Chancen und Risiken in den Finanzmärkten

Ohne Zusammenfassung     

On the Term Structure of Default Premia in the Swap and LIBOR Markets

Existing theories of the term structure of swap rates provide an analysis of the Treasury–swap spread based on either a liquidity convenience yield in the Treasury market, or default risk in the swap market. Although these models do not focus on the relation between corporate yields and swap rates (the LIBOR–swap spread), they imply that the term structure of corporate yields and swap rates should be identical. As documented previously (e.g., in Sun, Sundaresan, and Wang (1993)) this is counterfactual. Here, we propose a model of the default risk imbedded in the swap term structure that is able to explain the LIBOR–swap spread. Whereas corporate bonds carry default risk, we argue that swap contracts are free of default risk. Because swaps are indexed on "refreshed"-credit-quality LIBOR rates, the spread between corporate yields and swap rates should capture the market's expectations of the probability of deterioration in credit quality of a corporate bond issuer. We model this feature and use our model to estimate the likelihood of future deterioration in credit quality from the LIBOR–swap spread. The analysis is important because it shows that the term structure of swap rates does not reflect the borrowing cost of a standard LIBOR credit quality issuer. It also has implications for modeling the dynamics of the swap term structure.     

Currency Hedging and Siegel's Paradox: On Black's Universal Hedging Rule*

In an international multicurrency context, with nonstochastic inflation, equilibrium asset pricing models dictate that all investors should hold a combination of their national risk-free bill and the world market portfolio partly hedged against currency risk. We show that the equilibrium hedge ratios are not universal and depend on investors' preferences and relative wealth. So-called universal hedging rules are devoid of solid theoretical underpinning and practical applicability.     

Developing the marketing concept in public accounting firms

As the American Institute of Certified Public Accounts relaxes its practice development restrictions, CPA firms find themselves with a need to develop more aggressive approaches to the markets they serve. This paper focuses on the development of a marketing strategy for an illustrative market, that of small, rapidly-growing high technology firms. Results from a telephone survey of company executives serve as the basis for strategy development. In addition, the evaluation of a small firm and its accounting needs are provided in a hypothetical example to dramatize the conclusions. The results suggest that the burden may be on CPA firms to anticipate, recognize, and meet the accounting needs of their clientele.     

Modelling insurgent-incumbent dynamics: Vector autoregressions,multivariate Markov chains,and the nature of technological competition

The struggle between sail and steam is a long-standing theme in economic history. But this technological competition story has only partly tackled, since most studies have appreciated the rivalry between the two alternative modes of commercial sea carriage in the late 19th century while the early period has remained relatively under-analysed. This paper models the early dynamics between the two capital goods using a vector autoregression approach (VAR) and a Multivariate Markov Chain approach (MMC). We find evidence that the relationship was non-linear, with a strong indication of complementarities and cross-technology learning effects.     

The role of villages in households’ poverty exit: evidence from a multilevel model for rural Vietnam

Vietnam experienced a dramatic drop in overall poverty during the 90s. However, the poverty reduction showed substantial variation across households, villages and regions. Using a multilevel model on panel data from the rural sample of the Vietnam Living Standard Measurement Survey we demonstrate the important role of villages in household poverty exit dynamics. We also show how an analysis of village-level random effects predictions can help targeting of policies to reduce poverty.     

The Hidden Costs of Soil Mining to Agricultural Sustainability in Developing Countries: A Case Study of Machakos District,Eastern Kenya

With respect to the idea of multifunctional agriculture, one way to raise farmers' environmental stewardship is to reward environmental practices through food quality labelling schemes. The objective of our study was to identify existing relationships between the production of quality food and the production of environmental goods at farm level. In this article, we report the results of analyses conducted to examine the effects of major ‘quality’ and ‘eco-labelling’ schemes in the Midi-Pyrenees region of the south of France. Factor analysis and analysis of variance were used with a data set of 107 farms—some participating in the labelling schemes and some not participating—for which environmental scores had been assigned. The statistical analyses were complemented by a qualitative analysis based on in-depth interviews of 85 farmers and review of the labelling standard guidelines. This study shows that organic farms and farms enrolled in various quality and eco-labelling programmes in France do provide some environmental benefits. However, they do not necessarily perform better than other farms on all environmental measures.     

Conservation agriculture practices adopted in southern Brazil

The adoption of conservation agriculture (CA) practices are essential for soil and water conservation. In CA, farmers must adopt no-tillage (NT) with crop rotation to maintain a permanent soil cover. In Brazil, mainly in the South region, for CA to be more efficient, practices such as contour farming and agricultural terraces should also be adopted. Thus, the objective of this study is to determine the extent to which NT has been adopted with crop rotation and others soil and water conservation practices. Data from the Agricultural Census in Paraná State, southern Brazil, were used. For the data analysis, the relationship between the level of adoption of NT and the use of crop rotation, contour farming and agricultural terraces was analyzed. A factor and cluster analysis were performed to distinguish regions in terms of soil and water conservation practices. The results show good overall soil and water conservation practices, although heterogeneity has been observed in the adoption practices between regions. Adoption of NT is high in almost all the studied regions. The conservation practice most widely used with NT is contour farming, whereas the least used is agricultural terraces. Conservation practices for runoff control are being neglected by farmers.     

Service Quality of Advertising and Promotions Agencies in South Africa

Service quality is important to firms that use advertising and communication agencies and these agencies in turn need to make sure that their service quality is what clients expect. The purpose of this research is to assess perceptions of the service quality offered by agencies in South Africa and to identify the most important service attributes of the agency offerings. Agencies were also divided into three types: mass communication agencies, or above the line agencies (ATL), sales promotion agencies, or below the line agencies (BTL), and integrated marketing communication agencies, or full service agencies (FS). A total of 105 responses were received and results were reported for each agency type and in total. The results show some serious differences between what clients are looking for and agency strategies. These are discussed in detail. Recommendations are made which will help agencies in the development of strategic partnerships with clients.