KREDIT und KAPITAL - Issue 4/2003


Contents


Articles

Alexander, Volbert and Loef, Hans-E.
Central European Countries' Accessions to EMU - Costs and Benefits for EMU- Insiders and Outsiders

Bohl, Martin T.
Die Aktienhaussen der 80er und 90er- Jahre: Waren es spekulative Blasen?

Frenkel, Michael and Pierdzioch, Christian and Stadtmann, Georg
Wie entschlossen intervenieren Zentralbanken am Devisenmarkt? Neue empirische Evidenz für die Bank of Japan

Neumann, Kai and Wißler, Hendrik
Der Einfluss der Besteuerung von Dividendenausschüttungen auf das Cost- of- Carry- Modell am Beispiel von DAX- Futures unterschiedlicher Laufzeit

Bank, Matthias and Lawrenz, Jochen
Why Simple, When it Can Be Difficult? Some Remarks on the Basel IRB Approach


Reports

Belke, Ansgar and Polleit, Thorsten
EZB- Ratsreform: Zur Frage des politischen und wirtschaftlichen Missverhältnisses

Mundschenk, Susanne and Schmitz, Birgit
Konstanz Seminar on Monetary Theory and Monetary Policy 2003


Book Reviews

Theurl, Engelbert und Winner, Hannes und Sausgruber, Rupert
Kompendium der österreichischen Finanzpolitik (Klaus Mackscheidt)

Ernst, Dietmar und Häcker, Joachim
Realoptionen im Investment Banking. Mergers & Acquisitions, Initial Public Offering, Venture Capital (Eberhard Stickel und Juergen Seitz)


Summaries

Alexander, Volbert and Loef, Hans-E.
"Central European Countries’ Accessions to EMU - Costs and Benefits for EMU- Insiders and Outsiders"

During the process of economic (Ireland, Portugal, Spain) achieved higher real economic growth than Germany and France provided their stabilization efforts are treated as credible in the long run. One important reason analysed in the paper was that the shift to stability reduced uncertainties for investors. Central European Countries have an even better chance to pursue a stabilization policy without painful real effects like unemployment because their political will to join EMU and their economic advantages in case of an accession are credible. Therefore they should follow a strict stabilization strategy combined with suitable institutional and legal adjustments. (JEL F 31, F 33, F 36)

top


Bohl, Martin T.
"The Stock Market Booms of the 80s and the 90s: Where they Speculative Bubbles?"

Relying on a present value model and incorporating a quite general class of processes to model bubble like stock price deviations from the long-run equilibrium we provide empirical evidence of the existence of speculative bubbles in British, German and US stock prices. For this purpose we apply a new non-linear time series technique designed to detect asymmetric short-run adjustments to the long-run equilibrium. The empirical findings support the long-run validity of the present value model. Nevertheless, in the short-run stock prices exhibit bubble like departures from present value prices followed by a crash in all three stock markets under investigation. Hence, the stock price increases in the 80s and 90s may be driven by non-fundamental speculative bubble processes.

top


Frenkel, Michael and Pierdzioch, Christian and Stadtmann, Georg
"How Strongly Determined are Central Banks to Intervene in the Foreign Exchange Market? - New empirical evidence concerning the Bank of Japan"

This article discusses a new approach to modelling the determining factors of central bank interventions in foreign exchange markets. This new approach is based on the empirical observation that central banks often intervene in foreign exchange markets on several consecutive days. The number of the days on which central banks intervened in foreign exchange markets may thus be used as an instrument for measuring how strongly determined these banks were to enforce their exchange-rate policy objectives by way of interventions in foreign exchange markets. The way in which this approach can be used to study the intervention policy of central banks is demonstrated on the basis of a new data set on the foreign exchange market interventions of the Bank of Japan in the 1990s.

top


Neumann, Kai and Wißler, Hendrik
"The Influence of Dividend Taxation on the Cost-of-Carry Model as Demonstrated by the Example of DAX Futures of Different Lifetimes - Transition from the Full Imputation Method to the Half-Income System"

The change in the system of taxing paid dividends from the full imputation method to the half-income system means that the influence of taxation on the cost-of-carry model for evaluating the DAX future is empirically verifiable in a special way. For the purposes of this article, this influence has been measured by the price relationships between DAX futures of different lifetimes because the market prices used in studies of this kind makes the price calculations of suppliers and demanders visible almost without restriction. This study, using the full imputation method shows for the DAX future a clear influence of dividend payments on the otherwise prevailing price relationship with an implied forward rate system for taxing dividends paid in FY 2001, it is obvious that the forward rate has climbed to an out-of-season level so that the price effect of dividend payments is negligible.

top


Bank, Matthias and Lawrenz, Jochen
"Why Simple, When it Can Be Difficult? Some Remarks on the Basel IRB Approach"

One of the major innovations in the New Basel Capital Accord (Basel II) is represented by the Internal Ratings Based (IRB) Approach. It can be considered as a conceptually new approach to capital rules, since the IRB risk weight function is derived from a simple portfolio model. A careful analysis of the underlying model reveals, that it is based on a quite complex theoretical background and depends on some critical assumptions. Beside this inherent vagueness of model-based results, the committee shows a politically determined will to calibrate the parameters of the model so as to obtain an economy-wide average of 8 % - implying an unchanged level of regulatory capital requirements on average.

Taken together, this suggests that the model-driven approach is more like a pretext to disguise politically determined decisions, and pretend, an accurateness, that is not given. We argue, that if it is the committees aim to provide risk-sensitive capital rules, together with some target level of average capital requirements, this can be achieved much easier. (JEL G 21, G 28)

top



Reports

Belke, Ansgar and Polleit, Thorsten
"The ECB Council Voting Reform: The Question of Political and Economic Mismatch"

There is a broad consensus that the enlargement of the euro area necessitates a reform of the voting modalities within the ECB Governing Council. The ECB’s own reform proposal strengthens the voting power of the Executive Board. In addition, it is intended to reduce the discrepancy between the voting share and the economic power of the EMU member countries. However, even under the status quo ante the existing divergence between the political and the economic weights is not aggravated in the wake of an euro area enlargement. Moreover, the discrepancy between GDP weights and voting shares remains huge under the reform. Hence, the principle of representativeness is still violated under the complicated new voting scheme.

top