KREDIT und KAPITAL - Issue 1/1995


Contents


Articles

Wittrock, Carsten and Steiner, Manfred
Performance-Messung ohne Rückgriff auf kapitalmarkttheoretische Renditeerwartungsmodelle

Crockett, Andrew
Financial Innovation: Macro-economic and Macro-prudential Consequences

Fratianni, Michele and Huang, Haizhou
New Growth Theory: A Survey from a Policy Perspective

Jarchow, Hans-Joachim
Zum Einfluß von Auslandstransaktionen auf Bankenliquidität, Geldmenge und Bankkredite

Lütkepohl, Helmut and Moryson, Martin and Wolters, Jürgen
Stabilitätsanalyse der bundesdeutschen Geldnachfrage anhand alternativer Ansätze zur Modellierung variierender Regressionskoeffizienten


Reports

Müller, Horst
Zur Risikobereitschaft privater Geldanleger

Wesche, Katrin
Konstanz Seminar on Monetary Theory and Monetary Policy 1994


Book Reviews

Hansmeyer, Karl-Heinrich
Finanzierungsprobleme der deutschen Einheit I - Staatsverschuldung, EG-Regionalfonds, Treuhandanstalt (Jochen Michaelis)


Summaries

Wittrock, Carsten and Steiner, Manfred
"Performance-Measurement without Links to Particular Equilibrium Models - An Analysis of the Performance of German Mutual Funds"

Using only returns as a source of information we examine the performance of 21 German mutual funds between 1974 - 1991. The measures employed include the positive period weighting measure proposed by Grinblatt/ Titman. Based on their insights it is shown that links between performance measures and particular equilibrium models are not necessary and that an unconditional mean-variance efficient portfolio of assets that are considered tradable by the evaluated investor provides correct inferences about an investor's performance. The results from applying that measure which overcomes timing-related estimation problems almost identical to the results obtained by employing the Jensen-measure. Our findings were supported by applying stochastic dominance criteria which utilize the entire probability density function of returns rather than a finite number of moments such as mean and variance. We found no evidence that the funds on average provide investors with superior performance that surpasses of a broad performance equity index over the sample periods.

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Crockett, Andrew
"Financial Innovation: Macro-Economic and Macro-Prudential Consequences"

The past two or three decades have witnessed accelerating change in financial markets, driven by the interaction of deregulation and innovation. The most recent series of innovations have been in the market for derivative financial instruments.

These developments raise questions for monetary authorities of both a macro-prudential and macro-economic character. Macro-prudential or systemic risk the risk that an individual disturbance (whether at a firm, in a market segment or in a settlement system) might cause more widespread difficulties. The avoidance of systemic risk requires strengthened risk management practices in individual firms, as well as actions to improve the resilience of markets to outside disturbances.

Macro-economic issues arise from the possibility that the increased ease of position-taking resulting from derivatives will complicate the task of formulating and implementing monetary policy. Derivatives could influence the behaviour of individual economic agents or market dynamics. In addition, they could have implications for the reliability of economic indicators and instruments. Relatively little is known about the precise channels through which derivates can affect the efficacy of monetary policy. Even if there is no presumption that they hamper its implementation, additional research is desirable.

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Fratianni, Michele and Huang, Haizhou
"New Growth Theory: A Survey from a Policy Perspective"

The main message of the new growth theory is that economic growth cannot be simply explained by capital accumulation. Technological improvements, new products, and human capital are the endogenous forces that this literature emphasizes. Public policy plays a big role in economic growth. The most pro-growth strategy is the one that does not stifle the accumulation of physical and human capital. Yet, there are many governments which continue to favor consumption at the expense of saving and investment. Public policy can also foster growth by promoting openness.

Enrichment in human capital occurs through education, training, innovation and imitation. A good example of how these factors interact is Silicon Valley in the United States, where a core industry attracts people with high human capital. This pool of labor becomes a positive externality for other industries that desire to locate next to the core industry. The high-tech industrial park rewards new entrance as well as those who invest in additional human capital.

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Jarchow, Hans-Joachim
"Aspects pertaining to the Influence of External Transactions of the Liquidity of Banks, Money Supply and Bank Lendings"

This paper starts from an article, published in the monthly reports of Deutsche Bundesbank in early 1993, which analyses the monetary effects of foreign-exchange inflows into the Federal Republic of Germany. The results presented in this article - including, inter alia, an increase in money supply, a decrease in credit supply and certain problems in monetary policy-caused liquidity creation - are deemed to be implications of a simplified money supply/ money demand model assuming a system of basically fixed exchange rates that may be varied on a case-by-case basis. The model takes account, besides net external claims of the central bank, also net external claims of the merchant banks and the non-banking sector and includes into the theoretical analysis securities in the form of interest tenders purchased under agreement to resell.

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Lütkepohl, Helmut and Moryson, Martin and Wolters, Jürgen
"Stability Analysis of Money Supply in the Federal Republic of Germany on the Basis of Alternative Approaches to Developing Models for Varying Regression Coefficients"

This paper includes a description of a number of possibilities for developing models for varying regression coefficients as well as a comparison of such possibilities within the framework of a money demand analysis for money supply M 1 in the Federal Republic of Germany in the period 1960 to 1990. Against the background of the current upheavals in Eastern Europe, these procedures are gaining in special relevance. It turns out that the various options for developing models may lead to highly different results regarding possible instabilities of regression relations, but that the use of different procedures may improve diagnosing possibilities, because all procedures suffer from certain weaknesses. It becomes clear in particular that procedures making use of only part of the sample-based information are not necessarily inferior to those approaches that benefit from the whole information at any given estimating moment.

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Reports

Müller, Horst
"Aspects pertaining to Investors' Willingness for accepting Exposures"

The willingness of German investors for accepting exposures is low: it is lower than expected when rational criteria are applied and lower than desirable in terms of national economics. For this reason, this paper analyses, on the basis of an almost representative sample of 518 financial investors, the factors determining their willingness for accepting financial exposures. Following a description of exposures deemed acceptable by investors, which is based on a number of demographic variables, the convincingness of five hierarchically structured groups of variables is verified: (1) financial situation; (2) economic expectations; (3) general propensity to save; (4) specific motive underlying an investment; as well as (5) competence and control philosophy in the financial sector.

The results demonstrate that psychological concepts are much more persuasive than demographic or economic factors. More decisive than other factors are the motives underlying financial investments: efforts for making a good return on capital employed, capability of performance, risk-acceptance as well as interest-rate levels represent factors promoting stock holding, whereas idleness represents a major impediment thereto. Advantageous are both objective and subjective competence. Economic expectations, by contrast, are of a rather minor importance. Likewise, a pronounced propensity to save contradicts to an only small extent the acceptability of "insecure" investments of the capital saved.

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