Hubbes, Hans H.
Pricing of Caps and Floors. A Simplified Approach
Loef, Hans-Edi
Reale Wechselkurse und realer zyklischer Output. Theoretisches Modell und empirische Analyse für die Bundesrepublik Deutschland
Filc, Wolfgang
Bestandsorientierte Wechselkurstheorien und Wirtschaftspolitik
Konrad, Anton
Verschuldungskrise und Verschuldungsmodelle
Cornelius, Peter
Eine kombinierte Querschnitts-/Zeitreihenanalyse zur Kreditnachfrage der Nicht-Ãl-Entwicklungsländer beim Internationalen Währungsfonds
Himarios, Daniel
âHas There Been a Shift in the Greek Money Demand Function?â
Ribe, Halvor and Schneider, Friedrich
Finanzinnovationen an den Euromärkten
Dudler, Hermann Josef
Geldpolitik und ihre theoretischen Grundlagen
(Walter Schepers)
Hasse, Rolf
Multiple Währungsreserven â Probleme eines Währungsstandards mit multiplen Währungsreserven
(Peter Bofinger)
Sperber, Herbert
Erfolgsbedingungen der öffentlichen Entwicklungshilfe
(Manfred Piel)
Förster, Gerhard
Die Chipkarte als Bargeld der Zukunft. Ein Lösungsvorschlag
(Hugo Gottschalk)
Hubbes, Hans H.
âPricing of Caps and Floors - A Simplified Approachâ
The Cox-Rubinstein option pricing model has been used to derive a method f or pricing caps and floors. Caps and floors are interest rate options closely related to interest rate swaps. This feature has been used as the basis for defining a new instrument underlying the interest rate option. From the neutral hedging strategy based on this instrument, the model can be developed. It turns out that market prices of caps or floors can be reproduced or distinguished as too high or too low. The model thus fulfills its purpose and also indicates which hedging strategies to pursue.
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Loef, Hans-Edi
âReal Exchange Rates and Real Cyclical Outputâ
The subject of the analysis is a review of the Lucas hypothesis regarding a trade-off between inflation and real output in the form of unexpected nominal changes in an open economy. The modified Lucas-type goods supply function includes, in addition to unexpected nominal influences, the expected real exchange rate as an important determinant. The goods market model is completed by a simple goods demand structure, which distinguishes between fixed and flexible exchange rate systems as extreme cases, and intervention policy as the most extensive normal ease. The empirical investigation of the postulated hypotheses shows for the Federal Republic of Germany from 1961 to 1981, that in particular the expected deviation from purchasing power parity contributes significantly towards an explanation of business cycle movements. An expected real appreciation of the German currency results in a positive output effect and does not imply, as in Keynesian-orientated demand models via sinking exports a reduction in real Gross Domestic Product.
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Filc, Wolfgang
âAsset Market-oriented Exchange Rate Theories and Economic Policyâ
This paper focuses on asset market-oriented exchange rate theories confined to financial assets, on their implications for monetary policy as well as on an extension of such theories that take productive wealth into account. Chapters I and Il outline and discuss in a critical manner the purely monetary exchange rate theory as well as the portfolio approach to the determination of exchange rates. The assumptions based on neoclassical notions, the reduction to the short term, the largely waived scope for down-stream adjustment and, especially, the non-consideration of productive wealth within the framework of an international-scale theory of capital investment decisions are the main items subject to criticism.
Chapter III extends the financial market approach by including share ownership in productive wealth. In such a model, expansionary monetary policy impulses, current account deficits or increasing public-sector debts may cause exchange rate modifications in the long run that are opposed to the consequences to be drawn from the financial market approach. Exchange rate effects are determined by whether adjustment is confined to financial assets or by whether it includes the non-monetary field and, more specifically, the demand for productive wealth. The exchange rate trend crucially depends on modifications in the expectations for the economy's performance by international comparison as reflected by current account surpluses/deficits, public sector surpluses/deficits or monetary policy impulses. The relative market value of real capital has been used as a yardstick for this. It reflects non-monetary processes, i.e. the actual earning power of real capital, as well as expectations based on economic policy measures. International differences in the relative market value of real capital reflecting the expected relative performance of national economies and being the key element in an international-scale theory of capital investment decision making, including productive wealth, is preferred also because empirical studies have shown that dollar rate trend estimates are much more plausible on this basis than on the financial-market approach basis.
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Konrad, Anton
âDebt Crisis and Debt Management Modeâ
The rationing of credit the highly indebted developing countries are currently facing suggests that debt indicators will be required to show a persistent improvement before capital will agein flow to those countries at market terms and conditions. The ratio between the external debt and the export earnings volumes is deemed to be the decisive indicator in this context. A trend study of this ratio by way of analogy with the known models of long-term external indebtedness suggests as a stability prerequisite that the rate of increase of export earnings must exceed the rate of interest payable on external debts. However, when treating the Gross National Product and the Gross Domestic Product as endogenous quantities, a transfer mechanism becomes visible which substantially weakens the condition at the base of stability. Returning to a tolerable debt service/export earnings ratio presupposes - in addition to satisfying stability requirements - that this ratio be reduced in margin. This requirement allows only relatively minor balance-of -trade deficits in future. lf - in the interest of growth and of structural adjustment - a major transfer of resources is deemed necessary nonetheless, such transfer can be financed only presumably through international organizations or through "involuntary bank lendings" in future.
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Cornelius, Peter
âA Combined Cross-Section/Time Series Analysis of the Demand for IMF Credit by the Non-Oil Developing Nationsâ
The representation of the quantitative trends in the demand for IMF credit by the non-oil developing countries and the discussion on the relative importance of IMF resources to the financing of current-balance deficits is followed by an attempt to identify in econometric terms those economic variables that determine these countries' borrowing behaviour vis-a-vis the Fund. This analysis has been made with the help of combined cross-section/time-series data. According to the estimated econometric data, the model correlations derived from theoretical plausibility considerations provide a rather satisfactory explanation of the drawing behaviours under the individual financing facilities at least in the period 1975 - 1977. Although it must be borne in mind that - because of the requisite eligibility for the individual facilities, the conditionality connected with the drawings and the quantitative restrictions applicable to anyone country according to its quota - an explanatory quality of the type that is customary with reserve demand models cannot be expected anyhow, the results suggest that various influences have remained unconsidered in the theoretical and in the econometric analyses. It is to be assumed that these influences largely consist of non-quantifiable political and social aspects connected with the conditionality, which often influenced the relations between the IMF and its Members in the past. It would therefore be desirable if the IMF furnished country-specified information on the stabilization programmes it supports. The introduction of the individual economic policy requirements through dummy variables into the model would probably increase the model's explanatory value.
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Himarios, Daniel
âHas There Been a Shift in the Greek Money Demand Function?â
In a recent paper in this Journal, Panayotopoulos (1984) criticizes my 1983 paper (Himarios, 1983) on two counts. First, he questions the incorporation of a dummy variable in the demand for M1 for 1967. He argues that is a dummy variable is to be included for 1967 it should also be included for 1974. Second, Panayotopoulos claims that my earlier results cannot be accepted on the grounds that the demand for M1 has been unstable and thus the data cannot be pooled. The purpose of this note is to account for these two criticisms. I argue that the introduction of a dummy variable for 1967 is justified and necessary while no such correction is necessary for 1974. On the second and more important issue, formal stability tests indicate that the demand for M1 has been statistically stable over the period 1956 - 1981. Thus, estimating a single equation is the appropriate and most efficient strategy.
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Ribe, Halvor and Schneider, Friedrich
âFinancial Innovations in the Eurocurrency Marketâ
In this paper we are trying to provide an overview about the Euromarket and the development of financial instruments. While the role and development of financial instruments, such as syndicated loans, fixed-rate eurobonds, floating-rate eurobonds, euronotes and swaps are discussed in detail, we are trying to make a new development in the Euromarket: securitisation. Caused by the debt crisis in the beginning of this decade, banks became reluctant to take loans shifted to a less risky business, the arrangement and issuance of bonds, euronotes and swaps. Thereby international banks mainly act as a comultant or broker earning feeincome instead of interest-income, without being exposed to the same credit risks as it was the case during the last decade. At the same time, much of the credit risk remaining, is off the balance sheets, which maybe viewed as questionable practice.
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