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Ziel meiner Dissertation ist die empirische Analyse von Auswirkungen der sozialen Interaktion zwischen Akteuren auf Finanzmärkten. Die folgenden Aufsätze sind Bestandteil dieser kumulativen Dissertation:
1. Frederik König (2012): Does Social Interaction destabilise Financial Markets?
2. Frederik König (2012) : Analyst Behaviour: the Geography of Social Interaction
3. Frederik König (2012) : Fluctuations of Social Influence: Evidence from the Behaviour of Mutual Fund Managers during the Economic Crisis 2008/09
In meinem ersten Aufsatz stelle ich ein Marktpreismodell vor, welches dem Einfluss durch soziale Interaktion Rechnung trägt. Mit Hilfe dieses Modells gehe ich der Fragestellung nach, ob soziale Interaktion zwischen Marktteilnehmern eine stabilisierende oder eine destabilisierende Wirkung auf Finanzmärkte hat. Mit meinem zweiten Aufsatz untersuche ich das Verhalten von Aktienanalysten, die als wesentlicher Impulsgeber für Finanzmärkte gelten. Konkret stelle ich heraus, ob Analysten stärker von anderen Analysten beeinflusst werden, wenn diese im gleichen Land bzw. in der gleichen Stadt arbeiten oder wenn sogar ein regelmäßiger Meinungsaustausch erfolgt. Beides setzte ich ins Verhältnis zum vorherrschenden Marktumfeld. In meinem dritten Aufsatz beschäftige ich mich mit der sozialen Interaktion zwischen Fondsmanagern. Diese verwalten in etwa ein Drittel des frei handelbaren Aktienvermögens und haben folglich einen nennenswerten Einfluss auf Finanzmärkte. Mit Hilfe einer neuartigen Schätzmethode bestimme ich die Größe des sozialen Einflusses und untersuche auch hier temporale Variationen im Verhältnis zum zu Grunde liegenden Marktumfeld. Des Weiteren zerlege ich die Gesamtgröße des sozialen Einflusses in zwei Komponenten, die zum einen den Einfluss im Rahmen der reinen Beobachtung und zum anderen den Einfluss durch Kommunikation reflektieren.
In this thesis the behavior of banks in financial markets which banks frequently use to obtain short-term as well as long-term financing is studied. In the first chapter we incorporate an interbank market for collateralized lending among banks into a dynamic, stochastic, general equilibrium (DSGE) framework to analyze the impact of variations in the expected value of the collateral on the interbank lending volume. We find that a central bank which decides to lower the haircut on eligible collateral in repurchase agreements is able to stimulate interbank markets. In the second chapter a microeconomic model of bank behavior on the interbank market is set up to analyze the impact of risk-taking behavior of interbank borrowing banks and uncertainty about their balance sheet quality on the lending behavior of interbank lending banks. It is found that the disruptions on the interbank market are the result of optimal behavior on the part of interbank lending banks in response to the uncertainty about the balance sheet quality of an interbank borrowing bank. In the third chapter we use monthly data on German bank bond spreads and regress it on bank-specific risk factors to assess the degree of market discipline in the German bank bond market. The regression results for the whole German bank bond market indicate that the bond spread does not show signs of market discipline. However, a structural break analysis uncovers that since the beginning of the financial crisis the German bank bond market exhibits at least a weak form of market discipline for bonds issued by medium-size and large banks.
The efficacy of monetary authority actions depends primarily on the ability of the monetary authority to affect inflation expectations, which ultimately depend on agents' trust. We propose a model embedding trust cycles, as emerging from sequential coordination games between atomistic agents and the policy maker, in a monetary model. Trust affects agents' stochastic discount factor, namely the price of future risk, and their expectation formation process: these effects in turn interact with the monetary transmission mechanism. Using data from the Eurobarometer survey we analyze the link between trust on the one side and the transmission mechanism of shocks and of the policy rate on the other: data show that the two interact significantly and in a way comparable to the obtained in our model.
This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also drives risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our micro findings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models.
We develop a dynamic network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in firesales: risk is transmitted through direct and cascading counterparty defaults as well as through indirect pecuniary externalities triggered by firesales. We use the model to assess the evolution of the network configuration under various prudential policy regimes, to measure banks' contribution to systemic risk (through Shapley values) in response to shocks and to analyze the effects of systemic risk charges. We complement the analysis by introducing the possibility of central bank liquidity provision.
This paper analyzes the equilibrium pricing implications of contagion risk in a Lucas-tree economy with recursive preferences and jumps. We introduce a new economic channel allowing for the possibility that endowment shocks simultaneously trigger a regime shift to a bad economic state. We document that these contagious jumps have far-reaching asset pricing implications. The risk premium for such shocks is superadditive, i.e. it is 2.5\% larger than the sum of the risk premia for pure endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5\%. We also derive semiclosed-form solutions for the wealth-consumption ratio and the price-dividend ratios in an economy with two Lucas trees and analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to contagion risk can increase risk premia disproportionately. In particular, big assets with a large exposure to contagious shocks carry significantly higher risk premia.
This paper presents a theory that explains why it is beneficial for banks to engage in circular lending activities on the interbank market. Using a simple network structure, it shows that if there is a non-zero bailout probability, banks can significantly increase the expected repayment of uninsured creditors by entering into cyclical liabilities on the interbank market before investing in loan portfolios. Therefore, banks are better able to attract funds from uninsured creditors. Our results show that implicit government guarantees incentivize banks to have large interbank exposures, to be highly interconnected, and to invest in highly correlated, risky portfolios. This can serve as an explanation for the observed high interconnectedness between banks and their investment behavior in the run-up to the subprime mortgage crisis.
Basel III and CEO compensation in banks: pay structures as a regulatory signal : [March 6, 2013]
(2013)
This paper proposes a new regulatory approach that implements capital requirements contingent on managerial compensation. We argue that excessive risk taking in the financial sector originates from the shareholder moral hazard created by government guarantees rather than from corporate governance failures within banks. The idea of the proposed regulation is to utilize the compensation scheme to drive a wedge between the interests of top management and shareholders to counteract shareholder risk-shifting incentives. The decisive advantage of this approach compared to existing regulation is that the regulator does not need to be able to properly measure the bank investment risk, which has been shown to be a difficult task during the 2008-2009 financial crisis.
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.
We test whether investor mood affects trading with data on all stock market transactions in Finland, utilizing variation in daylight and local weather. We find some evidence that environmental mood variables (local weather, length of day, daylight saving and lunar phase) affect investors’ direction of trade and volume. The effect magnitudes are roughly comparable to those of classical seasonals, such as the Monday effect. The statistical significance of the mood variables is weak in many cases, however. Only very little of the day-to-day variation in trading is collectively explained by all mood variables and calendar effects, but lower frequency variation seems connected to holiday seasons.
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.
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.
SAFE Newsletter : 2013, Q1
(2013)
SAFE Newsletter
(2013)
The Center of Excellence SAFE – “Sustainable Architecture for Finance in Europe” – is a cooperation of the Center for Financial Studies and Goethe University Frankfurt. It is funded by the LOEWE initiative of the State of Hessen (Landes-Offensive zur Entwicklung wissenschaftlich-ökonomischer Exzellenz). SAFE brings together more than 40 professors and just as many junior researchers who are all dedicated to conducting research in support of a sustainable financial architecture. The Center has two main pillars: excellent research on all important topics related to finance; and policy advice, including the dissemination of relevant research findings to European decision makers from the realms of politics, regulation and administration.
In order to promote a fruitful exchange with interested parties from politics, academia, business and the media, SAFE issues a newsletter on a quarterly basis. This aims to provide an overview of the Center‘s ongoing research and policy activities. The SAFE Newsletter succeeds the House of Finance Newsletter, which was published between 2009 and 2012.
SAFE is based at Goethe University’s House of Finance however extends beyond by drawing on scholars from other parts of Goethe University as well as from fellow research institutions. The Center builds on the reputation of the House of Finance institutions, serving as an interdisciplinary think tank on the issue of finance.
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.
The Master’s program in Money and Finance (MMF) is an innovative joint venture of the Department of Money and Macroeconomics and of the Department of Finance, both located in the new House of Finance. The program offers promising students from all over the world an intellectually stimulating and challenging setting in which to prepare for their professional careers in central banking, commercial banking, insurance and other financial services. By being located in Frankfurt, one of the world's leading financial centers and the only city in the world with two central banks (the ECB and the German Bundesbank), it offers unique opportunities for interaction with practitioners. The program is taught exclusively in English; knowledge of German is not required for admission to, or completion of the program. It has been designed with a view to establishing itself as a leading Masters program integrating studies in monetary economics, macroeconomics and finance and a major gateway to high-profile jobs in the banking and financial sector.
Management Summary: Conducted within the project “Economic Implications of New Models for Information Supply for Science and Research in Germany”, the Houghton Report for Germany provides a general cost and benefit analysis for scientific communication in Germany comparing different scenarios according to their specific costs and explicitly including the German National License Program (NLP).
Basing on the scholarly lifecycle process model outlined by Björk (2007), the study compared the following scenarios according to their accounted costs:
- Traditional subscription publishing,
- Open access publishing (Gold Open Access; refers primarily to journal publishing where access is free of charge to readers, while the authors or funding organisations pay for publication)
- Open Access self-archiving (authors deposit their work in online open access institutional or subject-based repositories, making it freely available to anyone with Internet access; further divided into (i) CGreen Open Access’ self-archiving operating in parallel with subscription publishing; and (ii) the ‘overlay services’ model in which self-archiving provides the foundation for overlay services (e.g. peer review, branding and quality control services))
- the NLP.
Within all scenarios, five core activity elements (Fund research and research communication; perform research and communicate the results; publish scientific and scholarly works; facilitate dissemination, retrieval and preservation; study publications and apply the knowledge) were modeled and priced with all their including activities.
Modelling the impacts of an increase in accessibility and efficiency resulting from more open access on returns to R&D over a 20 year period and then comparing costs and benefits, we find that the benefits of open access publishing models are likely to substantially outweigh the costs and, while smaller, the benefits of the German NLP also exceed the costs.
This analysis of the potential benefits of more open access to research findings suggests that different publishing models can make a material difference to the benefits realised, as well as the costs faced. It seems likely that more Open Access would have substantial net benefits in the longer term and, while net benefits may be lower during a transitional period, they are likely to be positive for both ‘author-pays’ Open Access publishing and the ‘over-lay journals’ alternatives (‘Gold Open Access’), and for parallel subscription publishing and self-archiving (‘Green Open Access’). The NLP returns substantial benefits and savings at a modest cost, returning one of the highest benefit/cost ratios available from unilateral national policies during a transitional period (second to that of ‘Green Open Access’ self-archiving). Whether ‘Green Open Access’ self-archiving in parallel with subscriptions is a sustainable model over the longer term is debateable, and what impact the NLP may have on the take up of Open Access alternatives is also an important consideration. So too is the potential for developments in Open Access or other scholarly publishing business models to significantly change the relative cost-benefit of the NLP over time.
The results are comparable to those of previous studies from the UK and Netherlands. Green Open Access in parallel with the traditional model yields the best benefits/cost ratio. Beside its benefits/cost ratio, the meaningfulness of the NLP is given by its enforceability. The true costs of toll access publishing (beside the buyback” of information) is the prohibition of access to research and knowledge for society.
In the aftermath of the global financial crisis and great recession, many countries face substantial deficits and growing debts. In the United States, federal government outlays as a ratio to GDP rose substantially from about 19.5 percent before the crisis to over 24 percent after the crisis. In this paper we consider a fiscal consolidation strategy that brings the budget to balance by gradually reducing this spending ratio over time to the level that prevailed prior to the crisis. A crucial issue is the impact of such a consolidation strategy on the economy. We use structural macroeconomic models to estimate this impact focussing primarily on a dynamic stochastic general equilibrium model with price and wage rigidities and adjustment costs. We separate out the impact of reductions in government purchases and transfers, and we allow for a reduction in both distortionary taxes and government debt relative to the baseline of no consolidation. According to the model simulations GDP rises in the short run upon announcement and implementation of this fiscal consolidation strategy and remains higher than the baseline in the long run. We explore the role of the mix of expenditure cuts and tax reductions as well as gradualism in achieving this policy outcome. Finally, we conduct sensitivity studies regarding the type of model used and its parameterization.
We examine both the degree and the structural stability of inflation persis tence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. Economic theory, however, provides various reasons -for example downward wage rigidities or menu costs- to expect higher inflation persistence at the upper than at the lower tail of the conditional inflation distribution.
Based on post-war US data we indeed find slower mean reversion in response to positive than to negative shocks. We find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early 1980s. Inflation persistence has decreased and become more homogeneous across quantiles. Persistence at the conditional mean became more informative about the degree of persistence across the entire conditional inflation distribution. While prior to the 1980s inflation was not mean reverting in response to large positive shocks, our evidence strongly suggests that since the end of the Volcker disinflation the unit root can be rejected at every quantile including the upper tail of the conditional inflation distribution.
This paper investigates the accuracy of point and density forecasts of four DSGE models for inflation, output growth and the federal funds rate. Model parameters are estimated and forecasts are derived successively from historical U.S. data vintages synchronized with the Fed’s Greenbook projections. Point forecasts of some models are of similar accuracy as the forecasts of nonstructural large dataset methods. Despite their common underlying New Keynesian modeling philosophy, forecasts of different DSGE models turn out to be quite distinct. Weighted forecasts are more precise than forecasts from individual models. The accuracy of a simple average of DSGE model forecasts is comparable to Greenbook projections for medium term horizons. Comparing density forecasts of DSGE models with the actual distribution of observations shows that the models overestimate uncertainty around point forecasts.
The complexity resulting from intertwined uncertainties regarding model misspecification and mismeasurement of the state of the economy defines the monetary policy landscape. Using the euro area as laboratory this paper explores the design of robust policy guides aiming to maintain stability in the economy while recognizing this complexity. We document substantial output gap mismeasurement and make use of a new model data base to capture the evolution of model specification. A simple interest rate rule is employed to interpret ECB policy since 1999. An evaluation of alternative policy rules across 11 models of the euro area confirms the fragility of policy analysis optimized for any specific model and shows the merits of model averaging in policy design. Interestingly, a simple difference rule with the same coefficients on inflation and output growth as the one used to interpret ECB policy is quite robust as long as it responds to current outcomes of these variables.
Seit einigen Jahren liefert die berufs- und wirtschaftspädagogisch orientierte Lehr-Lernforschung Erkenntnisse zum Zusammenhang von Fachwissen und Kompetenzentwicklung und entwickelt spezifische Verfahren zur Diagnose von Handlungskompetenz in beruflichen Domänen, für die im Dualen System ausgebildet wird. Dieses forschungsmethodische Instrumentarium wird zunehmend auch hinsichtlich der Zielgruppe des Bildungspersonals, allen voran der Lehrenden an beruflichen Schulen insbesondere in der ersten Phase ihrer Professionalisierung, eingesetzt.
Der vorliegende Band stellt außerdem Studien zum Kompetenzerwerb in verschiedenen Domänen, zu Methoden der Messung von Kompetenzentwicklung sowie zur didaktischen Gestaltung im Vordergrund. Hiermit sind immer auch Basisthemen der Entwicklung beruflicher Handlungskompetenz berührt, die die Grundlage des Dualen Systems darstellen, auch in der Analyse konsekutiver Ausbildungsformen.
Schließlich werden Fragen nach den Auswirkungen des demografischen Wandels auf die Entwicklungsmöglichkeiten beruflicher Schulen fokussiert, die in den nächsten Jahren sicherlich eine verstärkte Wahrnehmung und Bearbeitung durch die berufs- und wirtschaftspädagogische Forschung erhalten werden.
In the aftermath of the global financial crisis and great recession, many countries face substantial deficits and growing debts. In the United States, federal government outlays as a ratio to GDP rose substantially from about 19.5 percent before the crisis to over 24 percent after the crisis. In this paper we consider a fiscal consolidation strategy that brings the budget to balance by gradually reducing this spending ratio over time to the level that prevailed prior to the crisis. A crucial issue is the impact of such a consolidation strategy on the economy. We use structural macroeconomic models to estimate this impact focussing primarily on a dynamic stochastic general equilibrium model with price and wage rigidities and adjustment costs. We separate out the impact of reductions in government purchases and transfers, and we allow for a reduction in both distortionary taxes and government debt relative to the baseline of no consolidation. According to the model simulations GDP rises in the short run upon announcement and implementation of this fiscal consolidation strategy and remains higher than the baseline in the long run. We explore the role of the mix of expenditure cuts and tax reductions as well as gradualism in achieving this policy outcome. Finally, we conduct sensitivity studies regarding the type of model used and its parameterization.
The complexity resulting from intertwined uncertainties regarding model misspecification and mismeasurement of the state of the economy defines the monetary policy landscape. Using the euro area as laboratory this paper explores the design of robust policy guides aiming to maintain stability in the economy while recognizing this complexity. We document substantial output gap mismeasurement and make use of a new model data base to capture the evolution of model specification. A simple interest rate rule is employed to interpret ECB policy since 1999. An evaluation of alternative policy rules across 11 models of the euro area confirms the fragility of policy analysis optimized for any specific model and shows the merits of model averaging in policy design. Interestingly, a simple difference rule with the same coefficients on inflation and output growth as the one used to interpret ECB policy is quite robust as long as it responds to current outcomes of these variables.
Zeit seines Lebens beschäftigte sich Goethe mit ökonomischen Theorien; in seinem dichterischen Werk entwarf er wirtschaftliche Visionen, die das späte 19. und das frühe 20. Jahrhundert übersahen. Seine positive Vision des Kapitalismus ist von einer Sittlichkeit durchdrungen, die extreme Formen des Erwerbsstrebens und der Ausbeutung hemmt. Dagegen steht Goethes Schreckensbild eines uns modern erscheinenden Kapitalismus, wie es im »Faust« beschworen wird.
Vielfältige Einschnitte im Rentensystem haben die Bedeutung der privaten Altersvorsorge in den vergangenen Jahren massiv erhöht. Neben Immobilienbesitz, Lebensversicherungen und staatlich geförderten Programmen zur privaten Vorsorge hat sich inzwischen auch die eigenverantwortliche Altersvorsorge mit Wertpapierdepots etabliert, so dass die Anzahl privater Depots in den letzten 25 Jahren von 8,0 auf 27,9 Millionen gestiegen ist. Vor diesem Hintergrund ist die Frage von zentraler Bedeutung, wie gut Anleger ihr Geld investieren.
Kaum eine andere Industrie wurde in den vergangenen beiden Jahrzehnten so massiv durch den Einzug der Informationstechnologie geprägt wie der Wertpapierhandel. Traditionelle Geschäftsmodelle haben sich grundlegend verändert. Das klassische Börsenparkett ist nahezu vollständig elektronischen Handelsplattformen gewichen.
Die Rechnung kommt immer zum Schluss – und sie zu bezahlen, macht in der Regel keine Freude. Wenn wir aber schon eher ungern bezahlen, soll die Zahlungsmethode selbst wenigstens einfach, überall verfügbar und sehr sicher sein. Insbesondere die Sicherheit ist beim Bezahlen im 21. Jahrhundert ein wichtiges Thema, zu dem es interdisziplinäre Forschungsansätze aus Wirtschaftswissenschaften, Informatik und Recht in einem von dynamischer Entwicklung geprägten Umfeld gibt.
A study on the impact of mobile telecommunication on the welfare of sub saharan african countries
(2010)
Africa: A continent is waking up. Not through aid or wealth from the exploitation of natural resources, but through a technological revolution. The access to affordable mobile telecommunication. Inspired by deregulation and pioneered by local champions who have taken a lead in what is today's fastest growing mobile market in the world. There is money to be made in these markets, attracting more and more operators from the northern hemisphere.
However positive the short term impact of this revolution may be, governments should try hard to assure a market of continued competition among network operators, as this competition is the source of a self propelled creation of welfare and new opportunities, motivated from within Africa.
Chapter 1 of this thesis highlights the positive impact of mobile telecommunication on the social and economic life in Sub Saharan Africa. Chapter 2 builds on the static as well as the dynamic version of the Network Pricing Game, a model developed by Dr. Carolyn Gideon, to stress the immanent threat of network markets turning into a monopoly. This theses ends in Chapter 3 with an brief outlook on further drivers of economic growth and opportunities awaiting Sub Saharan Africa in the coming decade.
We analyze the implications of the governance structure in academic faculties for their recruitment decisions when competing for new researchers. The value to individual members through social interaction within the faculty depends on the average status of their fellow members. In recruitment decisions, incumbent members trade off the effect of entry on average faculty status against alternative uses of the recruitment budget if no entry takes place. We show that the best candidates join the best faculties but that they receive lower wages than some lesser ranking candidates. We also study the allocation of surplus created by the entry of a new faculty member and show that faculties with symmetric status distributions maximize their joint surplus under majority voting.
Der Fokus dieser kumulativen Dissertation liegt auf der Untersuchung des Managements
öffentlich-privater Informationstechnologie (IT)-Partnerschaften. Daher werden
im Rahmen dieses Kapitels zunächst die Bedeutung der Forschung über öffentlichprivate
Partnerschaften (ÖPP) im IT-Bereich und anschließend die untersuchten zentralen
Forschungsfragen erläutert. Im Anschluss wird die Struktur dieser Arbeit kurz vorgestellt,
um darzustellen, wie die zentralen Forschungsfragen adressiert wurden.
...
Wie in der Einleitung beschrieben, bestand die zentrale Motivation für diese kumulative
Dissertation in der fehlenden Forschung zur Konzeptionalisierung öffentlicher und privater
Organisationskulturen und der Analyse deren Auswirkungen auf die erfolgreiche
Realisierung von IT-ÖPPs. Daher zielten die durchgeführten Fallstudien darauf ab, zu
untersuchen, wie IT-ÖPPs trotz anfänglicher Schwierigkeiten erfolgreich gestaltet werden
können und wie eine IT-ÖPP über die Zeit hinweg etabliert und aufrechterhalten
werden kann.
Das Ziel der ersten zentralen Forschungsfrage konzentrierte sich daher auf die Analyse
der Unterschiede von öffentlichen und privaten Organisationskulturen. Artikel 1 beantwortet
diese Forschungsfrage durch die Konzeptionalisierung öffentlicher und privater
Organisationskulturen (bestehend aus divergierenden Denkweisen, Wissensbasen
und organisationalen Strukturen) und liefert erste Einblicke in deren Auswirkungen auf
die öffentlich-private Zusammenarbeit sowie den Erfolg von IT-ÖPPs. Dadurch leistet
Artikel 1 einen Beitrag zur IT-ÖPP-Forschungsdomäne. Außerdem trägt Artikel 1 zur
theoretischen Domäne organisationaler Kulturunterschiede dadurch bei, dass er den
Einfluss öffentlicher und privater Normen sowie deren Werte auf organisationsspezifisches
Verhalten aufdeckt. Zusammenfassend illustriert Artikel 1, dass die Etablierung
einer nachhaltigen IT-ÖPP das Bewusstsein sowie Verständnis für Unterschiede von
öffentlichen und privaten Organisationskulturen erfordert, um einen Kooperationsmodus
zu verhandeln.
Artikel 2, 3 und 4 erweitern die Erkenntnisse der Auswirkungen unterschiedlicher Organisationskulturen
auf öffentlich-private Zusammenarbeit in IT-ÖPPs durch die Analyse
der Gründe und Vorgehensweisen zur erfolgreichen Gestaltung einer IT-ÖPP trotz
anfänglicher Schwierigkeiten. Dadurch antworten die Artikel auf die zweite zentrale
Forschungsfrage. Der Beitrag von Artikel 2 zur Forschungsdomäne besteht in der Untersuchung
der Rolle divergierender Verständnisse und Erwartungen, deren Auswirkungen
durch den ÖPP-Kontext verstärkt werden, für das Scheitern von IT-ÖPP-Projekten.
Der theoretische Beitrag hingegen bezieht sich auf die Identifizierung der Ursachen der
Verletzung des psychologischen Vertrags auf einer individuellen Ebene in IT-ÖPPs.
Abgeleitet von diesen Erkenntnissen veranschaulicht Artikel 2 die Bedeutung der Aufrechterhaltung
informaler Beziehungen für die Realisierung von IT-Projekten im ÖPPKontext.
Artikel 3 setzt auf den Ergebnissen von Artikel 2 auf und illustriert die organisationalen
Voraussetzungen sowie Management-Praktiken (auch beeinflusst durch
den spezifischen ÖPP-Kontext) für die Wiederherstellung einer nachhaltigen Partnerschaft
in scheiternden IT-ÖPP-Projekten. Dadurch leistet Artikel 3 einen Beitrag zur
IT-ÖPP-Forschungsdomäne. Aus einer theoretischen Perspektive erweitert Artikel 3 die
bestehende Literatur über das Brückenspannen durch die Untersuchung der notwendigen
Voraussetzungen und Aktivitäten des Brückenspannens auf einer organisationalen
Ebene, um die kulturelle Kluft in interorganisationalen Kooperationen zu überbrücken.
Basierend auf diesen Erkenntnissen zeigt Artikel 3, dass die Trendwende eines negativen
Verlaufs von IT-ÖPP-Projekten die Etablierung einer unbelasteten öffentlichprivaten
Beziehung und die kontinuierliche Pflege der Partnerschaft sowie der Beziehungen
zu den Anspruchsgruppen erfordert. Artikel 4 analysiert ebenfalls die Gründe
sowie Vorgehensweisen für erfolgreiche IT-ÖPPs. Basierend auf der Konzeptionalisierung
von öffentlichen und privaten Organisationskulturen von Artikel 1 erweitert
Artikel 4 die Analyse von Artikel 1 durch die detaillierte Darstellung, wie organisationsspezifische
Verhaltensweisen begründet sind und wie sie die öffentlich-private Zusammenarbeit
erschweren. Zusätzlich erweitert Artikel 4 die Erkenntnisse der IT-ÖPPForschungsdomäne
durch die Illustration, wie Unterschiede organisationaler Kulturen
ausbalanciert werden können, um eine nachhaltige Partnerschaft zu etablieren und ITÖPPs
aus administrativer, politischer und betriebswirtschaftlicher Perspektive erfolgreich
zu gestalten. Hinsichtlich der theoretischen Domäne organisationaler Kulturunterschiede
liefert Artikel 4 tiefgehende Einblicke in den Einfluss von Normen und Routinen
öffentlicher und privater Logiken auf die Ausprägungen öffentlicher und privater
Organisationskulturen sowie die detaillierte Erläuterung der Auswirkungen kultureller
Unterschiede auf organisationsspezifisches Verhalten. Abschließend erläutert Artikel 4
die Hierarchie von IT-ÖPP-Erfolgskriterien aus administrativer, politischer sowie betriebswirtschaftlicher
Perspektive und illustriert, dass der Erfolg von IT-ÖPPs von der
Verhandlung von Kompromissen über gemeinsame Partnerschaftsziele und -vorgehensweisen
hinsichtlich der verschiedenen Interessen der Parteien abhängig ist.
Artikel 5 integriert die Ergebnisse der Artikel 1 bis 4 und untersucht die Etablierung
und Aufrechterhaltung einer IT-ÖPP über die Zeit hinweg. Dadurch beantwortet Artikel
5 die dritte zentrale Forschungsfrage. Durch die Analyse des Partnerschaftsentwicklungsprozesses
in IT-ÖPP-Projekten, der der Herausforderung kollidierender öffentlicher
und privater Organisationskulturen ausgesetzt ist, erläutert Artikel 5 die drei
Phasen der IT-ÖPP-Entwicklung und die Ereignisse, die den Übergang zwischen den
Phasen initiieren. Zusätzlich zu diesen Beiträgen zur Forschungsdomäne illustriert Artikel
5 das Zusammenspiel konkurrierender institutioneller Logiken über die Zeit hinweg
und belegt den schrittweisen Austausch konkurrierender Logiken durch eine neue,
dominante Logik. Zusammenfassend zeigt Artikel 5, dass die Etablierung und Aufrechterhaltung
einer nachhaltigen, bilateralen Partnerschaft zwischen öffentlichen und
privaten Organisationen die Verhandlung eines Kooperationsmodus durch die Aufweichung
öffentlicher und privater institutioneller Normen und Prinzipien sowie die gedankliche
Annäherung der Parteien aneinander erfordert.
Insgesamt liefert diese kumulative Dissertation Erkenntnisse über die Unterschiede zwischen
öffentlichen und privaten Organisationskulturen, wie diese Unterschiede die öffentlich-
private Zusammenarbeit in IT-ÖPPs erschweren, die Management-Praktiken
für die Etablierung und Aufrechterhaltung einer nachhaltigen Partnerschaft über die Zeit
hinweg sowie die erfolgreiche Gestaltung von IT-ÖPPs. Dadurch schafft diese Arbeit
einen Ausgangspunkt für die tiefergehende Erforschung von IT-ÖPP-Management, die
Analyse des spezifischen ÖPP-Kontexts und die Verbesserung der Realisierung von ITÖPP-
Projekten.
This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that applies the martingale method. More precisely, we construct the non-separable value function by formalizing the optimal constrained terminal wealth to be a (conjectured) contingent claim on the optimal non-constrained terminal wealth. This is relevant by itself, but also opens up the opportunity to derive new solutions to constrained problems. As a second contribution, we thus derive new results for non-strict constraints on the shortfall of inter¬mediate wealth and/or consumption.
This chapter aims to provide a hands-on approach to New Keynesian models and their uses for macroeconomic policy analysis. It starts by reviewing the origins of the New Keynesian approach, the key model ingredients and representative models. Building blocks of current-generation dynamic stochastic general equilibrium (DSGE) models are discussed in detail. These models address the famous Lucas critique by deriving behavioral equations systematically from the optimizing and forward-looking decision-making of households and firms subject to well-defined constraints. State-of-the-art methods for solving and estimating such models are reviewed and presented in examples. The chapter goes beyond the mere presentation of the most popular benchmark model by providing a framework for model comparison along with a database that includes a wide variety of macroeconomic models. Thus, it offers a convenient approach for comparing new models to available benchmarks and for investigating whether particular policy recommendations are robust to model uncertainty. Such robustness analysis is illustrated by evaluating the performance of simple monetary policy rules across a range of recently-estimated models including some with financial market imperfections and by reviewing recent comparative findings regarding the magnitude of government spending multipliers. The chapter concludes with a discussion of important objectives for on-going and future research using the New Keynesian framework.
Der verstärkte Umgang mit Wissen in den Wirtschaftswissenschaften ist in den letzten Jahren in den Fokus der Wissenschaftler geraten. Ausgeblendet wurde dabei größtenteils die Kehrseite von Wissen, die Frage nach dem "Nichtwissen". Das Nichtwissen ist aufgrund der vorherrschenden Auffassung des gesellschaftlichen Bildes mit einer negativen Notation behaftet. Die zunehmende Auseinandersetzung des Nichtwissens in den Geisteswissenschaften bringt die positiven Funktionen zur Geltung. Der vorliegende Artikel zeigt zunächst die erfolgsfördernden Funktionen des Nichtwissens auf und implementiert somit Chancen des Nichtwissens in einem wirtschaftwissenschaftlichen Rahmen. Im Anschluss werden empirische Befunde, resultierend aus einer Befragung, die an der Goethe Universität Frankfurt am Main durchgeführt wurde, präsentiert.
We propose a model of the dynamics of organizational communication. Our model specifies the mechanics by which communication impact is fed back to communication inputs and closes the gap between sender and receiver of messages. We draw on language critique, a branch of language philosophy, and derive joint linguistic actions of interlocutors to explain the emergence and adaptation of communication on the group level. The model is framed by Te'eni's cognitive-affective model of organizational communication.
An information system is more than just the information technology; it is the system that emerges from the complex interactions and relationships between the information technology and the organization. However, what impact information technology has on an organization and how organizational structures and organizational change influence information technology remains an open question. We propose a theory to explain how communication structures emerge and adapt to environmental changes. We operationalize the interplay of information technology and organization as language communities whose members use and develop domain-specific languages for communication. Our theory is anchored in the philosophy of language. In developing it as an emergent perspective, we argue that information systems are self-organizing and that control of this ability is disseminated throughout the system itself, to the members of the language community. Information technology influences the dynamics of this adaptation process as a fundamental constraint leading to perturbations for the information system. We demonstrate how this view is separated from the entanglement in practice perspective and show that this understanding has far-reaching consequences for developing, managing, and examining information systems.
Theory building is not only underdeveloped in IT services management research, but in
general in IS. Given the paradigm shift that comes from the development away from a
networked economy towards a network economy, the lack of spending enough attention to
theorizing in IS becomes even more obvious. In the light of other "megatrends" in IS
research, such as the increasing professionalization and use of statistical methods and the
exploitation of extremely large sets of data (often harvested from social media sites), we
might lose interest in theorizing in the presence of the tremendous amount of available
empirical data. In this position paper, the author advocates that services science researchers
should focus on rigor and relevance in their research approaches.
Debt-induced crises, including the subprime, are usually attributed exclusively to supply-side factors. We examine the role of social influences on debt culture, emanating from perceived average income of peers. Utilizing unique information from a household survey representative of the Dutch population, that circumvents the issue of defining 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 employ a number of approaches to rule out spurious associations and to handle correlated effects.
In the aftermath of the global financial crisis, the state of macroeconomic modeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of macroeconomic models. This paper proposes a comparative approach to macroeconomic policy analysis that is open to competing modeling paradigms. Macroeconomic model comparison projects have helped produce some very influential insights such as the Taylor rule. However, they have been infrequent and costly, because they require the input of many teams of researchers and multiple meetings to obtain a limited set of comparative findings. This paper provides a new approach that enables individual researchers to conduct model comparisons easily, frequently, at low cost and on a large scale. Using this approach a model archive is built that includes many well-known empirically estimated models that may be used for quantitative analysis of monetary and fiscal stabilization policies. A computational platform is created that allows straightforward comparisons of models’ implications. Its application is illustrated by comparing different monetary and fiscal policies across selected models. Researchers can easily include new models in the data base and compare the effects of novel extensions to established benchmarks thereby fostering a comparative instead of insular approach to model development.
We investigate the decisions of listed firms to go private once again. We start by revealing that while a significant number of firms which go public is VC-backed, an overproportional share of these VC-backed firms go private later on (they stay on the exchange for an average of 8.5 years). We interpret this very robust pattern such that IPOs of VC-backed firms are to a large extent a temporary rather than a permanent feature of the corporate governance of these firms. We investigate various potential hypotheses why VCs actually seem to be able to bring marginal firms to the exchange by relating the going-private decisions to various characteristics of the IPO market as well as to VC characteristics. We find strong support for the certification ability of VCs: more experienced and reputable VCs are more able to bring marginal firms to public exchanges via an IPOs. These marginal firms backed-by more reputable and experienced VCs are more likely to go private later on. Hence, our analysis suggests that IPOs backed by experienced VCs are most likely to be a temporary rather than the final stage in the life of the portfolio firm. We find no support that reputable VCs underprice their IPO-exits more implying that they have no need to leave more money on the table to take the marginal firms public.
Vom "Netz-Doktor" bis "Health 2.0" : welche Möglichkeiten das Internet chronisch Kranken bieten kann
(2011)
Jeder fünfte Deutsche ist inzwischen bereits über 65 Jahre, und der demografische Wandel schreitet voran. Mit dem wachsenden Anteil Älterer nimmt auch die Zahl der chronisch Kranken stetig zu. Diese Patienten haben einen besonders hohen Bedarf an aktuellen medizinischen Informationen; das stellt neue Herausforderungen an alle Beteiligten im Gesundheitssystem. Unter dem Stichwort "Health 2.0" untersucht der Wirtschaftsinformatiker Christoph Rosenkranz, welche interaktiven Möglichkeiten das Internet den Betroffenen bisher schon bietet und was es darüber hinaus in Zukunft leisten sollte.
Die vorliegende Arbeit beschäftigt sich mit der zeitstetigen Portfoliooptimierung sowie mit Themen aus dem Bereich des Kreditrisikos. Das Ziel der Portfoliooptimierung ist es, zu einem gegebenen Anfangskapital die bestmöglichen Konsum- und Investmentstrategien zu finden. In dieser Arbeit wird dabei vor allem der Einfluss von Einkommen auf diese Entscheidungen untersucht. Da einerseits jedoch der zukünftige Einkommensstrom vom Zufall bestimmt ist und es andererseits keine Finanzprodukte gibt, die diesen replizieren können, stellt die Einbindung von Einkommen in die Portfoliooptimierung ein großes Problem dar. Es führt dazu, dass die Annahmen eines vollständigen Marktes nicht weiter gelten, so dass die Standardmethoden zur Lösung nicht angewendet werden können. Diese Arbeit analysiert mehrere Ausprägungen dieses Problems und geht auf verschiedene Verfahren zur Lösung ein. Weiterhin untersucht diese Studie den Einfluss des Kreditrisikos einer Firma auf die jeweilige Firmenrendite. Dabei wird vor allem auf eine Anomalie, die bereits umfassend in der Literatur diskutiert wurde, Bezug genommen. Diese Anomalie besagt, dass Firmen mit hohen Ausfallwahrscheinlichkeiten geringere Renditen erwirtschaften als Firmen mit kleineren Ausfallwahrscheinlichkeiten. Eine weitere Frage, die in den Bereich des Kreditrisikos fällt, ist die Frage, inwieweit Modelle dazu in der Lage sind, strukturierte Produkte zu bewerten und abzusichern. Diese Arbeit versucht Antworten darauf zu geben.
Vor Ihnen liegt unser zweites Open Journal of Knowledge Management der Community of Knowledge in diesem Jahr. Werden in dem jeweils ersten Open Journal of Knowledge Management des Jahres ausschließlich in einem Call for Papers eingereichte Beiträge publiziert, so handelt es sich bei dem zweiten um ein Review. In dem vorliegenden Journal finden Sie daher besonders erfolgreiche Beiträge der letzten 12 Monate, eine Art "Best of" der Community of Knowledge. Maßstab ist das Nutzerverhalten, also hauptsächlich die Seitenaufrufe, ergänzend die Verweildauer und Absprungrate. ...