Contents

Articles

*Gerke, Wolfgang and Mager, Ferdinand and Rohde, Mark *

Länder- versus Brancheneinfluss auf Aktienrenditen: 1973 bis 2002

*Pösö, Mika and Stracca, Livio*

What is the Role of the Monetary Base in Monetary Policy Today?

*Stickel, Eberhard*

An Economic Analysis of Collaboration Between Competing Firms

*Albrecht, Peter and Kantar, Cemil*

Random Walk oder Mean Reversion? - Eine statistische Analyse des Kurs/ Gewinn-Verhältnisses für den deutschen Aktienmarkt

*Johanning, Lutz and Werner, Sebastian*

Risikomanagement auf Basis des Value-at-Risk für Investmentfonds

*Heidorn, Thomas*

Finanzmathematik in der Bankpraxis. Vom Zins zur Option

(Heike A. Lang)

*Körnert, Jan*

Balanced Scorecard.

Theoretische Grundlagen und Perspektivenwahl für Kreditinstitute

(Thorsten Jöhnk)

*Gerke, Wolfgang and Mager, Ferdinand and Rohde, Mark *

"Country versus Branch Influences on the Yield of Shares: 1973 to 2002"

Country factors have for a long time dominated industry effects in explaining stock returns. More recent analyses, however, have identified a rising global industry effect that comes close to the country effect towards the end of the 1990ies. The present study increases the time period covered to 30 years and examines the question in what way the relationship between branch and country effects has developed from the March 2000 drop in share prices. The results show a clear decline in the importance of industry factors. The preceding increase should therefore not be interpreted any longer as an expression of economic and market globalisation.

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*Pösö, Mika and Stracca, Livio*

"What is the Role of the Monetary Base in Monetary Policy today?"

This paper provides a selective and up-to-date review of the literature on the possible roles of the monetary base in monetary policy. The paper emphasises that, while the monetary base lies at the core of central banking and is the ultimate instrument allowing central banks to exert influence over interest rates and ultimately over macroeconomic conditions, it has seldom played a significant role in formulating and implementing monetary policy. In particular, the monetary base has very seldom been used as a sole operational target and the experience with the monetary base as an intermediate target is also rather limited. Today, for most central banks the monetary base appears to be at most an information variable. However, the debate over monetary policy when interest rates hit the zero bound and some recent theoretical advances have recently revived the academic and policy interest in the monetary base. (E51, E52, E58)

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*Stickel, Eberhard*

"An Economic Analysis of Collaboration Between Competing Firms"

To understand adoption of collaborative systems, it is of great importance to know about economical effects of collaboration itself. Decision makers should be able to value potential drawbacks and advantages of collaboration. Based on this estimation, the potential of collaborative technology may be determined. Throughout the paper we are interested in the effects of collaboration across a firm's boundary. There is a vast literature on economical effects of collaboration among companies situated along different phases of the value chain. At least in economical terms this seems to be a well understood problem. The situation is different with respect to collaboration between competing companies. Strategies of firms may be seen as a mixture of cost reduction, product differentiation and improvement of decision making and/or planning. In this context information technology may help a firm to create sustaining competitive advantages over competitors. It is less clear whether collaboration is of any use in such an environment. According to the economics literature, the most important factors affecting benefits of collaboration are market structure, kind and degree of uncertainty faced by the firms, their risk preferences and the type(s) of product(s) offered (homogeneous or heterogeneous products). The results reported depend on the way these factors are combined. They partially contradict each other. In this paper we will analyze the most relevant case of an oligopoly with differentiated products, demand uncertainty and risk averse managers. This combination has not yet been examined in detail, although it is the most realistic case. We will present a microeconomic model and use techniques from game theory for the analysis. The way the model is constructed will allow the derivation of closed-form solutions. Results indicating whether collaboration in various areas makes sense will be obtained. This makes it possible to judge the potential of available collaborative technology. The simple model presented may be extended in a variety of ways. Some directions for possible generalization are indicated. (JEL C0, C70, L10)

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*Albrecht, Peter and Kantar, Cemil*

"Random Walk or Mean Reversion? - A Statistical Analysis of the Price/Earnings Ratio for the German Stock Market"

The present contribution considers the question whether the random walk model or an AR(1)-process ("mean reversion") is a better representation for the development of the price/earnings ratio of the German blue-chip index DAX. Empirical evidence for one of these alternative model hypotheses is crucial to the predictability of the underlying variable, i.e. the P/E ratio. While the random walk hypothesis implies the non-existence of a long-run "fair" value for the variable of interest, an AR(1) process, in contrast, possesses a long-run mean and exhibits mean reverting behaviour in that it fluctuates around this constant long-run value. Both an exploratory data analysis and a set of formal statistical tests equally lead to the conclusion that the hypothesis of an AR(1) process, in a statistical sense, better represents the investigated time series data than the random walk model. The consequences of this key result are not only discussed with respect to the predictability of the P/E ratio of the German stock market index, but also with regard to forecasts for the development of the DAX itself.

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"Risk Management for Investment Funds on a Value-at-Risk (VaR) Basis"

The present article analyses the suitability of the value-at-Risk (VaR) approach for assessing risks in the field of capital investment as well as for regulating the use of derivates according to the DerivativeV (method). The most important results of this analysis are as follows: The VaR presents a relatively simple reference number easy to communicate. However, it is problematic that the VaR is only ascertained on the basis of the number of loss-exceeding cases to be expected, whilst the dimension of the amounts lost does not exert any influence on risk values. Another drawback is that the VaR describes just one point in the probability distribution of market value changes. For risk ascertaining purposes, holding periods should take account of the great lengths of time customary in the field of capital investment in order to avoid possibly counter-productive short-term risk management policies. Moreover, uniform holding periods should be used for VaR ascertainment and for backtesting. A lower confidence level is preferable to a higher one, as a matter of principle, for permitting a more accurate estimation of the VaR. An at least one-year period with historical data must also be regarded as too short for the field of capital investment because of its historical data base. Model calculations show that, although the VaR pertaining to long holding periods has been substantially overestimated on the basis of various approximation equations, the coverage of real losses has been better as a result. Finally, it is demonstrated that investment management firms can make substantial investments in options and invest even their whole special assets in the case of specific market conditions in accordance with the requirements of the DerivativeV (method). This permits the conclusion that the VaR approach may also be used for purposes of the capital investment field and that the DerivativeV (method) may be applied in a meaningful manner as a matter of principle. Since all the other uni-dimensional risk measurement systems are affected by comparable deficits as well, the task is to uncover such deficits and to apply accompanying rules for getting such deficits under control, if appropriate, by requiring stress test to be made, for instance.

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