Relativ gute Aussichten für deutsche Wirtschaft

Ohne Zusammenfassung Joachim Scheide ist Leiter des Prognosezentrums am Institut für Weltwirtschaft an der Universit?t Kiel     

Double Lookbacks

A new class of options, double lookbacks , where the payoffs depend on the maximum and/or minimum prices of one or two traded assets is introduced and analyzed. This class of double lookbacks includes calls and puts with the underlying being the difference between the maximum and minimum prices of one asset over a certain period, and calls or puts with the underlying being the difference between the maximum prices of two correlated assets over a certain period. Analytical expressions of the joint probability distribution of the maximum and minimum values of two correlated geometric Brownian motions are derived and used in the valuation of double lookbacks. Numerical results are shown, and prices of double lookbacks are compared to those of standard lookbacks on a single asset.     

The risk‐return paradox for strategic management: disentangling true and spurious effects

The concept of risk is central to strategy research and practice. Yet, the expected positive association between risk and return, familiar from financial markets, is elusive. Measuring risk as the variance of a series of accounting‐based returns, Bowman obtained the puzzling result of a negative association between risk and mean return. This finding, known as the Bowman paradox, has spawned a remarkable number of publications, and various explanations have been suggested. The present study contributes to this literature by showing that skewness of individual firm' return distributions has a considerable spurious effect on the empirically estimated mean‐variance relationship. I devise a method to disentangle true and spurious effects, illustrate it using simulations, and apply it to empirical data. It turns out that the size of the spurious effect is such that, on average, it explains the larger part of the observed negative relationship. My results might thus help to reconcile mean‐variance approaches to risk‐return analysis with other, ex‐ante, approaches. In concluding, I show that the analysis of skewness is linked to all three streams of literature devoted to explaining the Bowman paradox. Copyright © 2008 John Wiley & Sons, Ltd.     

IT-basierte Prozesssteuerung – Geschäftsprozessmonitoring am Beispiel der Versicherungsindustrie

Ohne Zusammenfassung     

全球化通胀

如果不出现金融动荡或是市场崩溃，欧洲央行看来必定会在7月3日加息25个基点。不过问题的关键在于一两次的小幅加息是否足以遏制全球通胀的强大趋势。     

新一轮全球流动性周期正在启动

[摩根士丹利10月16日]就在各方普遍下调GDP数据、投资者情绪日趋低落之际,我们的测算表明,新一轮全球流动性周期正在酝酿之中。虽然这轮新周期还处于形成初期,但其发展很可能有助于支持资产市场、在今年年内结束衰退、并防止持久性通缩的出现。     

全球债市泡沫破灭，收益率仍有上升空间

政府债券市场大跌提出多方面问题 近期政府债券市场的大幅下跌是欧美央行面临的关键问题其原因何在？这是否意味着量化宽松政策根本无效？收益率的攀升是否会令市场预期的下半年的经济复苏化为泡影？面对这种局面,央行应加大还是缩小买进债券的力度？针对这些问题,本文分析了国债收益率高涨的原因,及其对经济和央行政策的可能影响。     

Designing Global Governance for Agricultural Development and Food and Nutrition Security

We point to deficits in current global institutional arrangements in support of agricultural development and food and nutrition security. A framework for global institutional arrangements proposed here is the set of essential international public goods for a well‐functioning world food system. These public goods include international natural resource management; trade and transboundary competition policy; research and innovation; handling large scale food emergencies; and transboundary food safety. Based on the framework, and institutional economics considerations, causes of current malfunctioning of global food governance are analyzed. It is proposed to redesign global food governance by establishing an international platform with policy clusters mapped along the set of global public goods. To support the platform with needed research‐based evidence an International Panel on Food, Nutrition and Agriculture (IPFNA) is suggested, partly following the design of the Intergovernmental Panel on Climate Change (IPCC). Existing organizations and mechanisms would form building blocks of the strengthened and redesigned governance system. A gradual approach toward redesign is proposed. Some redesign in the suggested direction was triggered by the food crisis of 2008, as demonstrated by the reform of the Committee on Food Security (CFS) with its high level panel of experts, but more is needed.