https://hdl.handle.net/10419/60339 2026-11-13T20:41:05Z 2026-11-13T20:41:05Z Roeder, Kerstin Habla, Wolfgang https://hdl.handle.net/10419/62060 2023-11-12T02:15:08Z 2012-01-01T00:00:00Z

Title: The Political Sustainability of Germany's Environmental Tax Rate Authors: Roeder, Kerstin; Habla, Wolfgang Abstract: We analyze the German ecotax package in a model of overlapping generations and majority voting. The package consists of the ecotax rate and the budgetary rule which assigns a fraction of the tax revenue to the reduction of pension contributions while holding pension benefits constant. The old and the young generation have different preferences with respect to the tax rate and the use of the tax revenue. Our theoretical model as well as the calibration of our model show that the median voter s preferred tax rate may well exceed the efficient tax rate whenever his income is sufficiently high. This is the likelier the more CO2 is degraded and removed from the atmosphere. Furthermore, the median voter prefers earmarking of tax revenue to reductions in pension contributions. The latter is quite an accurate prediction of the situation in Germany where the share of tax revenue devoted to the pension scheme amounts to more than 90%.

2012-01-01T00:00:00Z Bernoth, Kerstin von Hagen, Jürgen de Vries, Casper https://hdl.handle.net/10419/62017 2023-11-12T02:04:53Z 2012-01-01T00:00:00Z

Title: The forward premium puzzle and latent factors day by day Authors: Bernoth, Kerstin; von Hagen, Jürgen; de Vries, Casper Abstract: We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coeffcient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to control for the influence of an unobserved factor that can be decomposed into a contract-speci fic and a time-to-maturity e ffect. Once we do this, we nd that the coefficients on the forward premium are much closer to one. The latent factor is shown to be related to conventional proxies of risk.

2012-01-01T00:00:00Z Roth, Markus Bursian, Dirk https://hdl.handle.net/10419/62078 2023-11-12T02:12:10Z 2012-01-01T00:00:00Z

Title: Taylor rule cross-checking and selective monetary policy adjustment Authors: Roth, Markus; Bursian, Dirk Abstract: The Taylor rule is a widely used concept in monetary macroeconomics and has been used in various areas either for positive or normative analyses. We examine whether the robustifying nature of Taylor rule cross-checking in the spirit of R island and Sveen (2011) also carries over to the case of parameter uncertainty. We find that adjusting monetary policy based on this kind of cross-checking can on average improve the outcome for the monetary authority in selected specifications. This, however, strongly depends on the functional form and also on the degree of the parameter misspecification as well as the information set of the monetary authority. In those specifications, increasing the relative weight attached to Taylor rule cross-checking results in a trade-off as higher average gains in terms of a reduction of loss are accompanied by higher standard deviations of the relative losses.

2012-01-01T00:00:00Z Wolff, Dominik Bessler, Wolfgang Opfer, Heiko https://hdl.handle.net/10419/62020 2023-11-13T02:12:07Z 2012-01-01T00:00:00Z

Title: Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches Authors: Wolff, Dominik; Bessler, Wolfgang; Opfer, Heiko Abstract: The Black-Litterman (BL) model aims to enhance asset allocation decisions by overcoming the weaknesses of standard mean-variance (MV) portfolio optimization. In this study we implement the BL model in a multi-asset portfolio context. Using an investment universe of global stock indices, bonds, and commodities, we empirically test the out-of-sample portfolio performance of BL optimized portfolios and compare the results to mean-variance (MV), minimum-variance, and naïve diversified portfolios (1/N-rule) for the period from January 1993 to December 2011. We find that BL optimized portfolios perform better than MV and na ve diversified portfolios in terms of out-of-sample Sharpe ratios even after controlling for different levels of risk aversion, realistic investment constraints, and transaction costs. Interestingly, the BL approach is well suited to alleviate most of the shortcomings of MV optimization. The resulting portfolios are less risky, are more diversified across asset classes, and have less extreme asset allocations. Sensitivity analyses indicate that the outperformance of the BL model is due to the consideration of the reliability of return estimates and a lower portfolio turnover.

2012-01-01T00:00:00Z