Yingying Tan, The determinants of collateral and interest: The case of the Chinese shadow banking system, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Master's Thesis)
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Devin Heer, Anwendungen des Banach-Caccioppoli-Prinzips in der Wirtschaftstheorie, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Peter Wiki, Optimale Strategie in der Doppelauktion: Eine numerische Analyse, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Daniel Rüegg, Innertagesliquidität: Institutioneller Hintergrund und spieltheoretische Analyse, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Christian Ewerhart, Logsupermodular contests and the robustness of the all-pay auction, In: The Econometric Society's North American Summer Meetings 2012. 2012. (Conference Presentation)
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Christian Ewerhart, Contests with increasing returns and robustness of the all-pay auction, In: 13th annual conference of the Association for Public Economic Theory (PET 12). 2012. (Conference Presentation)
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Markus Hartmann, Bieterstreik in Auktionen deutscher Staatsanleihen: Fakten und Analyse, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2012. (Bachelor's Thesis)
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Robertas Zubrickas, Managerial accountability for payroll expense and firm-size wage effects, In: Forschungsseminar Departement Volkswirtschaftslehre an der Universität Bern. 2012-03-19. (Conference Presentation)
We argue that job performance appraisal is an agency problem with asymmetric
transfer values: an employee is paid in proportion to the rating received from
his line manager, who only partially internalizes the resultant payroll cost. This
asymmetry in rating valuations is based on evidence that managers are not fully
accountable for payroll expense, with the degree of unaccountability increasing in
�rm size. We develop a nested agency model of economic organization of a �rm with
unaccountable managers, which in equilibrium obtains the �rm-size wage effects�
the large-�rm wage premium and inverse relationship between �rm size and wage
dispersion. |
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Christian Ewerhart, Nuno Cassola, Natacha Valla, Overbidding in fixed rate tenders: The role of exposure risk, Journal of Banking & Finance, Vol. 36 (2), 2012. (Journal Article)
The fixed rate tender is one of the main procedures used by central banks in the implementation of their monetary policies. While academic research has largely dismissed the procedure owing to its tendency to encourage overbidding, central banks such as the ECB and the Bank of England have continued using it. We investigate this apparent conflict by considering an auction-theoretic setting with private information about declining marginal valuations. Since overbidding entails exposure risk, an equilibrium may exist even if bids are costless and the intended volume is pre-announced. In fact, the allotment quota may be strictly below one with certainty. Also with adaptive expectations, overbidding need not escalate. However, the resulting allocation is typically inefficient. Empirical proxies of exposure risk are significant in both euro and sterling operations. Our findings have implications, in particular, for the potential reintroduction of pro rata allotment in the main refinancing operations of the Eurosystem. |
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Robertas Zubrickas, Managerial accountability for payroll expense and firm-size wage effects, In: EALE, 23rd Annual Conference, 2011-09-22. (Conference or Workshop Paper published in Proceedings)
We argue that job performance appraisal is an agency problem with asymmetric transfer values: an employee is paid in proportion to the rating received from his line manager, who only partially internalizes the resultant payroll cost. This asymmetry in rating valuations is based on evidence that managers are not fully accountable for payroll expense, with the degree of unaccountability increasing in firm size. We develop a nested agency model of economic organization of a firm with unaccountable managers, which in equilibrium obtains the firm-size wage effects - the large-firm wage premium and inverse relationship between firm size and wage dispersion. |
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Christian Ewerhart, Overbidding in fixed-rate tenders: on the role of exposure risk, In: "The post-crisis design of the operational framework for the implementation of monetary policy". 2011. (Conference Presentation)
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Christian Ewerhart, Steve Heinke, High-Frequency Trading and Market Liquidity, In: Zurich Workshop on Economics 2011 in Lucerne. 2011. (Conference Presentation)
HFT are eating up rents of slower market pariticipants. HFT emphasizes the market liquidity, i.e. if a market is relativly liquid more HFTs activity will increase the liquidity, while in less liquid markets higher HFT penetration will decrease the liquidity. |
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Robertas Zubrickas, Optimal Grading, In: 26th Annual Congress of the European Economic Association, 2011-08-25. (Conference or Workshop Paper published in Proceedings)
Assuming that teachers are concerned with human capital formation and students - with ability signaling, in this paper we model a teacher-student relationship as an agency problem with conflicting interests. In our model, the teacher elicits effort from a student rewarding for it with a grade, the utility of which to the student is the ability signal inferred by the job market. In the event that the job
market does not observe individual teachers' grading practices, teachers find grades as costless rewards and optimally choose to be lenient in grading. As a result, "the problem of the commons" of good grades emerges leading to the depreciation of grading standards and grade inflation. The prediction of the model that the lower the expectations the teacher holds about her students' abilities, the flatter the grading rules she sets up is empirically supported. |
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Robertas Zubrickas, Managerial accountability for payroll expense and firm-size wage effects, In: 26th Annual Congress of the European Economic Association, 2011-08-25. (Conference or Workshop Paper published in Proceedings)
We argue that job performance appraisal is an agency problem between a manager and his employees featuring asymmetric transfer values: Ratings given by the manager are money equivalent for the employees but only partially so for the manager. The asymmetry assumption is based on evidence that managers are not held fully accountable for payroll expense incurred, which, we argue, stems from the misalignment of managerial compensation with the profits of the firm. Other evidence also shows that the problem of managerial unaccountability is more aggravated in larger firms. In this paper, we develop a nested agency model of economic organization of a firm with unaccountable managers, which in equilibrium obtains the firm-size wage effects the large-firm wage premium and inverse relationship between firm size and wage dispersion. We also relate and explain the compression of ratings phenomenon from literature on organizational psychology. |
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Robertas Zubrickas, Managerial accountability for payroll expense and firm-size wage effects, In: 11th SAET Conference, 2011-06-26. (Conference or Workshop Paper published in Proceedings)
We argue that job performance appraisal is an agency problem with asymmetric transfer values: an employee is paid in proportion to the rating received from his line manager, who only partially internalizes the resultant payroll cost. This asymmetry in rating valuations is based on evidence that managers are not fully accountable for payroll expense, with the degree of unaccountability increasing in firm size. We develop a nested agency model of economic organization of a firm with unaccountable managers, which in equilibrium obtains the firm-size wage effects - the large-firm wage premium and inverse relationship between firm size and wage dispersion. |
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Robertas Zubrickas, How exposure to markets can favor inequity-averse preferences, In: Conference on Rationality and Irrationality: Game-Theoretic and Other Perspectives, 2011-06-03. (Conference or Workshop Paper published in Proceedings)
This paper shows how non-individualistic preferences can be individual fitness maximizing in market-integrated societies. In the model, individuals share an endowment, which is used for consumption and/or purchase of goods on the external market. We show that inequity aversion about endowment distribution can be an optimal response to merchants' price discrimination. Then, assuming that increased consumption means increased individual fitness, we argue that evolutionary selection can favor inequity-averse preferences. We also argue that our model can explain the empirical finding of Henrich et al. (2004) about the positive effect of a society's exposure to markets on its members' sociality. |
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Christian Ewerhart, Optimal Design and p-Concavity, In: Working paper series / Institute for Empirical Research in Economics, No. No. 409, 2011. (Working Paper)
Some of the most beautiful results in mechanism design depend crucially on Myerson's (1981) regularity condition. E.g., the second-price auction with reserve price is revenue maximizing only if the type distribution is regular. This paper offers two main results. First, an interpretation of regularity is developed in terms of being the next to fail. Second, using expanded concepts of concavity, a tight sufficient condition on the density function is formulated. New examples of parameterized distributions are shown to be regular. Applications include standard design problems, optimal reserve prices, the analysis of bidding data, and multidimensional types. |
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Robertas Zubrickas, Managerial Accountability for Payroll Expense and Firm-Size Wage Effects, In: Working paper series / Institute for Empirical Research in Economics, No. No. 474, 2011. (Working Paper)
We argue that job performance appraisal is an agency problem with asymmetric transfer values: an employee is paid in proportion to the rating received from his line manager, who only partially internalizes the resultant payroll cost. This asymmetry in rating valuations is based on evidence that managers are not fully accountable for payroll expense, with the degree of unaccountability increasing in firm size. We develop a nested agency model of economic organization of a firm with unaccountable managers, which in equilibrium obtains the firm-size wage effects - the large-firm wage premium and inverse relationship between firm size and wage dispersion. |
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Michael Nudelmann, Financial Auctions - a model based comparison of standard formats concerning expected revenue and efficiency, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis)
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Raphael Adank, Die Berücksichtigung des Adressenausfallrisikos aus der Sicht einer grossen und diversifizierten Bank, University of Zurich, Faculty of Economics, Business Administration and Information Technology, 2011. (Master's Thesis)
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