An investigation of the gains from commitment in monetary policy

We propose a simple framework for analyzing a continuum of monetary policy rules characterized by differing degrees of credibility, in which commitment and discretion become special cases of what we call quasi-commitment. The monetary policy authority is assumed to formulate optimal commitment plans, to be tempted to renege on them, and to succumb to this temptation with a constant exogenous probability known to the private sector. By interpreting this probability as a continuous measure of the (lack of) credibility of the monetary policy authority, we investigate the welfare effect of a marginal increase in credibility. Our main finding is that, in a simple model of the monetary transmission mechanism, most of the gains from commitment accrue at relatively low levels of credibility.     

„Rettungsprogramme“ für Krisenländer verschärften die Krise — eine Replik

In his reply, Niemeier accuses Boysen Hogrefe and Stolzenburg of erroneously ascribing the failing of the Greek programme to insufficient “ownership”, whereas the true cause is — in his view — an inadequate austerity policy. The alleged success of this policy in Portugal and Ireland refers solely to GDP growth and ignores the continuing high levels of unemployment in those countries. Boysen- Hogrefe and Stolzenburg insist that the “success” of a rescue programme actually implies that the respective country is able to return to capital markets. The Greek crisis was structural rather than cyclical, so a temporary stabilisation of domestic demand (financed by additional foreign debt) would not have solved the issue.     

Beitragsfinanzierung der Ostrentenangleichung verstößt gegen Gerechtigkeitsprinzipien

According to the law just passed by the German Bundestag, the additional expenditure needed to raise the East German level of pensions to the West German level will mainly be financed by pension scheme contributions. As the East German pensioners have not paid into the pension scheme, this method of financing flouts an important principle of justice, the equivalence principle, and violates the German Constitution. The additional expenditure has to be financed solely by taxes. The finance minister has caught his fingers in the wrong till.     

External technology commercialization in large firms: results of a quantitative benchmarking study

External technology commercialization (ETC), i.e., the commercialization of technological knowledge exclusively or in addition to its application inside the firm, has recently become a broader trend. However, this increase in outward technology transfer, e.g., by means of technology licensing, has been insufficiently reflected by academic research. Thus, we lack a detailed understanding of the evolution and the current scope of ETC, which represents an important component of technology portfolio management. Moreover, our insights into the functions of ETC and into firms' strategies, processes, and structures for managing ETC are limited. To address these research deficits, we present the results of a questionnaire-based benchmarking study in 154 medium-sized and large European firms spanning multiple industries. Thus, this article is among the first studies that provide quantitative empirical evidence for the current scope and management of ETC. After an introduction and theoretical considerations, the research design is described. Subsequently, the results of the survey are presented. In the final section, theoretical and managerial implications are discussed, and opportunities for further research are pointed out.     

Multiple curve Lévy forward price model allowing for negative interest rates

In this paper, we develop a framework for discretely compounding interest rates that is based on the forward price process approach. This approach has a number of advantages, in particular in the current market environment. Compared to the classical as well as the Lévy Libor market model, it allows in a natural way for negative interest rates and has superb calibration properties even in the presence of extremely low rates. Moreover, the measure changes along the tenor structure are significantly simplified. These properties make it an excellent base for a postcrisis multiple curve setup. Two variants for multiple curve constructions based on the multiplicative spreads are discussed. Time‐inhomogeneous Lévy processes are used as driving processes. An explicit formula for the valuation of caps is derived using Fourier transform techniques. Relying on the valuation formula, we calibrate the two model variants to market data.     

Debatte über Renten: Replik und Erwiderung

Wirtschaftsdienst - In der Juniausgabe 2021 veröffentlichte der Wirtschaftsdienst einen Aufsatz mit dem Titel ?Beitragsfinanzierung im ?demografiegestressten‘ Rentensystem...     

Eksamen i forsikringsvidenskab og statistik ved københavns universitet. l′ del. den skriftlige prøve

Abstract

Es kann nicht fehlen, dass sich der von Mises in zwei jüngst erschienenen Abhandlungen ¹ “Fundamentalsätze” und. “Grundlagen der Wahrscheinlichkeitsrechnung” in Lichtensteins mathem. Zeitschrift, 4 und 5. Band. angebahnten Neuordnung der Wahrscheinliehkeitsrechnung eine solche der mathematischen Statistik (in der Folge m. St.) anschliesst. Der genannte Forscher hat sie auch bereits angekündigt, ² Ibid. Band 5. S. 52. Wenn ich es trotzdem unternehme, in diesem Zeitpunkte mich über die Grundlagen dieser Wissenschaft zu äussern, so habe ich die Auffassung, dass bei dieser Neuordnung die Bedürfnisse der Praxis nicht übersehen werden sollten. Die Entwicklung, welche die theoretische Statistik auf Grund einer axiomatisch fundierten Wahrscheinlichkeitsrechnung mogölicherweisenehmen könnte, lässt die Befürchtung nicht von der Hand weisen, dass die der Forschung abträgliche Kluft, die dermalen zwischen den mathematisch orientierten und den Verwaltungs-Statistikern besteht, sich noch erweitere. Es ist an sich zu beklagen, dass die grosse schöpferische Arbeit der Ersteren auf die Praxis so gut wie keinen Einfluss genommen hat. In unseren Quellenwerken werden alljährlich grosse Mengen von Absolut- und Relativzahlen ohne jeden Anhaltspunkt fär ihre kritische Wertung veröffentlicht, obgleieh schon in der ersten theoretischen Statistik (von Theodor Wittstein), also schon vor mehr ala 50 Jahren, die bezäglichen Anforderungen klar formuliert und nachmalig des öfteren wiederholt wurden.