Kraft, Holger and Reichling, Peter
Prinzipal-Agents-Beziehung: First-best, second-best und third-best
Kakes, Jan
Monetary Policy and Business Cycle Asymmetry in Germany
August, Roland and Schiereck, Dirk and Weber, Martin
Momentumstrategien am deutschen Aktienmarkt: Neue empirische Evidenz zur Erklärung des Erfolgs
Wahrenburg, Mark and Niethen, Susanne
Vergleichende Analyse alternativer Kreditrisikomodelle
White, Lawrence H.
The Theory of Monetary Institutions (Patrick A. Muhl)
Menkhoff, Lukas and Reszat, Beate (Eds.)
Asian Financial Markets - Structures, Policy Issues and Prospects (Nicolas Schlotthauer)
Sapusek, Annemarie
Informationseffizienz auf Kapitalmärkten (Isabelle zu Sayn-Wittgenstein)
Kraft, Holger and Reichling, Peter
"Relationship between Principal and Agent: First-best, Second-best and Third-best"
This contribution discusses in discret language the classical relationship between principal and agent. It focuses on die pay-scale monotony. One of this contribution's aims is to give a synopsis of the conditions that would ensure pay rises in second-best cases. The fact that the discussion focuses on risk-neutral principals only permits the general statement that second-best pay-scales either remain constant or point upward in at least one respect. This explains why second-best pay-scales dropping section-wise are characteristic of certain situations.
Where second-best pay-scales dropping section-wise are not permissible (thirdbest cases) the result is a loss in prosperity on account of the fact that any artificial pay-scale monotonisation reduces its stimulating effect. Moreover, the salaries principals pay their agents tend to be on the high side in the case of major backflows.
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Kakes, Jan
"Monetary Policy and Business Cycle Asymmetry in Germany"
In this paper, we investigate whether the impact of monetary policy on industrial production in Germany is larger in a recession than during a boom. Using a two-state Markov Switching Model to separate recessions and expansions, and three different policy indicators, we find strong evidence of asymmetric effects of monetary policy over the business cycle. Our findings imply that standard linear approaches, such as VAR models, ignore important time-varying aspects of the monetary transmission mechanism. (JEL E 32, E 52)
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August, Roland and Schiereck, Dirk and Weber, Martin
"Momentum Strategies in the German Stock Market: New Empirical Data Evidencing Success"
The present study analyses the success of momentum strategies in the German stock market. Our findings suggest continuing success of momentum strategies the German stock market also for risk-adjusted returns. When taking account of the returns risk, the differential between winner and loser portfolios tends to be even wider. Here, the results show typically season-specific returns patterns. Moreover, this positive finding gives rise to the question of how to explain the identified excess returns. Since the market efficiency theory and CAPM are apparently of no avail in this regard, there is a need for developing new models reflecting the identified returns structures. To this end, especially behavioral science-based approaches now generally known by the term of ,,behavioral finance" increasingly being taken into consideration.
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Wahrenburg, Mark and Niethen, Susanne
"Comparative Analysis of Alternative Credit Risk Models"
Various models have been developed in recent years for quantifying bank's
default risks with the portfolio effects of such risks being taken into account. So
far, no approach has been able to establish itself as the generally accepted standard. Since the models show fundamental conceptual differences for using different empirical input data, the credit-risk model choice may have a considerable impact on banks' credit portfolio management. The purpose of this contribution therefore is to clarify whether models permit to calculate systematically deviating value-at-risk figures and, if so, what the origins of such deviations are. This contribution initially shows that the existing credit risk models may be divided into two categories: asset value-based models and default rate-based models. On the basis of a model portfolio of loans to German construction firms, the protagonists of the two model classes (CreditMetrics and CreditRisk) are compared the effects of the differing empirical input parameters on risk results. The analysis shows substantial differences between the models. However, an examination of the reasons explaining the deviations show that the wide value-at-risk variations primarily stem from the differences in the empirical input data leading to different assumptions for implied correlations. This contribution demonstrated choose model parameters to generate identical correlations. The results models are largely congruent where the correlation assumptions are consistent.
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