Von Furstenberg, Georg M.
Stock/ Flow Ratios with Money and Debt: What Can Be Learned From the Breakup of Past Relationships in the United States?
Deville, Volker and Gebauer, Wolfgang
ZinssÃ¤tze und Preisindizes in ECU. Ein Beitrag zur Arithmetik von WÃ¤hrungskÃ¶rben
Burdekin, Richard C.
Swiss Monetary Policy: Central Bank Independence and Stabilization Goal
Levin, Jay H.
The Simultaneous Determination of Spot and Forward Exchange Rates: An Asset Market Approach
Neue Finanzierungsformen aus der Sicht der Notenbanken
Die Messung bankbetrieblicher Risikokosten unter BerÃ¼cksichtigung von Risikoverbundeffekten
Jahresversammlung von IWF und Weltbank 1987
Neues aus dem Reich der Schattenwirtschaft
Milde, Helmut and Monissen, Hans G. (Hrsg.)
Rationale Wirtschaftspolitik in komplexen Gesellschaften. GÃ©rard GÃ¤fgen zum 60. Geburtstag
Die Weiterentwicklung des EuropÃ¤ischen WÃ¤hrungssystems. Ãberlegungen zur stabilitÃ¤tsorientierten Ausgestaltung der âzweiten Stufeâ
(Peter W. SchlÃ¼ter)
Finanzielle Innovationen und Mindestreservepolitik. ReformvorschlÃ¤ge aufgrund amerikanischer und deutscher Entwicklungen
Strategische Planung in Banken
Dobrovolny, Georg J.
Preis- und Lohndirigismen im Dienste der Stabilisierungspolitik. Kritik der BegrÃ¼ndung und DurchfÃ¼hrung am Beispiel GroÃbritannien
Internationale FinanzmÃ¤rkte und die Verschuldung von EntwicklungslÃ¤ndern. Der Beitrag der internationalen FinanzmÃ¤rkte im Rahmen alternativer AnsÃ¤tze zur BewÃ¤ltigung der Verschuldensproblematik von EntwicklungslÃ¤ndern
Dombret, Andreas R.
Die Verbriefung als innovative Finanzierungstechnik. Strategien der Securitization am Geld- und Kapitalmarkt aus der Sicht internationaler GroÃbanken.
GebÃ¼hrenpolitik im Privatgiroverkehr der Kreditinstitute
(Reinhard H. Schmidt)
Von Furstenberg, Georg M.
âStock/Flow Ratios With Money and Debt: What Can Be Learned From the Breakup of Past Relationships in the United States?â
Because of the apparent stability of velocity relations in the past, noted economists made strong statements earlier this decade about the controllability of nominal GNP by means of financial stock Aggregates. As late as 1983, Milton Friedman popularized the function that seemed to explain Ml velocity behavior (with Ml taken from 2 quarters earlier than GNP) over the phases of the business cycle. He used this function to expostulate on prospects and policies with great assurance. At about the same time, Benjamin Friedman began to promote a liability Aggregate, defined as the total credit market debt of all (private and governmental) domestic nonfinancial sectors. He showed that this concept of debt had been at least as closely related to GNP as the monetary Aggregate normally used in velocity relations. In fact, the ratio between debt and GNP had been very nearly trendless over previous decades, showing only very small variations. This and other virtues persuaded Benjamin Friedman to recommend the debt total as an intermediate target in addition to money. While money and debt have moved about as closely together as in earlier decades, everything else changed since. By the end of 1986, the GNP velocities of money and debt had moved between 18 and 32 standard deviations away from the path the different Friedmans might have extrapolated on the basis of (1972 - 82) relations relied upon only a few years earlier. he paper seeks to determine what, beyond the "empirical" argument that "if a rule (or pattern) has always been true in the past it is surely reasonable to suppose that it will continue to hold in the future," had caused confidence in the predictive significance of these stock-flow relations in the first place. It then analyzes how soon one could have discovered through continuous monitoring of the data that this confidence was misplaced. The remaining question is what to do about targeting once close predictability of the velocities has slipped away.
Deville, Volker and Gebauer, Wolfgang
âInterest Rates and Price Indices in ECU - Remarks on the Arithmetic of Currency Basketsâ
The ECU interest rates are explained by introducing basket weight expectations and analysing political influences. The model results in higher interest rates than the weighted average of national interest rates which has been seen as theoretical rates until now; it explains better the market rates. These results are also used for constructing an ECU consumer price index, taking into account the changing currency weights, which is used for computing ECU inflation rates and ECU real interest rates.
Burdekin, Richard C.
âSwiss Monetary Policy: Central Bank - Independence and Stabilization Goalsâ
The Swiss National Bank (SNB) enjoys perhaps the greatest level of autonomy featured by any of the world's central banks. For the 1960 - 1983 period, Switzerland also comes second only to West Germany in a ranking of the inflation records of OECD countries. The present paper seeks to provide an objective analysis of Swiss monetary policy that may complement the existing studies of the autonomous central banks in the United States and West Germany. The particular importance of the price-stability goal is assessed in relation to other economic stabilization objectives by means of a reaction function approach that has the rate of growth of the Swiss monetary base as the dependent variable. Econometric results over quarterly data from 1966: 2 - 1983: 4 indicate the state of the federal budget, government purchases, the inflation rate and the exchange rate between the Swiss franc and the Deutsche Mark to be significant explanatory variables. Quantification of a countercyclical response to inflation by the SNB is a most evident feature of the results. The results further suggest that SNB policy tends to offset movements in the federal budget. Like the importance of the price-stability objective, the apparent response to fiscal policy represents a pattern of behavior that supports the formal independence of the SNB.
Levin, Jay H.
âThe Simultaneous Determination of Spot and Forward Exchange Rates: An Asset Market Approachâ
The objective of this paper is to integrate the modern theory of forward exchange with the asset market approach to exchange rate determination, under conditions of imperfect substitutability between domestic and foreign securities. Such a synthesis produces a system that simultaneously determines the spot and forward exchange rates on a currency in a floating exchange rate environment, for a given level of exchange rate expectations. It then becomes possible to analyze the short-run (or "impact") effect on exchange rates of various disturbances that are exogenous to the system, including government intervention in the exchange markets. The limiting cases of speculative and arbitrage risk neutrality also can be considered in this context. The major results of the paper are as follows. First, new information that alters the expected future spot rate produces proportionate changes in the spot and forward rates, regardless of the degree of speculative and arbitrage risk aversion. Second, an increase in the uncovered interest differential in favor of the home country, due, say, to a domestic open market operation, leaves the forward rate unchanged (with unchanged exchange rate expectations) but causes the spot rate on the foreign currency to fall. The result is an exactly offsetting increase in the forward premium on the foreign currency. Finally, government intervention in the spot or forward exchange markets causes spot and forward rates to move in the same direction as long as speculators are risk averse. However, if speculators are risk neutral, forward intervention has no effect on exchange rates; and if arbitrageurs are also risk neutral, sterilized intervention in the spot market has no exchange rate effects. Nevertheless, non-sterilized intervention in the spot market still alters the spot rate because of its impact on the domestic interest rate.
âNew Forms of Financing from the Central Bank's Point of Viewâ
In various respects, central banks regard the latest developments of financial markets as a challenge. It is possible to distinguish between the information, the surveillance, the system and the efficiency aspect of monetary policy. If bank supervisors ensure that nothing can happen to individual banks, there is not anything that could happen to the system, one should think. But difficulties may stem from the system which bank supervisors - they focus their attention on primarily individual units - may find hard to control. Financial innovations threaten the efficiency of monetary policy, first, by questioning the reserve requirement tool when - for instance - old monetary forms are displaced by new ones for which minimum reserve requirements do not exist. The central bank's target notions may be hit even harder by shifts in the money creation process. But their ability to lay down the conditions under which they make their money available is not put into doubt by financial innovations, although it would be fair to question the value of this ability when the reserve requirement has been put into question and the central bank has lost its target notions. On this point it is to be mentioned that it is the central banks' very own task to shape their tools so as to give rise to predictable reserve requirements. Likewise, the central banks are responsible for analyzing the interrelations between monetary developments and the real objectives of economic policy in a way that allows them to come as close to real economic policy goals as possible. Moreover, financial innovations tend to restrict the scope for autonomous national monetary policies. The answer to this appears to be obvious: improved international coordination of economic policies. It is impossible to accept or get involved in the internationalization of financial markets on a major scale and still think that this need not have consequences for national monetary policies.
âAnalytical Model to Optimize the Balance-Sheet Structureâ
Based on the concept to manage the balance-sheet structure and on the current interest rate method, a linear programming model has been built to optimize the balance sheet structure under profitability and risk management aspects. The individual model approaches presented here identify the impact of the risk structure on the optimal balance-sheet structure and on the interest surplus in the event of changes in the framework conditions relevant to credit institutions. In spite of simplifying premises, the results of the model make clear the basic need for simultaneous balance-sheet structure planning.
âMeasuring the Cost of Banking - While Taking Account of Related Risksâ
The present contribution aimed for a quantification of the consequences for bank earnings stemming from banking risks. To this end, the different types of risk were as a first step - analyzed separately so as to allow the impact of success to be derived systematically. It was possible to quantify the loss risk as a function of the principal and the interest loss risks and the risk of interest rate changes by taking account of the elasticity imbalance and the expected changes in the interest rate level. The risk of parity changes was measured as well bearing in mind currency-related overhangs and parity adjustments. Such separate measurements are followed by an analysis of the combined risks. The point was to identify the consequences associated with different coinciding risks. It turned out that the sum total of the risks to success, separately quantified, was not identical with the real overall risk. Combined effects from coinciding risks rather posed a threat to success. With the loss and the parity-change risks, combined effects emerge from write-offs (in the event of upvaluations) that must not be recorded twice. With the interest-rate and the parity-changes risks, combined effects result from the parity risks involved in interest rate changes. Although it is possible - from a mere representational point of view - to attribute the combined effects to anyone type of risk, it becomes clear - not least - under risk-management aspects that the interdependencies associated with national-currency commitments ought - sensibly - to be ascribed to the interest rate changes-risk and the combined effect from foreign exchange transactions to the parity change-risk. Managing the risk of interest rate changes therefore presupposes orientation to effective interest rate elasticities and managing the risk of parity changes requires orientation to actual hedging amounts.
â1987 IMF/ World Bank Annual Meetingâ
The prominent topics the participants in the IMF/WorId Bank Annual Meeting in Washington, September 29 to October 1, 1987, were facing were the need to control the international debt emergency, efforts to stabilize the dollar rate, ways to reduce external economic imbalances, to secure inflation-free economic growth and to guarantee the transfer of resources to the developing countries on an adequate scale, as well as the future role of the Bretton Woods institutions. The Managing Director of the IMF, M. Michel Camdessus, advocated an increase in the Structural Adjustment Facility (SAF) while underlining the need for a substantial increase in the IMF quotas and calling for intensified efforts for an improved functioning of the international monetary system. The World Banksâ willingness to play a dynamic role in the promotion of economic growth and the struggle against poverty was emphasized by the President of the World Bank, Mr. Barber Conable. In the discussion about improved international coordination, the governors of the industrial countries reaffirmed their willingness to meet their obligations. Many of the representatives of the developing nations voiced complaints about shortcomings in the economic environment, insufficient access to the industrial countriesâ markets and capital inflows that had completely dried out in part. The representatives of the developing countries proposed various solutions in the discussion on international indebtedness. A general release of the developing countriesâ obligation to repay their loans, as demanded by several, has not been accepted.