basis for the following analysis of the 2012 amendment of the KapMuG. It clearly brings into focus a shift from sector-specific regulation with an emphasis on the cross-border aspect of protecting consumers towards a “coherent approach” strengthening the enforcement of EU law. As a result, regulatory policy and collective redress are two sides of the same coin today. With respect to the KapMuG such a development brings about some tension between its aim to aggregate small individual claims as efficiently as possible and the dominant role of individual procedural rights in German civil procedure. This conflict can be illustrated by some specific rules of the KapMuG: its scope of application, the three-tier procedure of a model case procedure, the newly introduced notification of claims and the new opt-out settlement under the amended §§ 17-19.
We propose the realized systemic risk beta as a measure for financial companies’ contribution to systemic risk given network interdependence between firms’ tail risk exposures. Conditional on statistically pre-identified network spillover effects and market as well as balance sheet information, we define the realized systemic risk beta as the total time-varying marginal effect of a firm’s Value-at-risk (VaR) on the system’s VaR. Statistical inference reveals a multitude of relevant risk spillover channels and determines companies’ systemic importance in the U.S. financial system. Our approach can be used to monitor companies’ systemic importance allowing for a transparent macroprudential supervision.
We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables’ conditional mean processes using a multiplicative error model we map the resulting residuals into a Gaussian domain using a Gaussian copula. Based on high-frequency volatility, cumulative trading volumes, trade counts and market depth of various stocks traded at the NYSE, we show that the proposed copula-based transformation is supported by the data and allows capturing (multivariate) dynamics in higher order moments. The latter are modeled using a DCC-GARCH specification. We suggest estimating the model by composite maximum likelihood which is sufficiently flexible to be applicable in high dimensions. Strong empirical evidence for time-varying conditional (co-)variances in trading processes supports the usefulness of the approach. Taking these higher-order dynamics explicitly into account significantly improves the goodness-of-fit of the multiplicative error model and allows capturing time-varying liquidity risks.
Does it pay to invest in art? A selection-corrected returns perspective : [draft october 15, 2013]
(2013)
This paper shows the importance of correcting for sample selection when investing in illiquid assets with endogenous trading. Using a large sample of 20,538 paintings that were sold repeatedly at auction between 1972 and 2010, we find that paintings with higher price appreciation are more likely to trade. This strongly biases estimates of returns. The selection-corrected average annual index return is 6.5 percent, down from 10 percent for traditional uncorrected repeat sales regressions, and Sharpe Ratios drop from 0.24 to 0.04. From a pure financial perspective, passive index investing in paintings is not a viable investment strategy once selection bias is accounted for. Our results have important implications for other illiquid asset classes that trade endogenously.
The 2011 European short sale ban on financial stocks: a cure or a curse? : [version 31 july 2013]
(2013)
Did the August 2011 European short sale bans on financial stocks accomplish their goals? In order to answer this question, we use stock options’ implied volatility skews to proxy for investors’ risk aversion. We find that on ban announcement day, risk aversion levels rose for all stocks but more so for the banned financial stocks. The banned stocks’ volatility skews remained elevated during the ban but dropped for the other unbanned stocks. We show that it is the imposition of the ban itself that led to the increase in risk aversion rather than other causes such as information flow, options trading volumes, or stock specific factors. Substitution effects were minimal, as banned stocks’ put trading volumes and put-call ratios declined during the ban. We argue that although the ban succeeded in curbing further selling pressure on financial stocks by redirecting trading activity towards index options, this result came at the cost of increased risk aversion and some degree of market failure.
We show that the presence of high frequency trading (HFT) has significantly mitigated the frequency and severity of end-of-day price dislocation, counter to recent concerns expressed in the media. The effect of HFT is more pronounced on days when end of day price dislocation is more likely to be the result of market manipulation on days of option expiry dates and end of month. Moreover, the effect of HFT is more pronounced than the role of trading rules, surveillance, enforcement and legal conditions in curtailing the frequency and severity of end-of-day price dislocation. We show our findings are robust to different proxies of the start of HFT by trade size, cancellation of orders, and co-location.