KREDIT und KAPITAL - Issue 4/2001



Wilkens, Marco and Entrop, Oliver and Scholz, Hendrik
Outperformance-Zertifikate und Aktienindizes in Fremdwährungsräumen

Kakes, Jan and Sturm, Jan-Egbert and Maier, Philipp
Monetary Transmission and Bank Lending in Germany

Guender, Alfred V.
Alternative Monetary Policy Rules and the Specification of the Phillips Curve: A Comparison of Nominal Income with Strict Inflation Targeting

Hansen, Gerd
Prognostiziert die Zinsstruktur die Inflation in Deutschland?

Wahl, Jack and Broll, Udo
Zur Vorteilhaftigkeit des Hegdings für Banken

Wagner, Niklas and Szimayer, Alexander
Alternative Model Specifications for Implied Volatility Measured by the German VDAX


Höppner, Florian and Kohns, Stephan
Konstanz Seminar on Monetary Theory and Monetary Policy 2001

Book Reviews

Welfens, Paul J. J.
European Monetary Union and Exchange Rate Dynamics. New Approaches and Application to the Euro (Sandra Haasis)

Weber, Max
Die bankaufsichtlicher Erfassung der liquiditätsmäßig-finanziellen Risiken unbedingter Finanztermingeschäfte (Wolfgang Bessler and Heiko Opfer)

Steiner, Peter and Uhlir, Helmut
Wertpapieranalyse (Philip M. V. Hallensleben)


Wilkens, Marc and Entrop, Oliver and Scholz, Hendrik
"Stock Index- related Outperformance Certificates in Foreign Currency Areas"

Certificates that relate to international stock indices, but are not subject to exchange- rate variations offer investors a level of performance that may be noticeably higher than the underlying index concerned. This article analyses the presumed attractiveness of outperformance certificates from an euroland point of view within the framework of a generalised Black/ Scholes/ Merton world. Where the interest rate differential between the respective currency areas is positive, investors ultimately renounce the anticipated (positive) exchange rate value development in the case of certificates not subject to exchange rate risks compared with like certificates that are liable to exchange rate variations, which accounts for the lower value of the certificates and explains why the multiplyer is higher than one. The interest rate differential, the dividend yield, the stock index yield volatilities and the exchange rate variations as well as the correlations among all of them represent special price determinants of these innovative financial products that can also be used for purposes of international diversification.


Kakes, Jan and Sturm, Jan- Egbert and Maier, Philipp
"Monetary Transmission and Bank Lending in Germany"

This paper analyses the role of bank lending in the monetary transmission process in Germany. We follow a sectoral approach by distinguishing corporate lending and household lending. We find that banks respond to a monetary contraction by adjusting their securities holdings, rather than reducing their loans portfolio. Most lending categories even show an increase following a monetary tightening. The main implication of our results is that a blank lending channel is not an important transmission mechanism. On the contrary, by insulating their loans portfolio from monetary shocks, banks are more likely to weaken than to strengthen the impact of monetary policy.(JEL E 44, E 51, E 52)


Guender, Alfred V.
"Alternative Monetary Policy Rules and the Specification of the Phillips Curve: A Comparison of Nominal Income with Strict Inflation Targeting"

This paper shows that the instability of nominal income targeting in a simple backward- looking- macro model disappears if the policymaker chooses to adopt a hybrid nominal income target, which is a special case of the optimal monetary policy. This form of nominal income targeting is compared to another form of optional monetary policy, strict inflation targeting, so as to establish the conditions under which the former strategy is preferable to the latter. For most coefficient estimates reported in the literature hybrid nominal income targeting is likely to dominate strict inflation targeting as a strategy of monetary policy. We also analyze the two strategies of using a forward- looking specification as our baseline model. In contrast to the policy frontier based on the backward- looking model, this policy frontier is not U- shaped; instead it implies a monotonic trade- off between the relevant parameters. In this model the strict inflation target becomes more attractive relative to the hybrid nominal income target as the Phillips Curve parameter increases in size. A strict inflation target is more likely to dominate a nominal income growth rate target than a hybrid nominal income target for certain values of the Phillips Curve parameter. (JEL E 5)


Hansen, Gerd
"Does the Interest- Rate Structure Forecast Inflation in Germany?"

This article analyses whether or not a multivariate co- integration model of the interest- rate structure is appropriate for forecasting inflation and, thus, for a money supply policy oriented at inflation forecasts. According to the theory, a set of variables with two future rates of inflation and two rates of interest produced three co- integration relationships. The estimated results show that rates of inflation depend on all three co- integration relationships. It follows there from that the bi- variate models employed in the specialised literature describe the interrelationships in an only unsatisfactory manner.

The inflation forecast based on the interest- rate structure was better than the forecast based on the P- Star model.


Wahl, Jack and Broll, Udo
"Banking and the Advantage of Hedging"

We investigate how a competitive banking firm uses contractural arrangements like a variable rate of deposits to insure against profit risk from investments in risky assets and how the expected utility of the bank manager is affected by such risk management policy. Furthermore, we discuss the advantage of risk policy based on financial hedging in futures markets. We answer the question which of these risk management policies the bank manager will prefer.


Wagner, Niklas and Szimayer, Alexander
"Alternative Model Specifications for Implied Volatility Measured by the German VDAX"

In this paper, two nasted model specifications for the stochastic behaviour of the German stock market volatility index VDAX are compared based on a sample of index observations. Following the literature, the well- known mean reverting diffusion model serves as the standard model specification. The second model specification is an extension which allows for discontinuous changes in the series. The estimation results for the VDAX indicate that the empirical observations do not confirm the moment restrictions given by the standard model. While, at the given confidence level, this yields to a rejection of the mean reverting diffusion model, the extended specification cannot be rejected providing significant evidence of a positive jump component. An application of the mean reverting jump diffusion model is given in a risk- neutral option pricing framework. Simulated option prices reveal economically and statistically significant price differences not only depending on the choice of the model specification but also due to the consideration of the jump component itself. (JEL C 13, C 15, C 22, G 13)