The tactical and strategic value of hedge fund strategies: a cointegration approach

This paper analyzes long-term comovements between hedge fund strategies and traditional asset classes using multivariate cointegration methodology. Since cointegrated assets are tied together over the long run, a portfolio consisting of these assets will have lower long-term volatility. Thus, if the presence of cointegration lowers uncertainty, risk-averse investors should prefer assets that are cointegrated. Long-term (passive) investors can benefit from the knowledge of cointegrating relationships, while the built-in error correction mechanism allows active asset managers to anticipate short-run price movements. The empirical results indicate there is a long-run relationship between specific hedge fund strategies and traditional financial assets. Thus, the benefits of different hedge fund strategies are much less than suggested by correlation analysis and portfolio optimization. However, certain strategies combined with specific stock market segments offer portfolio managers adequate diversification potential, especially in the framework of tactical asset allocation.

Reconsidering Media Discourses on Food Crisis from a Quantitative Perspective

In 2007–2008, when food prices started to increase dramatically, purchasing power parity of consumers, especially the urban poor, started to decrease automatically. High food prices were argued to cause poverty, hunger, and food riots among urban populations. Henceforward, “food crisis” became a new storyline in the current debate. In contrast, in the pre-2007 period, when rural farmers had been facing negative welfare effects of low food prices for many years, there were no crisis talks. This article analyzes different media coverage of urban consumers and rural producers under changes in relative incomes for the 2000–2013 period and propounds media bias on the food crisis debate by using content analysis and the OLS regression model.     

The early news catches the attention: On the relative price impact of similar economic indicators

This study investigates why financial markets react to the release of some economic indicators while ignoring others with similar informational content. Based on a Bayesian learning model, we show that the market impact of an economic indicator depends crucially on its early availability. The sequential introduction of the two largest German business surveys provides a natural experiment by which the model's implications are tested empirically. We show that even a large and well‐established indicator loses market impact if a similar indicator is launched and released earlier. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:909–937, 2010     

International competitiveness,job creation and job destruction—An establishment-level study of German job flows

This study investigates the impact of international competitiveness on net employment, job creation, job destruction, and gross job flows for a representative sample of German establishments from 1993 to 2005. We find a statistically significant but economically small effect of real exchange rate shocks on employment, comparable to the one found in studies for the United States. However, contrary to the United States, the employment adjustment (among surviving firms) operates mainly through the job creation rather than the job destruction rate. Job destruction occurs essentially through discrete events such as restructuring, outsourcing and bankruptcy. We suggest that these findings are consistent with a highly regulated labor market, in which smooth adjustment is costly and possibly delayed.     

Eine neue Typologie real existierender deutscher Erstversicherer

The Criterions of insurance companies in Germany are changing as consequences of market competition and regulation. Trends of differentiation follow former trends of assimilation. A modern typology of direct insurers resp. groups of insurers is less oriented by legal form of companies, more by targets of activities and stakeholder situation. In case of mutual companies there are effects of demutualization.     

Energy balance climate models and general equilibrium optimal mitigation policies

In a general equilibrium model of the world economy, we develop a two-dimensional energy balance climate model featuring heat diffusion and anthropogenic forcing driven by global fossil fuel use across the sphere of the Earth. This introduces an endogenous location dependent temperature function, driving spatial characteristics, in terms of location dependent damages resulting from local temperature anomalies into the standard climate-economy framework. We solve the social planner's problem and characterize the competitive equilibrium for two polar cases differentiated by the degree of market integration. We define optimal taxes on fossil fuel use and how they may implement the planning solution. Our results suggest that if the implementation of international transfers across latitudes is not possible then optimal taxes are in general spatially non-homogeneous and may be lower at poorer latitudes. The degree of spatial differentiation of optimal taxes depends on heat transportation. By employing the properties of the spatial model, we show by numerical simulations how the impact of thermal transport across latitudes on welfare can be studied.     

Information technology today and tomorrow

This article discusses the innovations that have occurred in information technologies, which have led to the development of ‘intelligent’ electronics- based systems such as robots and computer-controlled tools. The author analyses the debate that has arisen surrounding the production and use of these systems, relating them to employment levels. He considers the future of industry and the economy, which will both see great changes in their structure as intelligent machines become ubiquitous.