KREDIT und KAPITAL - Issue 3/2005



Klump, Rainer
Inflation, Factor Substitution and Growth

Fink, Gerhard und Haiss, Peter und Kirchner, Herwig
Die Finanzierung über Anleihenemissionen und Zusammenhänge zum Wirtschaftswachstum

Borbély, Dora und Meier, Carsten-Patrick
Assessing Macroeconomic Forecast Uncertainty: An Application to the Risk of Deflation in Germany

Frerichs, Hergen
Does Pooling of Financial Statements and Default Data across Specialized Banks Improve Internal Credit Rating Systems?

Berg, Tobias und Willershausen, Timo
Schätzung erwarteter Aktienrenditen auf Basis von Fremdkapitalmärkten

Book Reviews

Mayer, Matija Denise
Venture Finance - Zur Finanzierung innovativer Unternehmen (Rainer Stöttner)

Metzger, Martina
Wirtschaftspolitik und Entwicklung - Eine keynesianische Kritik des Strukturalismus und Neoliberalismus (Mechthild Schrooten)


Klump, Rainer
"Inflation, Factor Substitution and Growth"

Recent empirical studies on the inflation-growth-relationship underline that inflation has negative growth effects under relatively modest rates. Most contributions to monetary growth theory, however, have difficulties in explaining such a pattern. It is shown in this paper that this problem can be overcome by establishing a link between monetary instability and the aggregate elasticity of factor substitution. Several microeconomic justifications can be found for a negative influence of inflation on factor substitution. It turns out that in a simple neoclassical monetary growth model this effect is usually strong enough to question the superneutrality benchmark result in the steady state and to dominate all potential positive effects of inflation along the convergence path. (JEL E 52,O 11, O 41)


Fink, Gerhard and Haiss, Peter and Kirchner, Herwig
"Financing by Way of Loan Issues and Relationships with Economic Growth"

This article is the first to investigate the relationships with economic growth of both the net aggregated loan issue volume and of the individual loan sectors separately. Moreover, quarterly data has been used for the first time. Granger causalities have been calculated for time series pertaining to 15 European countries, the USA and Japan in order too see whether there is a positive relationship between loan market developments and economic growth and the net volume of public-sector loan issues as well as between the net volumes of enterprise and financial-institution loan issues and economic growth.


Borbély, Dora and Meier, Carsten-Patrick
"Assessing Macroeconomic Forecast Uncertainty: An Application to the Risk of Deflation in Germany"

This paper proposes an approach for estimating the uncertainty associated the model-based macroeconomic forecasts. We argue that estimated forecast intervals should account for the uncertainty arising from selecting the specification of an empirical forecasting model from the sample data. To allow this uncertainty to be considered systematically, we formalize a model selection procedure that specifies the lag structure of a model and accounts for aberrant observations. The procedure can be used to bootstrap the complete model selection process when estimating forecast intervals. We apply the procedure to generating forecasts and forecast intervals for the change in the consumer price index in Germany, with special emphasis on assessing the risk of deflationary developments. (JEL C 5, E 0, E 5)


Frerichs, Hergen
"Does Pooling of Financial Statements and Default Data across Specialized Banks Improve Internal Credit Rating Systems? "

Under the new Basel capital accord, banks will have the opportunity to estimate default probabilities for regulatory capital calculation. In the European Union, most banks will implement the internal ratings based approach, as most corporate customers are not externally rated. Based on data from Deutsche Bundesbank and using a simulation approach, this paper addresses the issue whether pooling of data improves rating system quality even if participating banks are regionally or sectorally specialized and the pooling does not take these factors into account. The primary result is that even under these circumstances pooling is beneficial for most small and medium-sized banks independent of their specialization. (JEL G 2, G 21, G 28, G 52)


Berg, Tobias and Willershausen, Timo
"Estimation of Expected Stock Returns Based on Bond Markets"

To estimate stock returns, two main approaches are currently discussed in the financial literature: estimates based on past returns on the one hand and implicit determination on the basis of cash-flow prognoses on the other. However, these two approaches are subject to a number of drawbacks. The first approach suffers from a lack of reference to current market data, whereas the latter is highly sensitive to the cash-flow prognoses. This article presents an alternative way that is based on dept valuation. In this context, the investors' risk preference is extracted from current bond prices and CDS spreads using default probabilities. A structural model is applied to establish a relationship between the default probabilities and market risk premium and, thus via the CAPM, with expected equity returns. Application to real market data exemplifies the theoretical considerations and underlines conceptual advantage, which are indicated by the small variance of estimated returns.