R&D COOPERATION WITH UNIT-ELASTIC DEMAND

The present paper shows that R&D cooperation leads to the monopoly outcome in terms of price and quantity if demand is unit-elastic. If the demand function exhibits an upper bound for the willingness to pay, R&D cooperation is inferior to a scenario in which firms cooperate both in their R&D and their output decision.     

Anticipated growth and business cycles in matching models

In a business cycle model that incorporates a standard matching framework, employment increases in response to news shocks, even though the wealth effect associated with the increase in expected productivity reduces labor force participation. The reason is that the matching friction induces entrepreneurs to increase investment in new projects and vacancies early. If there is underinvestment in new projects in the competitive equilibrium, then the efficiency gains associated with an increase in employment make it possible that consumption, employment, output, as well as the investment in new and existing projects jointly increase long before the actual increase in productivity materializes. If there is no underinvestment, then investment in existing projects decreases, but total investment, consumption, employment, and output still jointly increase.     

Modeling coordinated foreign exchange market interventions: The case of the Japanese and U.S. interventions in the 1990s

During the past thirty years, central banks often intervened in foreign exchange markets. Sometimes they carried out foreign exchange market interventions on a unilateral basis. However, central banks often coordinated their foreign exchange market interventions. We develop a quantitative reaction function model that renders it possible to study the factors that made central banks switch from unilateral to coordinated interventions. We apply our model to the intervention policies of the Japanese monetary authorities and the U.S. Federal Reserve in the yen/U.S. dollar market during the period 1991–2001. To this end, we use recently released official data on the foreign exchange market interventions of the Japanese monetary authorities. JEL no. F31, F33, G14, G15     

Institut für Kommunikationswissenschaft in Jena gegründet

Ohne Zusammenfassung     

The 1/N investment strategy is optimal under high model ambiguity

The 1/N investment strategy, i.e. the strategy to split one’s wealth uniformly between the available investment possibilities, recently received plenty of attention in the literature. In this paper, we demonstrate that the uniform investment strategy is rational in situations where an agent is faced with a sufficiently high degree of model uncertainty in the form of ambiguous loss distributions. More specifically, we use a classical risk minimization framework to show that, for a broad class of risk measures, as the uncertainty concerning the probabilistic model increases, the optimal decisions tend to the uniform investment strategy.To illustrate the theoretical results of the paper, we investigate the Markowitz portfolio selection model as well as Conditional Value-at-Risk minimization with ambiguous loss distributions. Subsequently, we set up a numerical study using real market data to demonstrate the convergence of optimal portfolio decisions to the uniform investment strategy.     

NPD Planning Activities and Innovation Performance: The Mediating Role of Process Management and the Moderating Effect of Product Innovativeness

The aim of this study is to investigate the effects of planning and control on the performance of new product development (NPD) projects. It is hypothesized that (1) thorough business planning at the beginning of a project creates a basis for proficient project and risk planning; (2) the proficiency of project planning, risk planning, and process management activities each improves innovation performance directly; (3) the relationship of planning and success is mediated by process management; and (4) the strength of these relationships is moderated by uncertainty, as determined by the degree of innovativeness. To test the hypotheses, data from 132 NPD projects were collected and analyzed. A measurement model was used to establish valid and reliable constructs, a path model to test the main effects, and a multiple-moderated regression analysis for the moderator hypotheses. The results suggest that the proficiency of project planning and process management is important predictors of NPD performance. Specifically, project risk planning and goal stability throughout the development process are found to enhance performance significantly. Business planning proves to be an important antecedent of the more development-related planning activities such as project planning and risk planning. Additionally, the results lend support to the hypotheses regarding the mediating role of process management in the planning–performance relationship. Project planning and risk planning support the quality of process management and thus impact NPD performance indirectly. Only to a limited extent are the strengths of these relationships moderated by the degree of innovativeness of the NPD project.