Da Silva, Sergio
The Role of Foreign Exchange Intervention in a Chaotic Dornbusch Model
Bindseil, Ulrich
Towards a Theory of Central Bank Liquidity Management
Pierdzioch, Christian and Stadtmann, Georg
Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell heterogener Erwartungsbildung
Altrock, Frank
Steuerklienteleffekte und Steuerstundungsoptionen auf dem deutschen Rentenmarkt - Ein Binominalbaummodell
Dohse, Dirk and Krieger-Boden, Christiane
Währungsunion und Arbeitsmarkt - Auftakt zu unabdingbaren Reformen (Christina E. Metz)
Horn, Gustav E. and Scheremet, Wolfgang and Zwiener, Rudolf
Wages and the Euro (Jörg Lingens)
Da Silva, Sergio
"The Role of Foreign Exchange Intervention in a Chaotic Dornbusch Model "
Massive foreign exchange interventions are shown to remove chaos, and instability in the models of De Grauwe and Dewachter (1992) and De Grauwe, Dewachter, and Embrechts (1993), where the exchange rate can behave chaotically in the framework of the Dornbusch model. (JEL F 31, F 41, F 47)
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Bindseil, Ulrich
"Towards a Theory of Central Bank Liquidity Management"
The "liquidity management" of a central bank is defined as the framework of instruments and rules the central bank uses in steering the amount of reserves in order to control their price (i. e. short term interest rates) in consistency with its ultimate goals (e. g. price stability). This paper discusses the tools of a tentative theory of liquidity management. The time-structure of fulfilling reserve requirements is identified as the crucial dimension of the ,,framework" for liquidity management. The paper then gives an overview of key elements explaining how the optimisation behaviour of banks shapes overnight rates system with reserve requirements and averaging. The paper continues by specifying the concept of "liquidity management strategy" and by providing examples such strategies. Finally, based on the preceding elements, it outlines the approach that a normative theory of liquidity management could follow and provides a basic example as illustration. (JEL E 52)
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Pierdzioch, Christian and Stadtmann, Georg
"Heterogenous Expectations Based on a Macroeconomic Model of a Complex Stock Price and Exchange-Rate Dynamism"
In this contribution, complex stock-price and exchange-rate trajectors are derived within the framework of a non-linear dynamic macroeconomic model with inert output adjustment in the goods market and heterogenous expectations for the asset markets. Some light is thrown on the implications of the conflict between chartists and fundamentalists for the asset-price volatility. This contribution shows that this model allows to explain in theoretical terms the empirically proven GARCH effects on financial-market prices. To this end, chaos theory-based analysis procedures are applied. The next analytical step is to look into the effects an asset price-based monetary policy on the variance of financial-market variables and of output. The model-theoretic analysis shows that, depending on the model parameters, an increasing asset-price sensitivity of monetary policy may ease the volatility of asset prices and of output.
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Altrock, Frank
"Tax-Clientele Effects and Tax-Timing Options in the German Bond Market -
A Binomial Tree Model"
Tax-clientele models consider the optimization problems of differentially
investors under a buy-and-hold assumption whereas tax-timing option models draw on homogeneously taxed investors with the opportunity of future assets trading at (ex ante) uncertain prices. In the latter models, optimal trading strategies imply a tax postponement in certain cases. Tian's (1996) discrete-time dynamic trading model is the first to analyze future asset trading among differentially taxed investors. In this paper, the Tian (1996)-model, which is customized for the US-investor taxation, is adopted for German taxation rules. The Niederstwert- rule that applies to German corporations requires a path-dependent valuation approach. The numerical (this being another American put-option pricing problem) results are: Under German taxation rules, too, tax-clientele effects have a significant impact on simulated asset prices. However; the benefits of tax post-ponement do not stern from future asset trading possibilities (as under US-investor taxation) but are generated by the Niederstwert-rule. There are no tax advantages from future asset trading over a simple buy-and-hold investment policy.
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