KREDIT und KAPITAL - Issue 3/1977



Müller-Schwerin, Eberhard and Strack, Heinz
Mathematisch-Statistische Verfahren zur Formalisierung des Kreditentscheidungsprozesses

Hanssen, Rolf A. and Reiß, Wilfried
Börsenzwang und Markteffizienz. Eine empirische Untersuchung mit Hilfe von „Random-Walk-Tests“

Frisch, Helmut
Monetarism and Monetary Economics. A Delayed Comment

Roskamp, Karl W.
A Generalized Production Function and its Special Cases

Sheffrin, Steven M.
Government Equity-Bonds and Stabilization: A Proposal

Trivoli, George W.
A Modest Proposal for a Private International Monetary System

Rahmann, Bernd
Zu den Beziehungen zwischen Inflation, Arbeitslosenquote und Einkommensverteilung in der Bundesrepublik Deutschland 1960-1976


Duwendag, Dieter
The „New Era“ of Controlling Monetary Aggregates

Book Reviews

Siebke, Jürgen und Willms, Manfred
Theorie der Geldpolitik
(Dietmar Kath)

Milbradt, Georg H.
Ziele und Strategien des Debt Management. Ein Beitrag zur Theorie der optimalen Schuldenstruktur des Staates unter Einbeziehung der Notenbank

Alexander, Volbert
Geldangebot und Geldangebotskontrolle in der Bundesrepublik Deutschland
(Nikolaus K. A. Läufer)

Johnson, Harry G.
Beiträge zur Geldtheorie und Währungspolitik
(Manfred J. M. Neumann)

Röper, Burkhardt (Hrsg.)
Wettbewerbsprobleme im Kreditgewerbe
(Wolf-Dieter Becker)

Woll, Artur und Vogel, Gerald
(Wolf-Dieter Becker)

Mundell, Robert A.
Geld- und Währungstheorie
(Gerhard Zweig)

Schultz, Bruno
Kleine deutsche Geldgeschichte des 19. und 20. Jahrhunderts
(Manfred Hartmann)

Neldner, Manfred
Die Bestimmungsgründe des volkswirtschaftlichen Geldangebots
(Hermann Remsperger)

Thorn, Richard S.
Introduction to Money and Banking
(Hartmut Rudloff)

Gerber, Beat
Stabilitätspolitik – Vollbeschäftigung, Preisniveaustabilität und Zahlungsbilanzgleichgewichte im wirtschaftspolitischen Spannungsfeld
(Klaus Wieners)

Hellmann, Rainer
Dollar, Gold und Schlange. Die letzten Jahre von Bretton Woods

Tritten, Kurt
European Banks – A Comparative Analysis of the Leading European Banks
(Hans Pfisterer)

Großeschmidt, Brita
Kritik der postjeynesianischen Stabilitätspolitik – Ein Beitrag zur Phillips-Kurven-Diskussion
(Bernd Faulwasser)

Benölken, Heinz
Langfristige Personalplanung im Kreditinstitut
(Christian Kunze)


Müller-Schwerin, Eberhard and Strack, Heinz
„Mathematical, Statistical Methods for Formalizing the Credit Decision Process”

The starting point for the use of mathematical, statistical methods in reaching credit decisions (credit scoring systems) is the wish
- to eliminate the weak points in traditional credit appraisal based on subjective yardsticks of value
- and to improve profitability by formalized assessments of creditworthiness by making fast but nevertheless sure credit decisions possible.
Credit scoring systems work almost exclusively with discriminatory analysis, a method which makes it possible to separate credits into "good" and "bad" on the basis of clearly identifiable Attributes of the borrowers. In addition to a description of discriminatory analysis, this contribution deals with the important question of what borrower Attributes should be chosen for a credit scoring system. The quality of credit decisions reached with the help of a credit scoring system depends on how far the credit cases on which the method is based satisfy the conditions precedent for the application of statistical probabilities. The so-called forecasting problems become less significant only when a sufficiently large number of approximately similar credit cases are available. This explains the practical importance of credit scoring systems for consumer credits. After implementation of a credit scoring system, the credit rating factors included in the system for every borrower become quantifiable and can be combined additively to give an index number representing creditworthiness. The credit decision is reached by comparing that index number with a pre-determined optimal-profit elimination criterion. The so-called critical case is thus sorted out for individual consideration.


Hanssen, Rolf A. and Reiß, Winfried
„Compulsory Stock Exchange Transactions and Market Efficiency“

In the course of the stock exchange reform, so-called compulsory stock exchange trading was introduced from July 1, 1968, onwards by way of self-commitment of the banks. Since that time, share purchase and sales contracts up to DM 100.000,00 must be performed via the stock exchanges and cannot be settled by offset transactions among the banks or by the banks entering into such contracts themselves. This article examines how far this broadening of the market, which compulsory stock exchange trading was intended to and did bring about, has made share pricing more objective i. e., less manipulatable. The point of departure was the assumption that reduction of possibilities to manipulate must enhance market efficiency. Efficient markets, however, are characterized by the fact that changes in price series on those markets are independent over time, i. e., they satisfy the random walk hypothesis. With two of the best-known random walk tests - estimation of autocorrelation coefficients and the run test - we examined the prices of shares of frequently traded German public companies prior to and after the stock exchange reform, and found that in the case of a significantly large number of price series there was indeed a reduction in deviation from the randomwalk. From this we feel we may conclude that compulsory stock exchange trading has led, not to stabilization of the price trend as found by other studies, but certainly to an improvement in the efficiency of the German securities market.


Frisch, Helmut
“Monetarism and Monetary Economies”

In his essay "The Structure of Monetarism" Prof. Mayer has characterized present-day monetarism by using 12 propositions. In this note 1 concentrate on his first proposition (the Neo-quantity theory of money) and on the "stability"-postulate. The Neo-quantity theory is discussed by appeal to the so-called accelerations-theorem, according to which an acceleration (or deceleration) of the rate of growth of money supply generates real effects, while in a steady state the rate of money supply determines only the rate of inflation. The few empirical studies make it questionable, whether one can speak of a "predominance" of a monetary impulse on output and production. It is contended that the accelerations theorem is compatible with adaptive expectations but not with the model of rational expectations. According to the latter a monetary Impulse would only generate inflationary an no real effects. Recent empirical investigations convey the impression that for the USA in the period after the 11. World War the acceleration or deceleration of the rate of money expansion has not been anticipated. Therefore the accelerations-theorem seems to be more compatible with the empirical evidence than does the model of rational expectations. The fundamental difference between monetarism and monetary economics in general is to be found in the "stability conjecture" according to which the private sector of the economy is inherently stable. "Monetarism" is defined as monetary economies with the additional assumption of the "stability conjecture". This conjecture is not an operational concept and belongs to the "Weltanschauung" of the monetarist school of thought. After a discussion of a more operational concept of stability it is pointed out that older monetarists such as Wicksell and Hayek used instead of the stability conjecture the concept of the "cumulative" process, which implies that the monetary sector of the economy is inherently unstable.


Roskamp, Karl W.
„A Generalized Production Function and its Special Cases”

Sixteen years ago Arrow, Chenery, Minhas and Solow derived the Constant Elasticity of Substitution (CES) production function. Its derivation proceeded in two steps. The first one was to estimate a stochastic equation in which labor productivity is a function of the wage rate. The second step involved a linkage of this empirically determined equation with the body of established neoclassical theory: the wage rate was assumed to be determined competitively and a function of the capital-Iabor ration. In this paper above procedure for the derivation of the CES function was modified. First, the empirical proposition is that labor productivity is determined by the wage rate and the capital-Iabor ratio. Second, the wage rate is assumed to be determined in a non-competitive manner. With these two changes a much wider class of linear homogeneous production functions is obtained. It includes as special cases the Variable Elasticity of Substitution(VES) production function and the CES function. As is well-known, the latter in turn includes as special cases (a) the perfect elasticity of substitution production function, (b) the Cobb-Douglas production function and (e) the Leontief fixed Proportion production function.


Sheffrin, Steven M.
“Government Equity-Bonds and Stabilization: A Proposal“

Current monetary policy is conducted by open market operations which swap money for bonds. This may be an ineffective means of controlling the ratio of market value of the capital stock to its replacement value or "q" in James Tobin's notation. A proposal is made to issue some of the government debt in a bond which is indexed to Equity or the stock market. By conducting open market operations in this security, the government would be able to control equity prices rather precisely and, hence, control q. Evidence is summarized which illustrates the role of equity prices in the determination of national income and suggests that some mechanism is needed to control equity prices more precisely. The feasibility of the government equity-bond is discussed in some detail. It is concluded that the bond should be readily marketable, can be priced rather easily by investors and would provide efficient diversification for many investors. Stabilization policy with these bonds would generally involve open market operations in regular debt and equity-debt. The political dynamics of monetary policy following the introduction of this bond may differ considerably from the present.


Trivoli, George W.
“A Modest Proposal for a Private International Monetary System”

Much interest has been generated in recent years regarding the feasibility, practicability, and, indeed, necessity of development of a private competitive money system, relatively free of central government interference. The practical means of actually achieving a world system of competitive private monies has become even more eminent with the great advantages in electronic funds transfer. The proposal set forth by the author is for an international private competitive money system based upon the use of the presently existing credit cards. It would be possible to simply convert the present international credit cards such as Carte Blanche, Visa, and American Express into independent competing money units. This credit / debit card would "circulate" just as paper currency, but the official government money would no longer have a monopoly as the only unit of monetary account. A novel "Social Services" card is suggested as the vehicle for distribution of government welfare benefits. This card would be the only government monies, and would compete directly with the private money cards. This would end to place a limit on the central government's ability to inflate the currency in order to pay for budget deficits.


Rahmann, Bernd
“On the Interrelationship of Inflation, Unemployment Rate and Income Distribution in the Federal Republic of Germany, 1960 – 1976”

(1) The relationship between the inflation rate and under employment as evidenced by the data for the Federal Republic of Germany from 1960 to 1976 reveals a long-term tendency towards acceleration of both magnitudes with an increasingly strong response of the unemployment rate. Therefore the traditional convex path of the modified Phillip’s-curve relative to the origin of the coordinates cannot be demonstrated for this period; on the contrary, over the short run there is a spiral path around the long-term trend with increasing loop diameters.
(2) Deceleration of inflation with constant or falling Inflation rates occurs increasingly at the expense of employment objective until a decisive reduction of the wage share results, which initiates a reversed trend. Hence, the hypothesis of a Phillips' curve rising vertically over a structure- and instrument-typical "natural rate of underemployment" is false for the Federal Republic in the observed period of 17 years; accordingly, it is also impossible to uphold the assertion of independence of the monetary from the real sector in this context.
(3) The wage share, as an intermittent variable, shows significantly high correlations with both the Inflation rate and - with a time-lag of one year -the unemployment rate. Therefore the statistically necessary condition is fulfilled for analysis of income distribution and distribution struggle as important determinants of the change in the cyclical components: value of money and employment. On this basis of finding, the hypothesis advanced by neo-quantity theory of private sector which has an inherent tendency towards stability has become contestable, for the struggle relating to the distribution of wage and profit income takes place predominantly in the private sector.
(4) On account of the phase-typical, differing functional relationship between the inflation rate and the unemployment rate, the determination of the statistical correlation cannot be tested on the basis of a linear or hyperbolic relation. On the contrary, a test function appropriate to the spiral path must be formulated. From hypothetically assumed path of the inflation-wage rate relation and the unemployment rate-wage rate relation, all relationship to be considered between the Inflation rate and the unemployment rate can be simulated.



Duwendag, Dieter
“The "New Era" of Control of Monetary Aggregates”

The report, itself an abridged version of a longer paper, gives a survey of common features and major problems of the new strategies practiced since about 1975 by the Swiss National Bank (SNB), the West German Bundesbank and the Federal Reserve Board (Fed).
1. The fundamentals of the "new era", dubbed an "experiment" by the central banks, have their roots in basic monetarist recommendations: prior public announcement of monetary growth objectives, transition to broader monetary Aggregates, stabilizing intention as an explicit reason, a certain shift of responsibility for inflationary price boosts from the central bank to the other groups involved in economic policy-making.
2. For the setting of monetary growth objectives ("intermediate objectives"),the central banks have chosen different Aggregates: the Bundesbank a construct of the quantity of central bank money ("CBM"), the SNB the Aggregate M1 and the Fed the Aggregate M1,2,3 (annually) and M1,2 (two-monthly). Above all, the "free liquidity reserves of the banks (FLR)" [Bundesbank], the "adjusted monetary base (Ba)" [SNB] and various reserve Aggregates[Fed] serve as control variables and hence simultaneously as indicators of monetary policy.
3. The technique of controlling the quantity of money is based on discretionary changes in the liquidity and reserve Aggregates, which trigger stimuli to adjust interest rates and adaption constraints that influence the growth of monetary Aggregates ("indirect control mechanism"). Uncertainties in calculations (dosage and timing of control variables, time lags) render control policy more difficult, as do fluctuating multipliers and velocities of circulation of money (v).
4. The chief problems of the new Bundesbank policy were extreme fluctuations of FLR multipliers, the arbitrary composition of CBM and the inclusion of vCBM in the calculation of the CBM growth objective Marked fluctuations of the "Ba" multiplier have made the control policy of the SNB considerably more difficult and make a change to broader reserve and money quantity Aggregates seem advisable. The lack of coordination of money quantity objective with the government and the non-publication of the components of the monetary growth rate are grave deficiencies of the new Fed strategy. The simultaneous setting of several objective values with broad bandwidths and the changing basis in laying down long-term money quantity objective make assessment of the success of the Fed strategy difficult and aggravate the problem of consistency between interest-rate and money quantity objectives.