KREDIT und KAPITAL - Issue 3/2003


Contents


Articles

Jochum, Christian and Kirchgässner, Gebhard
Hat die Zinsstruktur Aussagekraft für die zukünftige Inflation in Deutschland? Eine Kritik des Mishkin-Ansatzes

Zagler, Martin
Langfristige Nichtneutralität von Geld in einem endogenen Wachstumsmodell

Schäfer, Henry and Hochstein, Martin
Zur Konkurrenzfähigkeit des Pfandbriefs. Neuere theoretische und empirische Erkenntnisse

Bugár, Gyöngyi and Maurer, Raimond
Performance of International Portfolio Diversification Strategies: The Viewpoint of German and Hungarian Investors


Reports

Wagner, Helmut
Inflation Targeting versus Monetary Targeting

Höppner, Florian
Konstanz Seminar on Monetary Theory and Monetary Policy 1999


Book Reviews

Burghof, Hans- Peter
Eigenkapitalnormen in der Theorie der Finanzintermediation (Doris Neuberger)

Willms, Manfred
Private Finanzierung von Infrastrukturinvestitionen: Theoretische und empirische Grundlagen (Hans-Hermann Francke)


Summaries

Jochum, Christian and Kirchgässner, Gebhard
"Can the Term Structure be Used to Predict Future Inflation in Germany? A Critique of the Mishkin-Approach"

Using data from 1973 to 1997, we first use the approach developed by Mishkin for the US and are able to reproduce very similar results for Germany. However, these results are extremely unstable, once further variables are introduced in the equations. After checking for the order of integration we use two different tests for cointegration and show that in nearly all cases the hypotheses behind the Mishkin approach have to be rejected. Thus, this approach can hardly be used to predict future German inflation. Moreover, the seemingly successful application of this approach depends more on the negative correlation between short-term interest and long-term inflation rates than on a positive correlation between long-term interest and inflation rates.

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Zagler, Martin
"Long-term Non-neutrality of Money in an Endogenous Growth Model"

The present contribution furnishes theoretical evidence to the effect that a stabilising monetary policy promotes economic growth. It uses a model with rational utility-maximising representative actors and profit-maximising companies gaining from placing innovative products in monopolistic competitive markets. Where prices are rigid because of low menu costs, monetary expansion increases aggregated demand; as a result, profits rise in the monopolistic competitive markets making it interesting for new firms to access these markets. Since this is only possible with the help of new and innovative products, there is an incentive to research and development activities. Owing to the fact that a larger variety of products increases total factor productivity, the economy will record a welfare-increasing rise in the rate of economic growth for a given set of resources.

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Schäfer, Henry and Hochstein, Martin
"Competitiveness of the German Pfandbrief Recent Theoretical and Empirical Findings"

Since the mid-nineties the German Pfandbrief market (i. e. mortgage bond market), beside government bonds the most important market segment, has developed in a very dynamic way, with a focus on the newly established Jumbo Pfandbrief. With uniform characteristics and large emission volumes, the Jumbo Pfandbrief is to attract in particular foreign institutional investors which have so far been underrepresented in the Pfandbrief market. This article deals with a product-related characterisation of the Pfandbrief as seen from major institutional investors' viewpoints, and represents an extensive empirical study of the Jumbo Pfandbrief market. A homogeneity analysis is carried out which shows that institutional investors at present still see the Jumbo Pfandbrief market as a single market segment and that certain qualitative bonds criteria like liquidity or rating do not have implications on bond returns. In a comparison with German government bonds it is then shown that on the one hand the Jumbo Pfandbrief market still suffers from some qualitative deficits but on the other hand the Jumbo Pfandbrief generally has a high substitution potential for asset allocation.

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Bugár, Gyöngyi and Maurer, Raimond
"Performance of International Portfolio Diversification Strategies. The View Point of German and Hungarian investors"

In this paper, we study the benefits derived from international diversification of stock portfolios from the German as well as the Hungarian perspective. Seen from an ex post perspective the benefits for Hungarian investors from internationally diversified portfolios accrue in terms of reduction in risk while for German investors the benefits accrue also in terms of higher expected returns. By examining the performance of several ex ante strategies the paper also gives evidence of the benefits of international diversification for both countries.

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Reports

Wagner, Helmut
"Inflation Targeting versus Monetary Targeting"

Inflation Targeting is currently one of the key issues in the discussion about monetary policy theory. It attracted public attention especially in the debate about the newly established European Central Bank's monetary policy strategy.

The most widely known advocates of inflation targeting like to refer to it as one of the most efficient or even the only monetary policy strategy that is efficient at all. This hypothesis has been closely analysed in this contribution comparing inflation targeting to the competing strategy of monetary targeting. Two aspects have been more closely analysed: The efficiency of the choice of interim objectives on the one hand and transparency, accountability and, thus, credibility of the respective monetary policy strategy on the other.

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