Folgen des schwachen Dollar

Ohne Zusammenfassung Carsten Hefeker ist Inhaber des Lehrstuhls für Europ?ische Wirtschaftspolitik der Universit?t Siegen     

Forecaster Overconfidence and Market Survey Performance

The authors document using the ZEW panel of German stock market forecasters that weak forecasters tend to be overconfident in the sense that they provide extreme forecasts and their confidence intervals are less likely to contain eventual realizations. They further show that moderate filters based on forecast accuracy of past performance over short rolling windows, which delicately balance ignoring relevant information and noise reduction, are somewhat successful in improving predictability. While poor performance can be due to various factors, a filter based on forecaster overconfidence, a prior tendency to have high forecast standard deviations, also improves the performance of market survey forecasts.     

Dynamic asset allocation with stochastic income and interest rates

We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine in the short-term interest rate in order to encompass business cycle variations in wages. Our calibration based on the Panel Study of Income Dynamics (PSID) data supports this relation with substantial variation across individuals in the slope of this affine function. The slope is crucial for the valuation and riskiness of human capital and for the optimal stock/bond/cash allocation both in an unconstrained complete market and in an incomplete market with liquidity and short-sales constraints.     

Welfare Effects of Tariff Reduction Formulas

World Trade Organization (WTO) negotiations rely on tariff reduction formulas. Formula approaches are of increasing importance in trade talks, because of the large number of countries involved, the wider dispersion in initial tariffs (e.g. tariff peaks), and gaps between bound and applied tariff rates. This paper presents a two country intra‐industry trade model with heterogeneous firms subject to high and low tariffs. We examine the welfare effects of applying three different tariff reduction formulas discussed in the literature that were used and proposed in previous and current General Agreement on Tariffs and Trade (GATT)/WTO negotiations (1) a proportional cut, (2) the Swiss formula and (3) a tiered formula. No single formula dominates for all conditions. The ranking of the three tools depends on the degree of product differentiation in the industry and the achieved reduction in the average tariff.     

The choice of ownership structure: Evidence from Russian mass privatization

We use a large data set of Russian manufacturing firms to describe the ownership structure in the Russian industry at the end of the mass privatization program in 1994 and its subsequent evolution. The data shows a high, but gradually decreasing ownership stakes of firm insiders (managers and workers). We estimate the effect of a wide range of firm characteristics on the decision to privatize, the initial ownership structure after privatization, and on subsequent changes of ownership stakes. We test and find support for several predictions of the model by Aghion and Blanchard (1998). For example, collusion among workers makes them more reluctant to sell shares to outsiders. Firms in financial distress show a higher incidence of insiders selecting the option of privatization leading to high insider ownership. This can be explained by their desire to insure against unemployment in the case of restructuring by outsiders. No evidence is found of a sequencing in privatization according to the performance of firms before privatization. A methodological novelty of this paper is the application of a tobit model with sample selection to the choice of ownership stakes.     

Assessing the Effects of Certification Networks on Sustainable Production and Consumption: The Cases of FLO and FSC

Private governance approaches to foster sustainability have gained importance in recent years. The article focuses on such approaches that involve actors from different parts of the value chain, as well as consumers, labour unions, and NGOs. As these approaches rely on the certification mechanism to document the adherence to environmental and social standards, we refer to them as “certification networks.” The main objective of these networks is to realize more sustainable production and consumption patterns from within existing market structures. Concerning their impact on sustainability, however, existing research revealed mixed results. This raises the question, how to systematically assess the success of certification networks. Referring to debates on private governance, this paper proposes to consider structural–material (e.g., altered market and incentive structures) and regulative–normative effects (e.g., altered institutions). Taking this broader perspective, two cases are analysed: The Fairtrade Labelling Organization and the Forest Stewardship Council.     

The Underpricing of Initial Public Offerings at the Berlin Stock Exchange, 1870–96

Abstract. In this article, we evaluate underpricing of initial public offerings at the Berlin Stock Exchange between 1870 and 1896. In contrast to modern data, first‐day returns were extraordinary low and averaged less than 5%, even during the speculative period of the early 1870s. Moreover, standard underpricing theories based on asymmetric information, signalling mechanisms or litigation risk cannot explain underpricing. In contrast to modern markets, underpricing was higher during hot issue markets. Finally, we show that cash‐flow relevant information contained in the corporate charter was readily factored in the first market price. Thus, the historical capital market differed from today's market, but seems to have been efficient.     

Schuldenkrise in der Europäischen Union

Die Krise Griechenlands w?chst sich zu einer Gefahr für den gesamten Euroraum aus. Wie soll die Europ?ische Union darauf reagieren? Sie befindet sich im Dilemma zwischen Bailout und Bestrafung des „Defizitsünders“. Das erste scheint für den Bestand der W?hrungsunion unvermeidlich, das zweite ist erforderlich, um einen Moral Hazard zu vermeiden.