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21
The risk of deflation
(2009)
This paper was prepared for the meeting on Financial Regulation and Macroeconomic Stability: Key issues for the G20, organised by the CEPR and the Reinventing Bretton Woods Committee, London, 31 January 2009. Introduction: The onset of financial instability in August 2007, which quickly spread across the world, raises a number of questions for policy makers. First, what are the roots of the crisis? Many factors have been emphasized in the debate, including the opacity of complex financial products; the excessive confidence in ratings; weak risk management by financial institutions; massive reliance on wholesale funding; and the presumption that markets would always be liquid. Furthermore, poorly understood incentive effects – arising from the originate-to-distribute-model, remuneration policies and the period of low interest rates – are also widely seen as having played a role. Second, how can a repetition of the crisis can be avoided? Much attention is being focused on regulation and supervision of financial intermediaries. The G-20, at its summit in November 2008, noted that measures need to be taken in five areas: (i) financial market transparency and disclosure by firms need to be strengthened; (ii) regulation needs to be enhanced to ensure that all financial markets, products and participants are regulated or subject to oversight, as appropriate; (iii) the integrity of financial markets should be improved by bolstering investor and consumer protection, avoiding conflicts of interest, and by promoting information sharing; (iv) international cooperation among regulators must be enhanced; and (v) international financial institutions must be reformed to reflect changing economic weights in the world economy better in order to increase the legitimacy and effectiveness of these institutions. Third, how can the consequences for economic activity be minimized? Many of the adverse developments in financial markets – in particular the collapse of term interbank markets – reflect deeply entrenched perceptions of counterparty risk. Prompt and far-reaching action to support the financial system, in particular the infusion of equity capital in financial institutions to reduce counter-party risk and get credit to flow again, is essential in order to restore market functioning. A particular risk at present is that the rapid decline in inflation in many countries in recent months will turn into deflation with highly adverse real economic developments. This background paper considers how large the risk of deflation may be and discusses what policy can do to reduce it. It is organized as follows. Section 2 defines deflation and discusses downward nominal wage rigidities and the zero lower bound on interest rates. While these factors are frequently seen as two reasons why deflation can be associated with very poor economic outcomes, they should not be overemphasized. Section 3 looks at the current situation. Inflation expectations and forecasts in the subset of economies we look at (the euro area, the UK and the US) are positive, indicating that deflation is not expected. This does not imply that the current concerns of deflation are unwarranted, only that the public expects the central bank to be successful in avoiding deflation. The section also looks at the evolution of headline and “core” inflation, focusing on data from the US and the euro area. Section 4 reviews how monetary and fiscal policy can be conducted to ensure that deflation is avoided. Section 5 briefly discusses special issues arising in emerging market economies. Finally, Section 6 offers some conclusions. An Appendix discusses deflation episodes in the period 1882-1939.
22
This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980-2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have a limited impact, shocks to equity prices have sizeable effects. The results suggest that equity prices impact on the current account through their effects on real activity and exchange rates. Furthermore, shocks to exchange rates play a key role as well. Keywords: current account fluctuations, equity prices, panel vector autoregression
23
I. EINLEITUNG II. VORSCHLAG DER WIRTSCHAFTSRECHTLICHEN ABTEILUNG ZUM 67. DEUTSCHEN JURISTENTAG 1. Darstellung und Begriffsbestimmung 2. Begründung III. BEDEUTUNG DES AUßERBÖRSLICHEN HANDELS IN DEUTSCHLAND IV. RECHTSVERGLEICHENDE BETRACHTUNG VON AKTIEN- UND KAPITALMARKTRECHT 1. Deutschland a) Organisation des Kapitalmarktes b) Differenzierung im Rahmen des Aktienrechts 2. Großbritannien a) Organisation des Kapitalmarktes b) Differenzierungen im „Companies Act 2006“ 3. USA a) Rechtsquellen des Kapitalgesellschafts- und Kapitalmarktrechts b) Organisation des Kapitalmarktes c) Kapitalgesellschaftsrecht V. STELLUNGNAHME 1. Anknüpfung der vorhandenen Regelungen an die Kapitalmarktorientierung 2. Verwischung der Grenzen zwischen Aktien- und Kapitalmarktrecht 3. Missbrauchsgefahr durch selbstbestimmte Wahl der Satzungsstrenge 4. Bisherige Reformansätze im deutschen Schrifttum 5. Die Abkehr von einer Differenzierung im Aktienrecht in der aktuellen Reformdiskussion 6. Ökonomische Analyse des Aktienrechts („Opt-In-Modell“) VI. FAZIT: Der Deregulierungsansatz, der eine Differenzierung zwischen börsen- und nichtbörsennotierten Aktiengesellschaften vorsieht, ist nicht zu befürworten. Vor dem Hintergrund der rechtsvergleichenden Betrachtung der Beispiele Großbritannien und der USA stellt sich vielmehr eine kapitalmarktorientierte Differenzierung der Anlegerschutzbestimmungen des Aktienrechts als vorzugswürdig dar. Die Anknüpfung von Deregulierungsmaßnahmen an das Kriterium der Kapitalmarktorientierung findet sich im Ansatz auch im bereits geltenden deutschen Recht. So enthält sowohl das Aktienrecht als auch das Kapitalmarktrecht entsprechend differenzierende Regelungen. Zudem weisen auch aktuelle nationale Gesetzesvorhaben und die Entwicklungen im europäischen Gesellschaftsrecht Tendenzen zu einer Abgrenzung nach dem Kriterium der Kapitalmarktferne oder -offenheit auf. Auch birgt der enge Anwendungsbereich der zwingenden Anlegerschutznormen des Aktienrechts auf börsennotierte Aktiengesellschaften erhebliche Missbrauchsrisiken. Aktiengesellschaften könnten in den außerbörslichen Handel wechseln, um in den Genuss von Deregulierungen und geringeren Transparenz- und Anlegerschutzanforderungen zu kommen. Letztlich folgt der Vorzug einer kapitalmarktorientierten Differenzierung auch aus der aktuellen Diskussion um Reformansätze zur Steigerung der Wettbewerbsfähigkeit des deutschen Gesellschafts- und Kapitalmarktrechts. Die in diesem Zusammenhang geforderte Aufhebung der Satzungsstrenge bei gleichzeitiger Normierung entsprechender Informations- und Anlegerschutzpflichten im Kapitalmarktrecht würde dazu führen, dass an bestehende Differenzierungen des Kapitalmarktrechts angeknüpft werden könnte.
24
Der Präsident der Europäischen Kommission, José Manuel Barroso, hat im Oktober 2008 eine Gruppe von Sachverständigen unter Vorsitz des früheren Präsidenten des Internationalen Währungsfonds (IWF) und der Banque de France, Jacques de Larosière, mit der Ausarbeitung von Ratschlägen zur Zukunft der europäischen Finanzregulierung („financial regulation“) und Aufsicht („supervision“) beauftragt. Die Gruppe hat ihren Bericht am 25. Februar 2009 vorgelegt. Kapitel III des Berichts behandelt das Aufsichtssystem auf EU-Ebene und gelangt im Wesentlichen zu zwei Empfehlungen: - Errichtung einer präventiv tätigen, institutsübergreifenden („macroprudential“) Aufsichtseinrichtung mit dem Namen „European Systemic Risk Council“ [ESRC] - Umwandlung der bestehenden Ebene-3 Ausschüsse („3L3 committees“) in ein neues europäisches System von Finanzaufsicht [ESFS] mit hoheitlichen Funktionen Vor allem die geforderte Neustrukturierung der Aufsicht ist unter verschiedenen Gesichtspunkten kritisch zu würdigen. Die Erwägungen konzentrieren sich dabei auf die Frage, ob die Umsetzung der Vorschläge ohne Änderung des primären Gemeinschaftsrechts möglich erscheint. Der Abschluss von separaten Verwaltungsabkommen oder von Staatsverträgen, mit denen ad hoc neue Einrichtungen geschaffen werden könnten, soll im Folgenden nicht weiter untersucht werden. Zwar könnte auf diese Weise ein vollständiger Rechtsrahmen für Aufsichtseinrichtungen auf EU-Ebene geschaffen werden. Er könnte auch die Grundlage für die Übertragung von Hoheitsbefugnissen bilden, doch wäre dies mit gravierenden Nachteilen verbunden. Es ist keineswegs sicher, dass alle Mitglieder der EU eine solche Vereinbarung unterzeichnen würden, so dass unterschiedliche Aufsichtssysteme entstehen würden. Einer der Hauptgründe für eine Aufsicht auf europäischer Ebene würde verfehlt. Zum anderen würde eine institutionelle Parallelstruktur im Kernbereich der EU, dem gemeinsamen Binnenmarkt mit den Grundfreiheiten, geschaffen, die zahlreiche gravierende Probleme der Koordination und Abstimmung zwischen diesen, voneinander unabhängigen Systemen hervorrufen würde.
25
Aus der Vielzahl der damit verbundenen Probleme sollen im Folgenden einige Aspekte etwas näher betrachtet werden. Dabei sollen die Maßnahmen zur unmittelbaren Krisenbewältigung ausgeklammert werden. Auch können die drängenden Fragen nach der Rolle der Geldpolitik sowie der globalen außenwirtschaftlichen Ungleichgewichte, die beide einen erheblichen, wenn nicht gar entscheidenden Beitrag zur Entstehung der Instabilitäten geleistet haben,19 hier nicht näher behandelt werden. Das Hauptaugenmerk soll stattdessen auf folgende Fragenkreise gelegt werden: I. Der Beitrag der Rechtsordnung zu Entstehung und Verlauf der Krise II. Verbesserung von Aufsicht und Kontrolle als Kern einer Neugestaltung III. Die Rolle der Ratingagenturen IV. Die reale Bedeutung von Finanzmärkten und Finanzinstitutionen V. Überlegungen zur Prävention Dabei sollen nicht Detailregelungen im Vordergrund der Betrachtung stehen, sondern die grundsätzliche Rolle der Rechtsordnung für die Stabilisierung der Finanzmärkte.
26
Inhalt: Prof. Dr. Helmut Siekmann : Stellungnahme für die öffentliche Anhörung des Haushalts- und Finanzausschusses des Landtags Nordrhein-Westfalen am 29. Oktober 2009 Gesetzentwurf der Landesregierung NRW : LANDTAG NORDRHEIN-WESTFALEN 14. Wahlperiode - Drucksache 14/9380 - 10.06.2009 Gesetz über die Feststellung eines zweiten Nachtrags zum Haushaltsplan des Landes Nordrhein-Westfalen für das Haushaltsjahr 2009 und zur Änderung des Gesetzes zur Errichtung eines Fonds für eine Inanspruchnahme des Landes Nordrhein-Westfalen aus der im Zusammenhang mit der Risikoabschirmung zugunsten der WestLB AG erklärten Garantie (Zweites Nachtragshaushaltsgesetz 2009) - Auszug Ergänzung der Landesregierung NRW zu dem Gesetzentwurf der Landesregierung - Drucksache 14/9380 (Zweites Nachtragshaushaltsgesetz 2009) - Drucksache 14/9510 – 01.07.2009 - Auszug Zweite Ergänzung der Landesregierung zu dem Gesetzentwurf der Landesregierung - Drucksachen 14/9380 und 14/9510 (1. Ergänzung) - Drucksache 14/9910 – 02.10.2009 - Auszug
27
This paper presents a novel model of the lending process that takes into account that loan officers must spend time and effort to originate new loans. Besides generating predictions on loan officers’ compensation and its interaction with the loan review process, the model sheds light on why competition could lead to excessively low lending standards. We also show how more intense competition may fasten the adoption of credit scoring. More generally, hard-information lending techniques such as credit scoring allow to give loan officers high-powered incentives without compromising the integrity and quality of the loan approval process. The model is finally applied to study the implications of loan sales on the adopted lending process and lending standard.
28
Corporate borrowers care about the overall riskiness of a bank’s operations as their continued access to credit may rely on the bank’s ability to roll over loans or to expand existing credit facilities. As we show, a key implication of this observation is that increasing competition among banks should have an asymmetric impact on banks’ incentives to take on risk: Banks that are already riskier will take on yet more risk, while their safer rivals will become even more prudent. Our results offer new guidance for bank supervision in an increasingly competitive environment and may help to explain existing, ambiguous findings on the relationship between competition and risk-taking in banking. Furthermore, our results stress the beneficial role that competition can have for financial stability as it turns a bank’s "prudence" into an important competitive advantage.
29
We study a model of “information-based entrenchment” in which the CEO has private information that the board needs to make an efficient replacement decision. Eliciting the CEO’s private information is costly, as it implies that the board must pay the CEO both higher severance pay and higher on-the-job pay. While higher CEO pay is associated with higher turnover in our model, there is too little turnover in equilibrium. Our model makes novel empirical predictions relating CEO turnover, severance pay, and on-the-job pay to firm-level attributes such as size, corporate governance, and the quality of the firm’s accounting system.
30
This paper shows that active investors, such as venture capitalists, can affect the speed at which new ventures grow. In the absence of product market competition, new ventures financed by active investors grow faster initially, though in the long run those financed by passive investors are able to catch up. By contrast, in a competitive product market, new ventures financed by active investors may prey on rivals that are financed by passive investors by “strategically overinvesting” early on, resulting in long-run differences in investment, profits, and firm growth. The value of active investors is greater in highly competitive industries as well as in industries with learning curves, economies of scope, and network effects, as is typical for many “new economy” industries. For such industries, our model predicts that start-ups with access to venture capital may dominate their industry peers in the long run. JEL Classifications: G24; G32 Keywords: Venture capital; dynamic investment; product market competition
31
This paper argues that banks must be sufficiently levered to have first-best incentives to make new risky loans. This result, which is at odds with the notion that leverage invariably leads to excessive risk taking, derives from two key premises that focus squarely on the role of banks as informed lenders. First, banks finance projects that they do not own, which implies that they cannot extract all the profits. Second, banks conduct a credit risk analysis before making new loans. Our model may help understand why banks take on additional unsecured debt, such as unsecured deposits and subordinated loans, over and above their existing deposit base. It may also help understand why banks and finance companies have similar leverage ratios, even though the latter are not deposit takers and hence not subject to the same regulatory capital requirements as banks.
32
We present a simple model of personal finance in which an incumbent lender has an information advantage vis-a-vis both potential competitors and households. In order to extract more consumer surplus, a lender with sufficient market power may engage in "irresponsible"lending, approving credit even if this is knowingly against a household’s best interest. Unless rival lenders are equally well informed, competition may reduce welfare. This holds, in particular, if less informed rivals can free ride on the incumbent’s superior screening ability.
33
We analyze how two key managerial tasks interact: that of growing the business through creating new investment opportunities and that of providing accurate information about these opportunities in the corporate budgeting process. We show how this interaction endogenously biases managers toward overinvesting in their own projects. This bias is exacerbated if managers compete for limited resources in an internal capital market, which provides us with a novel theory of the boundaries of the firm. Finally, managers of more risky and less profitable divisions should obtain steeper incentives to facilitate efficient investment decisions.
34
This article shows that investors financing a portfolio of projects may use the depth of their financial pockets to overcome entrepreneurial incentive problems. Competition for scarce informed capital at the refinancing stage strengthens investors’ bargaining positions. And yet, entrepreneurs’ incentives may be improved, because projects funded by investors with ‘‘shallow pockets’’ must have not only a positive net present value at the refinancing stage, but one that is higher than that of competing portfolio projects. Our article may help understand provisions used in venture capital finance that limit a fund’s initial capital and make it difficult to add more capital once the initial venture capital fund is raised. (JEL G24, G31)
35
This paper considers a firm that has to delegate to an agent, such as a mortgage broker or a security dealer, the twin tasks of approaching and advising customers. The main contractual restriction, in particular in light of related research in Inderst and Ottaviani (2007), is that the firm can only compensate the agent through commissions. This standard contracting restriction has the following key implications. First, the firm can only ensure internal compliance to a "standard of sales", in terms of advice for the customer, if this standard is not too high. Second, if this is still feasible, then a higher standard is associated with higher, instead of lower, sales commissions. Third, once the limit for internal compliance is approached, tougher regulation and prosecution of "misselling" have (almost) no effect on the prevailing standard. Besides having practical implications, in particular on how to (re-)regulate the sale of financial products, the novel model, which embeds a problem of advice into a framework with repeated interactions, may also be of separate interest for future work on sales force compensation. JEL Classification: D18 (Consumer Protection), D83 (Search; Learning; Information and Knowledge), M31 (Marketing), M52 (Compensation and Compensation Methods and Their Effects).
36
Misselling through agents
(2009)
This paper analyzes the implications of the inherent conflict between two tasks performed by direct marketing agents: prospecting for customers and advising on the product's "suitability" for the specific needs of customers. When structuring sales-force compensation, firms trade off the expected losses from "misselling" unsuitable products with the agency costs of providing marketing incentives. We characterize how the equilibrium amount of misselling (and thus the scope of policy intervention) depends on features of the agency problem including: the internal organization of a firm's sales process, the transparency of its commission structure, and the steepness of its agents' sales incentives. JEL Classification: D18 (Consumer Protection), D83 (Search; Learning; Information and Knowledge), M31 (Marketing), M52 (Compensation and Compensation Methods and Their Effects).
37
Over the past few decades, changes in market conditions such as globalisation and deregulation of financial markets as well as product innovation and technical advancements have induced financial institutions to expand their business activities beyond their traditional boundaries and to engage in cross-sectoral operations. As combining different sectoral businesses offers opportunities for operational synergies and diversification benefits, financial groups comprising banks, insurance undertakings and/or investment firms, usually referred to as financial conglomerates, have rapidly emerged, providing a wide range of services and products in distinct financial sectors and oftentimes in different geographic locations. In the European Union (EU), financial conglomerates have become part of the biggest and most active financial market participants in recent years. Financial conglomerates generally pose new problems for financial authorities as they can raise new risks and exacerbate existing ones. In particular, their cross-sectoral business activities can involve prudentially substantial risks such as the risk of regulatory arbitrage and contagion risk arising from intra-group transactions. Moreover, the generally large size of financial conglomerates as well as the high complexity and interconnectedness of their corporate structures and risk exposures can entail substantial systemic risk and can therefore threaten the stability of the financial system as a whole. Until a few years ago, there was no supervisory framework in place which addressed a financial conglomerate in its entirety as a group. Instead, each group entity within a financial conglomerate was subject to the supervisory rules of its pertinent sector only. Such silo supervisory approach had the drawback of not taking account of risks which arise or aggravate at the group level. It also failed to consider how the risks from different business lines within the group interrelate with each other and affect the group as a whole. In order to address this lack of group-wide prudential supervision of financial conglomerates, the European legislator adopted the Financial Conglomerates Directive 2002/87/EC8 (‘FCD’) on 16 December 2002. The FCD was transposed into national law in the member states of the EU (‘Member States’) by 11 August 2004 for application to financial years beginning on 1 January 2005 and after. The FCD primarily aims at supplementing the existing sectoral directives to address the additional risks of concentration, contagion and complexity presented by financial conglomerates. It therefore provides for a supervisory framework which is applicable in addition to the sectoral supervision. Most importantly, the FCD has introduced additional capital requirements at the conglomerate level so as to prevent the multiple use of the same capital by different group entities. This paper seeks to examine to what extent the FCD provides for an adequate capital regulation of financial conglomerates in the EU while taking into account the underlying sectoral capital requirements and the inherent risks associated with financial conglomerates. In Part 1, the definition and the basic corporate models of financial conglomerates will be presented (I), followed by an illustration of the core motives behind the phenomenon of financial conglomeration (II) and an overview of the development of the supervision over financial conglomerates in the EU (III). Part 2 begins with a brief elaboration on the role of regulatory capital (I) and gives a general overview of the EU capital requirements applicable to banks and insurance undertakings respectively. A delineation of the commonalities and differences of the banking and the insurance capital requirements will be provided (II). It continues to further examine the need for a group-wide capital regulation of financial conglomerates and analyses the adequacy of the FCD capital requirements. In this context, the technical advice rendered by the Joint Committee on Financial Conglomerates (JCFC) as well as the currently ongoing legislative reforms at the EU level will be discussed (III). The paper finally closes with a conclusion and an outlook on remaining open issues (IV).
38
40
ZUSAMMENFASSUNG UND ERGEBNISSE (1) Die Schaffung des Europäischen Ausschusses für Systemrisiken stößt nicht auf durchgreifende rechtliche Bedenken. (2) Es ist nicht sicher, dass die Errichtung der neuen Europäischen Aufsichtbehörden ohne entsprechende Änderung des Primärrechts zulässig ist. (3) Es kommt entscheidend darauf an, welche rechtsverbindlichen Einzelweisungsbefugnisse tatsächlich den Behörden verliehen werden. (4) Die nach dem Kompromiss vom 2. Dezember 2009 noch verbliebenen Einzelweisungsbefugnisse der Behörden gegenüber Privaten und gegenüber nationalen Aufsichtsbehörden sind rechtlich kaum abgesichert. (5) Wenn die hoheitlichen Befugnisse weitgehend oder vollständig beseitigt werden, bestehen Bedenken im Hinblick auf die Geeignetheit und Erforderlichkeit der Einrichtungen. (6) Die weitreichenden Unabhängigkeitsgarantien sind nicht mit den Anforderungen demokratischer Aufsicht und Kontrolle zu vereinbaren. (7) Für die Einräumung von Unabhängigkeit ist nach deutschem Verfassungsrecht eine ausdrückliche Regelung in der Verfassung, wie in Art. 88 Satz 2 GG, erforderlich. (8) Die transnationale Kooperation von Verwaltungsbehörden bedarf zumindest dann einer gesetzlichen Ermächtigung, wenn faktisch verbindliche Entscheidungen getroffen werden.
40 [v.2]
ZUSAMMENFASSUNG UND ERGEBNISSE (1) Die Schaffung des Europäischen Ausschusses für Systemrisiken stößt nicht auf durchgreifende rechtliche Bedenken. (2) Es ist nicht sicher, dass die Errichtung der neuen Europäischen Aufsichtbehörden ohne entsprechende Änderung des Primärrechts zulässig ist. (3) Es kommt entscheidend darauf an, welche rechtsverbindlichen Einzelweisungsbefugnisse tatsächlich den Behörden verliehen werden. (4) Die nach dem Kompromiss vom 2. Dezember 2009 noch verbliebenen Einzelweisungsbefugnisse der Behörden gegenüber Privaten und gegenüber nationalen Aufsichtsbehörden sind rechtlich kaum abgesichert. (5) Wenn die hoheitlichen Befugnisse weitgehend oder vollständig beseitigt werden, bestehen Bedenken im Hinblick auf die Geeignetheit und Erforderlichkeit der Einrichtungen. (6) Die weitreichenden Unabhängigkeitsgarantien sind nicht mit den Anforderungen demokratischer Aufsicht und Kontrolle zu vereinbaren. (7) Für die Einräumung von Unabhängigkeit ist nach deutschem Verfassungsrecht eine ausdrückliche Regelung in der Verfassung, wie in Art. 88 Satz 2 GG, erforderlich. (8) Die transnationale Kooperation von Verwaltungsbehörden bedarf zumindest dann einer gesetzlichen Ermächtigung, wenn faktisch verbindliche Entscheidungen getroffen werden.
41
Zusammenfassung und Ergebnisse Es ist noch zu früh, eine abschließende Bewertung der Entwicklung auf den Finanzmärkten während der letzten zwei Jahre vorzunehmen. In jedem Fall sind aber alle Regelungen auf den Prüfstand zu stellen. Das Aufsichtsrecht hat insgesamt seine Aufgabe, Finanzstabilität zu gewährleisten, nicht erfüllt. Wesentliche Schritte für eine grundlegende Reform sind: - ein striktes Verständnis des Aufsichtsrechts als Sonderordnungsrecht - eine drastische Reduktion der Komplexität der Rechtsvorschriften - die Internationalisierung und Europäisierung der Aufsicht - die Steigerung der Transparenz der Verbriefung einschließlich eines möglichen Zulassungsverfahrens und des Verbots bestimmter gefährlicher „Produkte“ - die vollständige Neuausrichtung der Bewertung von Finanzunternehmen und ihrer „Produkte“ („ratings“) - Die Schaffung geeigneter Regeln und Verfahren, um auch systemisch relevante Institutionen der Marktdisziplin, also ihrem Untergang, auszusetzen - Die Grundlage für kurzfristige Entscheidung über Fortführung, Zerlegung oder Abwicklung eines Instituts als Maßnahme der Gefahrenabwehr muss geschaffen werden. Ein Sonderinsolvenzrecht für Banken ist nicht angezeigt - Die Einbeziehung des menschlichen Verhaltens und der Persönlichkeitsstruktur der maßgebenden Personen in den Finanzinstitutionen
42
43 [v.2]
45
The European Monetary Union euro has done very well since its initiation. Price stability has been secured and the external value of the new currency is more than satisfactory. The confidence in it is also shown by its increasing use as a global reserve currency. It has been a stabilizing factor in the current crisis. The recent budgetary problems of some member states are principally not a problem of the Monetary Union. It is therefore in no way justified to speak of a "Euro-crisis". It is true, however, that the Monetary Union restricts the number of possibilities for member states to solve their financial problems but it does not eliminate them entirely that outside help would have become indispensible. The purchase of debt instruments of member states in financial distress by the ECB is questionable from an economic, and more important, from a legal point of view. The longer the duration, the less legally justifiable is it. Financial support for member states in severe financial distress might be acceptable as a temporary crisis resolution mechanism. A permanent support mechanism needs a basis in the primary law of the EU. The treatment of the risk of "sovereign" debt in the legal framework for financial institutions urgently needs improvement. Especially the capital requirements for credit institutions have to be adjusted.
46
This paper proposes a new approach for modeling investor fear after rare disasters. The key element is to take into account that investors’ information about fundamentals driving rare downward jumps in the dividend process is not perfect. Bayesian learning implies that beliefs about the likelihood of rare disasters drop to a much more pessimistic level once a disaster has occurred. Such a shift in beliefs can trigger massive declines in price-dividend ratios. Pessimistic beliefs persist for some time. Thus, belief dynamics are a source of apparent excess volatility relative to a rational expectations benchmark. Due to the low frequency of disasters, even an infinitely-lived investor will remain uncertain about the exact probability. Our analysis is conducted in continuous time and offers closed-form solutions for asset prices. We distinguish between rational and adaptive Bayesian learning. Rational learners account for the possibility of future changes in beliefs in determining their demand for risky assets, while adaptive learners take beliefs as given. Thus, risky assets tend to be lower-valued and price-dividend ratios vary less under adaptive versus rational learning for identical priors. Keywords: beliefs, Bayesian learning, controlled diffusions and jump processes, learning about jumps, adaptive learning, rational learning. JEL classification: D83, G11, C11, D91, E21, D81, C61
48
(1) Unter „öffentlichen Banken“ sind Kreditinstitute in unmittelbarer oder mittelbarer Trägerschaft einer Gebietskörperschaft zu verstehen.
(2) Eine Bestandsaufnahme ergibt, dass ein nennenswerter Teil der „öffentlichen Banken“ materiell privatisiert oder stark umgeformt worden ist.
(3) Die Sicherung der Kunden durch Anstaltslast und Gewährträgerhaftung ist weitgehend beseitigt worden, ohne dass dies den Betroffenen hinreichend deutlich gemacht worden ist.
(4) Die bestehenden „öffentlichen Banken“ sind deutlich vielgestaltiger organisiert als noch vor wenigen Jahren.
(5) Auch „öffentliche Banken“ unterliegen regelmäßig der „allgemeinen“ Aufsicht und Kontrolle, wie sie für privatwirtschaftliche Institute in ihrer jeweiligen Rechtsform gelten.
(6) Darüber hinaus ist aus verfassungsrechtlichen Gründen eine besondere Leitung, Aufsicht und Kontrolle der „öffentliche Banken“ durch ihr Trägergemeinwesen erforderlich; nicht zuletzt um die Einhaltung ihres besonderen öffentlichen Auftrags kontrollieren zu können.
(7) Die Prüfung durch Wirtschafsprüfer kann diese Aufgaben nicht erfüllen.
(8) Sie ist an erster Stelle Aufgabe der Exekutive des Trägergemeinwesens.
(9) Eine bloße Rechtsaufsicht ist verfassungsrechtlich problematisch, jedenfalls dann wenn eine Einstandspflicht des Trägergemeinwesens besteht.
(10) Die Mitwirkung in Aufsichtsgremien der „öffentliche Banken“ ist keine hinreichende Aufsicht in diesem Sinne.
(11) Darüber hinaus sind die parlamentarische Kontrolle und die Kontrolle durch die Rechnungshöfe ganz wesentlich.
(12) Die Kontrolle durch Sicherungseinrichtungen kann wirksam und sinnvoll sein.
(13) Öffentlich-rechtliche und privatrechtliche Mischformen dürfen nicht zu einer Ausdünnung von Aufsicht und Kontrolle führen.
(14) Der Einsatz des Instituts der Beleihung ist nur dann rechtlich akzeptabel, wenn ein durchgehender Aufsichts- und Leitungsstrang auch gegenüber dem Beliehenen gesichert ist.
(15) Überlegungen zur Neuordnung der „öffentlichen Banken“ müssen zuerst die Frage beantworten, ob und welche Bankdienstleistungen der Staat unmittelbar oder mittelbar anbieten sollte.
(16) Eine Grundversorgung der Bevölkerung mit einfachen Bankdienstleistungen, die sicher, einfach, kostengünstig und leicht erreichbar sind, ist eine staatliche Aufgabe. Hier liegt in weitem Umfang Marktversagen vor.
(17) Ob ein reformiertes Einlagensicherungssystem die notwendige Sicherheit bieten kann, ist zweifelhaft, solange keine Staatsgarantie für die Sicherungseinrichtungen besteht.
(18) Es ist an eine Reaktivierung von Anstaltslast und Gewährträgerhaftung für einfache Institute zur Grundversorgung der Bevölkerung zu denken.
(19) Leitung und Kontrolle des Managements „öffentlicher Banken“ müssen wesentlich strenger werden, um jegliche Risiken für die öffentlichen Haushalte auszuschließen. Gehaltsmäßig muss ihre Leitung so uninteressant sein, dass sie weder für Politiker noch für „Finanzingenieure“ attraktiv ist.
49
In the aftermath of the global financial crisis, the state of macroeconomicmodeling 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
50
This paper characterises optimal monetary policy in an economy with endogenous
firm entry, a cash-in-advance constraint and preset wages. Firms must make pro
fits to cover entry costs; thus the markup on goods prices is efficient. However, because leisure is not priced at a markup, the consumption-leisure tradeoff is distorted. Consequently, the real wage, hours and production are suboptimally low. Due to the labour requirement in entry, insufficient labour supply also implies that entry is too low. The paper shows that in the absence of
fiscal instruments such as labour income subsidies, the optimal monetary policy under sticky wages achieves higher welfare than under flexible wages. The policy maker uses the money supply instrument to raise the real wage - the cost of leisure - above its flexible-wage level, in response to expansionary shocks to productivity and entry costs. This raises labour supply, expanding production and
rm entry.
51
How do changes in market structure affect the US business cycle? We estimate a monetary DSGE model with endogenous
rm/product entry and a translog expenditure function by Bayesian methods. The dynamics of net business formation allow us to identify the 'competition effect', by which desired price markups and inflation decrease when entry rises. We
find that a 1 percent increase in the number of competitors lowers desired markups by 0.18 percent. Most of the cyclical variability in inflation is driven by markup fluctuations due to sticky prices or exogenous shocks rather than endogenous changes in desired markups.
52
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.
53
I characterize optimal monetary and fiscal policy in a stochastic New Keynesian model when nominal interest rates may occasionally hit the zero lower bound. The benevolent policymaker controls the short-term nominal interest rate and the level of government spending. Under discretionary policy, accounting for fiscal stabilization policy eliminates to a large extent the welfare losses associated with the presence of the zero bound. Under commitment, the gains associated with the use of the fiscal policy tool remain modest, even though fiscal stabilization policy is part of the optimal policy mix.
54
This paper outlines relatively easy to implement reforms for the supervision of transnational banking-groups in the E.U. that should not be primarily based on legal form but on the actual risk structures of the pertinent financial institutions. The proposal also aims at paying close attention to the economics of public administration and international relations in allocating competences among national and supranational supervisory bodies. Before detailing the own proposition, this paper looks into the relationship between sovereign debt and banking crises that drive regulatory reactions to the financial turmoil in the Euro area. These initiatives inter alia affirm effective prudential supervision as a pivotal element of crisis prevention. In order to arrive at a more informed idea, which determinants apart from a perceived appetite for regulatory arbitrage drive banks’ organizational choices, this paper scrutinizes the merits of either a branch or subsidiary structure for the cross-border business of financial institutions. In doing so, it also considers the policy-makers perspective. The analysis shows that no one size fits all organizational structure is available and concludes that banks’ choices should generally not be second-guessed, particularly because they are subject to (some) market discipline. The analysis proceeds with describing and evaluating how competences in prudential supervision are currently allocated among national and supranational supervisory authorities. In order to assess the findings the appraisal adopts insights form the economics of public administration and international relations. It argues that the supervisory architecture has to be more aligned with bureaucrats’ incentives and that inefficient requirements to cooperate and share information should be reduced. Contrary to a widespread perception, shifting responsibility to a supranational authority cannot solve all the problems identified. Resting on these foundations, the last part of this paper finally sketches an alternative solution that dwells on far-reaching mutual recognition of national supervisory regimes and allocates competences in line with supervisors’ incentives and the risk inherent in crossborder banking groups.
55
In this paper, I introduce lumpy micro-level capital adjustment into a sticky information general equilibrium model. Lumpy adjustment arises because of inattentiveness in capital investment decisions instead of the more common assumption of non-convex adjustment costs. The model features inattentiveness as the only source of stickiness. I find that the model with lumpy investment yields business cycle dynamics which differ substantially from those of an otherwise identical model with frictionless investment and are much more consistent with the empirical evidence. These results therefore strengthen the case in favour of the relevance of microeconomic investment lumpiness for the business cycle.
56
Motivated by the U.S. events of the 2000s, we address whether a too low for too long interest rate policy may generate a boom-bust cycle. We simulate anticipated and unanticipated monetary policies in state-of-the-art DSGE models and in a model with bond financing via a shadow banking system, in which the bond spread is calibrated for normal and optimistic times. Our results suggest that the U.S. boom-bust was caused by the combination of (i) too low for too long interest rates, (ii) excessive optimism and (iii) a failure of agents to anticipate the extent of the abnormally favorable conditions.
57
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.
58
The withdrawal of foreign capital from emerging countries at the height of the recent financial crisis and its quick return sparked a debate about the impact of capital flow surges on asset markets. This paper addresses the response of property prices to an inflow of foreign capital. For that purpose we estimate a panel VAR on a set of Asian emerging market economies, for which the waves of inflows were particularly pronounced, and identify capital inflow shocks based on sign restrictions. Our results suggest that capital inflow shocks have a significant effect on the appreciation of house prices and equity prices. Capital inflow shocks account for - roughly - twice the portion of overall house price changes they explain in OECD countries. We also address crosscountry differences in the house price responses to shocks, which are most likely due to differences in the monetary policy response to capital inflows.
59
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.
60
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.
61
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.
63
We use a novel disaggregate sectoral euro area data set with a regional breakdown to investigate price changes and suggest a new method to extract factors from over-lapping data blocks. This allows us to separately estimate aggregate, sectoral, country-specific and regional components of price changes. We thereby provide an improved estimate of the sectoral factor in comparison with previous literature, which decomposes price changes into an aggregate and idiosyncratic component only, and interprets the latter as sectoral. We find that the sectoral component explains much less of the variation in sectoral regional inflation rates and exhibits much less volatility than previous findings for the US indicate. We further contribute to the literature on price setting by providing evidence that country- and region-specific factors play an important role in addition to the sector-specific factors, emphasising heterogeneity of inflation dynamics along different dimensions. We also conclude that sectoral price changes have a “geographical” dimension, that leads to new insights regarding the properties of sectoral price changes.
65
Missachtung rechtlicher Vorgaben des AEUV durch die Mitgliedstaaten und die EZB in der Schuldenkrise
(2012)
Zusammenfassung und Ergebnisse
1. Es gibt gute Argumente für ein generelles Verbot (freiwilliger) Unterstützungsleistungen an Euro-Mitgliedstaaten.
2. Die Vereinbarkeit der Leistungen der EU im Rahmen des EFSM mit Art. 122 Abs. 2 AEUV ist fraglich. Die Beurteilung der Kausalitätsfrage ist maßgebend.
3. Die Vereinbarkeit der Leistungen der Mitgliedstaaten im Rahmen der speziellen Griechenlandhilfe und im Rahmen der EFSF mit dem AEUV in der damals geltenden Fassung ist nicht sicher.
4. Die Einführung von Art. 136 Abs. 3 AEUV modifiziert das Vertragsrecht und ist wohl noch in Einklang mit Art. 48 Abs. 6 EUV erfolgt.
5. ESM und Fiskalpakt verstoßen nach der Änderung des Primärrechts wohl nicht gegen den AEUV.
6. Unabdingbar für die Schaffung des ESM sind aber das Inkrafttreten von Art. 136 Abs. 3 AEUV und
7. Der Erwerb von Forderungen gegen Mitgliedstaaten über einen längeren Zeitraum und zur Erleichterung von Zinslasten überschreitet die Befugnisse und Zuständigkeiten des ESZB.
8. Der Erwerb von Forderungen gegen Mitgliedstaaten über einen längeren Zeitraum und zur Erleichterung von Zinslasten ist nicht mit dem Verbot der Kreditgewährung durch Zentralbanken an Hoheitsträger nach Art. 123 AEUV zu vereinbaren
9. Die Gewährung von langfristigen Krediten an Banken verstößt ebenfalls gegen die Zuständigkeitsordnung des AEUV und ist bei einer Weiterleitung der Mittel an Hoheitsträger nicht mit Art. 123 AEUV zu vereinbaren.
10. Die Akzeptierung von ausfallgefährdeten Forderungen als Sicherheit für die Gewährung von Krediten durch das ESZB verstößt gegen Art. 18.1., zweiter Spiegelstrich, Satzung ESZB/EZB.
66
In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy using a new database of models designed for such investigations. We focus on three representative models due to Christiano, Eichenbaum, Evans (2005), Smets and Wouters (2007) and Taylor (1993a). Although these models differ in terms of structure, estimation method, sample period, and data vintage, we find surprisingly similar economic impacts of unanticipated changes in the federal funds rate. However, optimized monetary policy rules differ across models and lack robustness. Model averaging offers an effective strategy for improving the robustness of policy rules.
67
In this paper, we provide some reflections on the development of monetary theory and monetary policy over the last 150 years. Rather than presenting an encompassing overview, which would be overambitious, we simply concentrate on a few selected aspects that we view as milestones in the development of this subject. We also try to illustrate some of the interactions with the political and financial system, academic discussion and the views and actions of central banks.
68
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.