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Aus hundertseitigen, oftmals verstaubten Büchern zieht er mittels computerlinguistischer Methoden hochspannende Datensätze: Prof. Dr. Alexander Hillert koordiniert als Professor für Finance und Data Science das SAFE-Forschungsdatenzentrum. Jungen Forscherinnen und Forschern eine fundierte Methoden- und Datenkompetenz zu vermitteln, ist ihm ein großes Anliegen.
This policy note summarizes our assessment of financial sanctions against Russia. We see an increase in sanctions severity starting from (1) the widely discussed SWIFT exclusions, followed by (2) blocking of correspondent banking relationships with Russian banks, including the Central Bank, alongside secondary sanctions, and (3) a full blacklisting of the ‘real’ export-import flows underlying the financial transactions. We assess option (1) as being less impactful than often believed yet sending a strong signal of EU unity; option (2) as an effective way to isolate the Russian banking system, particularly if secondary sanctions are in place, to avoid workarounds. Option (3) represents possibly the most effective way to apply economic and financial pressure, interrupting trade relationships.
Der Koalitionsvertrag 2021 sieht eine generationengerechte Absicherung des Rentenniveaus durch eine teilweise aus Haushaltsmitteln finanzierte Kapitaldeckung vor. Um dieses Ziel zu verwirklichen, wird hier die Einführung einer Generationenrente ab Geburt vorgeschlagen. Dabei wird aus Haushaltsmitteln ein Betrag von € 5.000 für jedes Neugeborene nach Grundsätzen des professionellen Anlagemanagements am globalen Kapitalmarkt angelegt. Konzeptionell soll sich diese Generationenrente am Modell der Basisrente(§10 Abs. 1 Nr. 2 b EStG) orientieren, d.h. die akkumulierten Gelder sind weder beleihbar, vererbbar noch übertragbar und können frühestens ab Alter 63 zugunsten einer lebenslangen Monatsrente verwendet werden. Unsere Berechnungen zeigen, dass durch die hier vorgeschlagene Generationenrente unabhängig vom Verlauf der individuellen Erwerbsbiographie, Altersarmut für die vom demographischen Wandel besonders betroffenen zukünftigen Generationen vermieden wird.
Financial literacy affects wealth accumulation, and pension planning plays a key role in this relationship. In a large field experiment, we employ a digital pension aggregation tool to confront a treatment group with a simplified overview of their current pension claims across all pillars of the pension system. We combine survey and administrative bank data to measure the effects on actual saving behavior. Access to the tool decreases pension uncertainty for treated individuals. Average savings increase - especially for the financially less literate. We conclude that simplification of pension information can potentially reduce disparities in pension planning and savings behavior.
Financial ties between drug companies and medical researchers are thought to bias results published in medical journals. To enable readers to account for such bias, most medical journals require authors to disclose potential conflicts of interest. For such policies to be effective, conflict disclosure must modify readers’ beliefs. We therefore examine whether disclosure of financial ties with industry reduces article citations, indicating a discount. A challenge to estimating this effect is selection as drug companies may seek out higher quality authors as consultants or fund their studies, generating a positive correlation between disclosed conflicts and citations. Our analysis confirms this positive association. Including observable controls for article and author quality attenuates but does not eliminate this relation. To tease out whether other researchers discount articles with conflicts, we perform three tests. First, we show that the positive association is weaker for review articles, which are more susceptible to bias. Second, we examine article recommendations to family physicians by medical experts, who choose from articles that are a priori more homogenous in quality. Here, we find a significantly negative association between disclosure and expert recommendations, consistent with discounting. Third, we conduct an analysis within author and article, exploiting journal policy changes that result in conflict disclosure by an author. We examine the effect of this disclosure on citations to a previously published article by the same author. This analysis reveals a negative citation effect. Overall, we find evidence that disclosures negatively affect citations, consistent with the notion that other researchers discount articles with disclosed conflicts.
Previous studies document a relationship between gambling activity at the aggregate level and investments in securities with lottery-like features. We combine data on individual gambling consumption with portfolio holdings and trading records to examine whether gambling and trading act as substitutes or complements. We find that gamblers are more likely than the average investor to hold lottery stocks, but significantly less likely than active traders who do not gamble. Our results suggest that gambling behavior across domains is less relevant compared to other portfolio characteristics that predict investing in high-risk and high-skew securities, and that gambling on and off the stock market act as substitutes to satisfy the same need, e.g., sensation seeking.
Venture capital (VC) funds backed by large multi-fund families tend to perform substantially better due to cross-fund cash flows (CFCFs), a liquidity support mechanism provided by matching distributions and capital calls within a VC fund family. The dynamics of this mechanism coincide with the sensitivity of different stage projects owing to market liquidity conditions. We find that the early-stage funds demand relatively more intra-family CFCFs than later-stage funds during liquidity stress periods. We show that the liquidity improvement based on the timing of CFCF allocation reflects how fund families arrange internal liquidity provision and explains a large part of their outperformance.
We analyze how market fragmentation affects market quality of SME and other less actively traded stocks. Compared to large stocks, they are less likely to be traded on multiple venues and show, if at all, low levels of fragmentation. Concerning the impact of fragmentation on market quality, we find evidence for a hockey stick effect: Fragmentation has no effect for infrequently traded stocks, a negative effect on liquidity of slightly more active stocks, and increasing benefits for liquidity of large and actively traded stocks. Consequently, being traded on multiple venues is not necessarily harmful for SME stock market quality.
In the aftermath of the Wirecard scandal the German lead stock market index DAX has undergone a series of reforms, including the introduction of a profitability criterion based on EBITDA for new DAX members and enhanced financial reporting requirements with specified sanctions for non-compliance. Furthermore, DAX members need to adhere to certain provisions in the German Corporate Governance Code relating to audit committees. The final step of the reform was implemented in September 2021: the extension of the DAX from 30 to 40 constituents, with the ranking based solely on the free float market capitalisation. After one year of experience with the new design of the DAX, this paper concludes that the reform has strengthened the DAX in terms of diversification, quality and adaptability. However, there is still room for further improvement by introducing a minimum ESG score for DAX companies and thus making sustainability a relevant factor in the selection process. In addition, full compliance with the recommendations of the German Corporate Governance Code should be a condition for DAX companies. Furthermore, the profitability criterion should be applied on a continuous basis to ensure that loss-making companies can be excluded from the DAX after a grace period.
The author proposes a Differential-Independence Mixture Ensemble (DIME) sampler for the Bayesian estimation of macroeconomic models.It allows sampling from particularly challenging, high-dimensional black-box posterior distributions which may also be computationally expensive to evaluate. DIME is a “Swiss Army knife”, combining the advantages of a broad class of gradient-free global multi-start optimizers with the properties of a Monte Carlo Markov chain (MCMC). This includes fast burn-in and convergence absent any prior numerical optimization or initial guesses, good performance for multimodal distributions, a large number of chains (the “ensemble”) running in parallel, an endogenous proposal density generated from the state of the full ensemble, which respects the bounds of the prior distribution. The author shows that the number of parallel chains scales well with the number of necessary ensemble iterations.
DIME is used to estimate the medium-scale heterogeneous agent New Keynesian (“HANK”) model with liquid and illiquid assets, thereby for the first time allowing to also include the households’ preference parameters. The results mildly point towards a less accentuated role of household heterogeneity for the empirical macroeconomic dynamics.