KREDIT und KAPITAL - Issue 2/2002


Contents


Articles

Sander, Harald and Kleimeier, Stefanie
Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An Empirical Investigation into Interest Rate Pass- Through

Scholtens, Bert
Bond Yield Spreads and Country Risk: A Lasting Relationship?

Dorfleitner, Gregor
Stetige versus diskrete Renditen - Überlegungen zur richtigen Verwendung beider Begriffe in Theorie und Praxis

Maurer, Raimond and Sebastian, Steffen
Inflationsrisiken von Aktien, Bonds und indirekten Immobilienanlagen


Reports

Körnert, JanKörnert, Jan
Die Bankenkrisen in Nordeuropa zu Beginn der 1990er Jahre: Eine Sequenz aus Deregulierung, Krise und Staatseingriff in Norwegen, Schweden und Finnland


Book Reviews

Scharpf, Paul and Luz, Günther
Risikomanagement, Bilanzierung und Aufsicht von Finanzderivaten (Heinz Rehkugler)

Hirth, Hans
Zur Theorie der Marktmikrostruktur (Wolfgang Breuer)


Summaries

Sander, Harald and Kleimeier, Stefanie
"Asymmetric Adjustment of Commercial Bank Interest Rates in the Euro Area: An empirical Investigation into Interest Rate Pass- Through"

Our study extends the traditional pass- through literature by incorporating an error correction mechanism that is based on cointegration analyses allowing for structural breaks and symmetric as well as for a variety of asymmetric adjustment mechanisms. While some results of earlier pass- through studies regarding a symmetric monetary transmission mechanism within the euro area are confirmed, our study provides additional evidence that not only the speed of adjustment differs but that the nature of the adjustment process itself is heterogeneous across countries. Therefore, our analysis provides a deeper insight into the differential workings of the banking markets across Europe. (JEL E 43, E 52, E 58, F 36)

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Scholtens, Bert
"Bond Yield Spreads Country Risk: A Lasting Relationship?"

This paper investigates whether bond yield spreads reflect country risk. As bond prices and bond yields are determined in the secondary market, bond yields and their spread vis-à-vis US Treasury bonds might provide a continuous and a more reliable information base than traditional measures of country risk. We show that there is a strong relation between changes in the bond yield spread and changes in country risk. Secondary market analysis appears to be a promising additional tool in country risk analysis. However, an important drawback of the bond yield spread as an indicator of country risk appears to be the limited stability of the relationship through time.(JEL F21, F34, G14, G15)

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Dorfleitner, Gregor
"Log Returns Versus Simple Returns Delibrations on How to Use Both Terms Properly in Theory and in Practice"

This article analyses the differences between log and simple returns. Such differences are of great importance in many fields of capital market theory and financial management as far as stochastic and statistical properties are concerned. The article also addresses the question of annualising and estimating the variances and co- variances. On the basis of a practical example, the proper handling of both terms is shown. In addition, the article contains a few examples concerning non-intuitive facts, including one that proves a possible dominance inversion when changing from the simple to the log return notion.

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Maurer, Raimond and Sebastian, Steffen
"Inflation Risks of Stock, Bonds and Indirect Real Estate Investments"

For private investors the protection against the loss in purchase power is an essential element of their investment decision. Typical investment in portfolios of stock, bonds and real estate investments companies as indirect real estate investments are examined for the period 1980: 1-2000:12. As the conceptions of real estate investment vehicles differs substantially in national legislation, an overview of the institutional frameworks regarding these companies is given for the markets in Germany, France, Switzerland and United Kingdom. Besides the classical Fama/Schwert- approach the inflation risk is examined using shortfall risk measurements for different investment horizons.

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Reports

Körnert, Jan
"Banking Crises in Northern Europe in the Early 1990s: A Sequence of Deregulation, Crisis and Governmental Intervention in Norway, Sweden and Finland"

The North European economies experienced a large measure of deregulation in the 1980s. Developments were characterised by excessive bank lending activities with rising interest rate and credit-default risks, inter alia. Since risk managers of banking operations did not adequately meet their control functions, the earnings positions of many banks deteriorated dramatically resulting in a crisis of banking in Norway, Sweden and Finland in the early 1990s. This article throws some light on the causes known as ,,bad banking, bad policies and bad luck" and addresses the sequence of deregulation crisis and governmental intervention.

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