Contents

Articles

*Von Fuerstenberg, George M.
*

Pareto-Optimal Privatization for Gaining Political Support

*Filc, Wolfgang and Winkler, Adalbert
*

Monetäre Voraussetzungen marktwirtschaftlicher Reformschritte in den Staaten Osteuropas

*Roskamp, Karl W.
*

A Schumpeter Model of Economic Growth and Innovation

*Leithner, Stephan and Spahn, Cornelius
*

Konvexe Strategien im Devisenmarkt: Vorhersagekraft und ökonomischer Wert

*Tödter, Karl- Heinz and Wewel, Max Christoph
*

Ein ökonometrisches Portfoliomodell für den privaten Sektor in der Bundesrepublik Deutschland

*Hielscher, Udo
*

Asset Allocation

* Größl-Gschwendtner, Ingrid *

Vermögenseffekte: Die Diskrepanz zwischen ihrer Bedeutung in ökonomischen Modellen und ihrer theoretischen Fundierung

* Büschgen, H. E. and Richolt, K. (Hrsg.)
*

Handbuch des internationalen Bankgeschäfts (Joachim Storck)

* Willeke, Franz-Ulrich and Onken, Ralph
*

Allgemeiner Familienlastenausgleich in der Bundesrepublik Deutschland (Hildegard Rapin)

*Von Fuerstenberg, George M.
*

"Pareto-Optimal Privatization for Gaining Political Support"

The events in Eastern Europe that came to a head in the fall of 1989 have sparked a search for privatization procedures that would speed the conversion from government to market-directed economies and help elicit a positive supply response by prying enterprises away from government bureaucracies. So far, however, no politically- successful approach to rapid privatization has been found. There is a high risk of coordination failure and political impasse associated with moving slowly. To reduce risk, this paper explores how much leeway there is for building broad support privatization by instituting a (Pareto-optimal) process from which many will gain no one with a politically legitimate claim can initially lose.

top

*Filc, Wolfgang and Winkler, Adalbert
*

"Monetary Prerequisites of Market- Based Reform Models in the Countries of Eastern Europe"

The neoclassical theory does not pay any special attention to monetary relations insofar as real economic processes are concerned. This is the result of special assumptions that do not in all cases truly and adequately reflect real conditions. Where - contrary to the neoclassical theory - uncertainties and incomplete information of market participants are taken into account, there cannot be any dispute about individual and social monetary productivity. This presupposes the real value of money to be guaranteed by the central bank. To this end, it is indispensabIe for the total amount of monetary assets and liabilities to be matched by the real value of enterprises' non-monetary productive assets. At present, the reform countries in Eastern Europe do not satisfy these conditions which are basic to any successful monetary management. It follows therefrom that reform of the banking sector not only requires state-owned banking institutions to be separated from the private sector, but also that the total amount of monetary assets and liabilities be reduced to the total real value of non-monetary productive assets and liabilities.

top

*
Roskamp, Karl W.
*

"A Schumpeter Model of Economic Growth and Innovation"

It is possible to formalize the Schumpeter model of innovation and economic growth. An adaptive, discontinuous maximization model, which allows for random technological change and increases in productivity, can be shown to generate optimal oaths for the introduction of innovations, the capital stock, labor inputs and profits as described in Schumpeter's work. In order to demonstrate how the works, we assumed in this paper rather short maximization periods and therefore frequent possibilities of readjustments. The maximization periods can however be of any lengths.

With respect to innovations we assumed in this paper, for the sake of simplicity, that they occur in a random fashion and are thus exogenous. This is one way of acing innovations. We are aware that there are also many other ones, e. g., innovations induced by one or several endogenous factors and (or) innovations occurring in a bunched fashion. As far as the difficult problem of the effect of innovation and technological change on production cost is concerned, we assumed that the former are labor-saving. Other assumptions can be made about these features of the model. The various parameters and coefficients entering the model can be changed freely, but each variation will generate optimal time paths of different shape, and possibly, different length. Repeated simulation runs indicate however that they all do have important Schumpetarian traits in common. They all belong to a discontinuous, innovation-driven process of capital accumulation and growth, in the presence of uncertainties with respect to the speed of technological progress, rising wage cost and rising cost to hold ones own against encroachments by competitors and imitators.

top

*Leithner, Stephan and Spahn, Cornelius
*

"Convex Strategies on the Exchange Market: Forecasting Ability and Economic Value"

The subject of this empirical study is the predictability of deviations, defined as yield on foreign exchange transactions, from the forward rate parity for five rates of exchange in the period 1977/1988. Starting from the question whether such deviations predictable and not random in character, this paper analyzes the yield on foreign exchange transactions for regularity. The following shows that, where foreign exchange transaction yields auto-correlate in a positive sense, a convex investment behaviour is advantageous and that the Trading Rules set out in the "technical analysis" be referred to as convex in nature. The forecasting value of the strategies examined has been analyzed on the basis of both the Henriksson/ Merton and the Cumby/Modest tests. On this basis, the economics element involved in the forecasting value is ascertained with the help of the option price theory. Simulation runs covering the period 1977/1988 have confirmed the results obtained. It is subsequently shown that optimal strategy implementation by investors depends not only on the quality of the forecasts made, but also on individual risk aversion.

top

*Tödter, Karl- Heinz and Wewel, Max Christoph
*

"An Econometric Portfolio Model for the Private Sector in the Federal Republic of Germany"

Although - thanks to its high explanatory value - the portfolio theory developed by Markowitz and Tobin plays a dominant role in today's theory-of-money discussion, the economic portfolio models that are fully satisfactory, both theoretically and empirically, have been small in number hitherto. The main reasons therefore are the methodical difficulties that arise in estimating large-scale portfolio demand systems. Although the coefficients involved in such systems are subject to many theory-based restrictions, the coefficients to be estimated are still too large in number in spite of such restrictions in order to allow significant and plausible estimated values to be obtained. In this situation it would appear to be appropriate to specify additional extraneous restrictions that are apparently plausible and to ascertain subsequently the remaining coefficients by empirical methods by means of a system estimation procedure that takes all restrictions into account.

This way has been chosen for the portfolio model described in this paper for the private non-bank sector in the Federal Republic of Germany. The asset demand functions, nine in all, comprise - besides a constant and the seasonal dummies - only three explanatory variables: the difference between the returns on net worth and the average yield of the entire portfolio; the transaction variable; and the respective lag- endogenous variable. Nonetheless, isolated interest rate variations have implications for all portfolio components through the average yield. In addition to the portfolio demand functions, interest rate pattern equations have been specified for the individual types of investment derived from a profit maximization approach for credit institutions. Both the portfolio demand functions and the interest rate pattern equations have been ascertained by the JGLS estimation method developed by Zehner and Theil, the former by taking account of the totality of the extraneous restrictions (RJGLS). The estimated values so obtained are significant and plausible in the main. Several simulation runs have been made on the basis of the model analyzing the effects of variations in the interest rate pattern and the level of interest rates on the composition of private portfolios.

top

*Hielscher, Udo
*

"Asset Allocation"

Besides the original Markowitz model, derived index-based concepts, different in complexity (Part II), may be employed in the interest of (optimal) asset allocation.
Comprehensive problem solutions, especially international and/or global asset allocation, are still requiring a step-by-step approach and/or the formation of asset classes (Part II). Since it is possible to derive from indices as representative indicators of market trends (benchmarks) perceptions that are especially illustrative of the risk performance potentials involved in asset allocation, (relative) optimization in respect of benchmarks as weIl as index-based portfolios are increasing in importance in modern portfolio management (Part IV).

top

"Property Effects: Their Differential Importance for Economic Models and for their Theoretical Foundations "

Wealth effects play an important role in both aperiodic neoclassical and Keynesian models. In particular this holds true for the so-called direct wealth effects which are induced by changes in the nominal money stock and the number of outstanding securities. In many models the realization of a long-run equilibrium depends fundamentally on the working of those direct wealth effects. Examples are the monetary approach of the balance of payments, the IS-LM-models considering a government budget deficit and the portfolio-balance-approach. After a short description of these models it is shown, that the wealth effect on money demand being an essential constituent of the extended IS-LM-model and the portfolio-balance-approach is originated in an inconsistent relationship between the monetary and real sector. Furthermore it is shown that a direct wealth effect on consumption cannot be deduced within the framework of typical household optimization models. Instead it is shown, that consumption depends on the total of the discounted income stream. This leads to an alternative wealth definition being used in intertemporal macroeconomic models. It is shown that wealth effects in the above defined sense with the dynamic stock-flow-process as a consequence do also not exist.

top