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Milah books & manuals
(2009)
The ENVISAT validation programme for the atmospheric instruments MIPAS, SCIAMACHY and GOMOS is based on a number of balloon-borne, aircraft, satellite and ground-based correlative measurements. In particular the activities of validation scientists were coordinated by ESA within the ENVISAT Stratospheric Aircraft and Balloon Campaign or ESABC. As part of a series of similar papers on other species [this issue] and in parallel to the contribution of the individual validation teams, the present paper provides a synthesis of comparisons performed between MIPAS CH4 and N2O profiles produced by the current ESA operational software (Instrument Processing Facility version 4.61 or IPF v4.61, full resolution MIPAS data covering the period 9 July 2002 to 26 March 2004) and correlative measurements obtained from balloon and aircraft experiments as well as from satellite sensors or from ground-based instruments. In the middle stratosphere, no significant bias is observed between MIPAS and correlative measurements, and MIPAS is providing a very consistent and global picture of the distribution of CH4 and N2O in this region. In average, the MIPAS CH4 values show a small positive bias in the lower stratosphere of about 5%. A similar situation is observed for N2O with a positive bias of 4%. In the lower stratosphere/upper troposphere (UT/LS) the individual used MIPAS data version 4.61 still exhibits some unphysical oscillations in individual CH4 and N2O profiles caused by the processing algorithm (with almost no regularization). Taking these problems into account, the MIPAS CH4 and N2O profiles are behaving as expected from the internal error estimation of IPF v4.61 and the estimated errors of the correlative measurements.
Stocks are exposed to the risk of sudden downward jumps. Additionally, a crash in one stock (or index) can increase the risk of crashes in other stocks (or indices). Our paper explicitly takes this contagion risk into account and studies its impact on the portfolio decision of a CRRA investor both in complete and in incomplete market settings. We find that the investor significantly adjusts his portfolio when contagion is more likely to occur. Capturing the time dimension of contagion, i.e. the time span between jumps in two stocks or stock indices, is thus of first-order importance when analyzing portfolio decisions. Investors ignoring contagion completely or accounting for contagion while ignoring its time dimension suffer large and economically significant utility losses. These losses are larger in complete than in incomplete markets, and the investor might be better off if he does not trade derivatives. Furthermore, we emphasize that the risk of contagion has a crucial impact on investors' security demands, since it reduces their ability to diversify their portfolios.
We provide explicit solutions to life-cycle utility maximization problems simultaneously involving dynamic decisions on investments in stocks and bonds, consumption of perishable goods, and the rental and the ownership of residential real estate. House prices, stock prices, interest rates, and the labor income of the decision-maker follow correlated stochastic processes. The preferences of the individual are of the Epstein-Zin recursive structure and depend on consumption of both perishable goods and housing services. The explicit consumption and investment strategies are simple and intuitive and are thoroughly discussed and illustrated in the paper. For a calibrated version of the model we find, among other things, that the fairly high correlation between labor income and house prices imply much larger life-cycle variations in the desired exposure to house price risks than in the exposure to the stock and bond markets. We demonstrate that the derived closed-form strategies are still very useful if the housing positions are only reset infrequently and if the investor is restricted from borrowing against future income. Our results suggest that markets for REITs or other financial contracts facilitating the hedging of house price risks will lead to non-negligible but moderate improvements of welfare.
This paper relates recursive utility in continuous time to its discrete-time origins and provides a rigorous and intuitive alternative to a heuristic approach presented in [Duffie, Epstein 1992], who formally define recursive utility in continuous time via backward stochastic differential equations (stochastic differential utility). Furthermore, we show that the notion of Gâteaux differentiability of certainty equivalents used in their paper has to be replaced by a different concept. Our approach allows us to address the important issue of normalization of aggregators in non-Brownian settings. We show that normalization is always feasible if the certainty equivalent of the aggregator is of expected utility type. Conversely, we prove that in general L´evy frameworks this is essentially also necessary, i.e. aggregators that are not of expected utility type cannot be normalized in general. Besides, for these settings we clarify the relationship of our approach to stochastic differential utility and, finally, establish dynamic programming results. JEL Classifications: D81, D91, C61
This thesis contributes to the field of soft matter research and studies the importance of hydrodynamic interactions during free-solution electrophoresis of linear polyelectrolytes by means of coarse-grained molecular dynamics simulations including full electro-hydrodynamic interactions. The center of attention is the specific role of hydrodynamic interactions on the electrophoretic behaviour of charged macromolecules. Points of interest are the dependence of hydrodynamic interactions on the chain length, the chain flexibility and the surrounding counterions, and their combined influence on important observables such as the static chain conformations and the dynamic transport coefficients, i.e., the diffusion and the electrophoretic mobility. These problems are addressed by extensive computer simulations that are quantitatively matched with experimental results. Existing theoretical predictions are carefully examined and are augmented by the observations in this thesis.
Opting out of the great inflation: German monetary policy after the break down of Bretton Woods
(2009)
During the turbulent 1970s and 1980s the Bundesbank established an outstanding reputation in the world of central banking. Germany achieved a high degree of domestic stability and provided safe haven for investors in times of turmoil in the international financial system. Eventually the Bundesbank provided the role model for the European Central Bank. Hence, we examine an episode of lasting importance in European monetary history. The purpose of this paper is to highlight how the Bundesbank monetary policy strategy contributed to this success. We analyze the strategy as it was conceived, communicated and refined by the Bundesbank itself. We propose a theoretical framework (following Söderström, 2005) where monetary targeting is interpreted, first and foremost, as a commitment device. In our setting, a monetary target helps anchoring inflation and inflation expectations. We derive an interest rate rule and show empirically that it approximates the way the Bundesbank conducted monetary policy over the period 1975-1998. We compare the Bundesbank´s monetary policy rule with those of the FED and of the Bank of England. We find that the Bundesbank´s policy reaction function was characterized by strong persistence of policy rates as well as a strong response to deviations of inflation from target and to the activity growth gap. In contrast, the response to the level of the output gap was not significant. In our empirical analysis we use real-time data, as available to policy-makers at the time. JEL Classification: E31, E32, E41, E52, E58