Edelmann, Ralf and Milde, Hellmuth and Weimerskirch, Pierre
Agency- Beziehungen und Kontrakt- Design
Behr, Andreas and Bellgardt, Egon
Sektorale Investitionsentwicklung und LiquiditätseinfluÃ
Menkhoff, Lukas
KreditinstitutsgröÃe, Offenmarktpolitik und Wettbewerbsneutralität
Neumann, Manfred and Weigand, Jürgen
Monetäres Reinvermögen versus Geldmenge M3
Rudolf, Markus
Surplus- Management
Böttcher, Tido and Neumann, Kai and Sarstedt, Volker
Die Preisbeziehung zwischen Optionen auf den DAX und dem DAX- Future an der DTB
Sauernheimer, Karlhans
Reale Wechselkurse und Europäische Währungsunion
Barro, Robert J. and Grilli, Vittorio B.
Makroökonomie. Europäische Perspektive (Michael Burchardt)
Nitsch, Harald
Wechselkurswirkungen auf den japanischen Arbeitsmarkt (Beate Reszat)
Edelmann, Ralf and Milde, Hellmuth and Weimerskirch, Pierre
"Agency Relations and the Design of Contracts"
In the paper we study the design of contracts in a simple principal- agent relationship. More precisely, we are concerned with issues relating to the control of the behaviour of well informed agents by the less informed principals. Adopting the standard assumptions we show and explain the first order in different informational settings. We strongly emphasize the meaning of the monotone likelihood ratio property for the solution. This property strengthens the assumption of the first order stochastic dominance. Finally we give a simplified application example.
top
Behr, Andreas and Bellgardt, Egon
"Sectoral Investment Trends and Influence of Liquidity - A Longitudinal/ Cross- Sectional Study for the Enterprise Sector of the Federal Republic of Germany "
The present empirical study represents a contribution to the topical discussion about the importance of liquidity for enterprises' investment behaviour. At the base of the econometric model are "classical" investment hypotheses supplemented by a liquidity variable. The body of data on which the model is based consists of the data of the Deutsche Bundesbank's balance sheet statistics aggregated by sectors. It turns out that, in general the influence of liquidity variable is significant which may be interpreted as an indication of liquidity restrictions. This contradicts assumptions of a perfect capital market. On the basis of this finding, two hypotheses have been studied that play a role in the topical discussion about imperfections of the capital market. This contribution analyses to what extent investment decisions of enterprise sectors recording high dividend distribution ratios and/ or maintaining loyal relations to their banks are less strongly affected by liquidity restrictions. This analysis reaches the conclusion that sectors with lower dividend distribution ratios are subject to liquidity restrictions to a significantly greater extent. Concerning differences in the degree of enterprises' loyalty to banks, it has not been possible to identify an influence on the extent in which such enterprises are subject to liquidity restrictions. Overall, the results of this study suggest that the financing situation may not be neglected within the framework of investment behaviour studies.
top
Menkhoff, Lukas
"The Size of Credit Institutions, Open-Market Policies and Fair Competition: The Result of a Mailed Questionnaire"
Open-market policies - as distinct especially from discount policies - are deemed to represent an instrument leaving level playing field conditions intact, although this is only true subject to certain limitations. The opinion poll of German credit institutions at the base of this contribution shows that the dispersion occasioned by open-market policies is no matter of coincidence, but systematically associated with the size of credit institutions. Where this instrument is applied, small institutions are - though not formally, but factually - at a disadvantage, which represents a problem in sovereign actions such as decisions on central- bank money supply. As summary calculations show, distortions of competition have an economically relevant dimension and such distortions may increase in weight in the wake of European Monetary Union. For this reason, forms of central- bank money supply are addresses that are less distorting in terms of competition policy.
top
Neumann, Manfred and Weigand, Jürgen
"Net Monetary Wealth versus Money Supply M 3: A Reply"
The paper deals with the critique advanced by Clostermann, Scharnagl and Seitz (CSS) against our article "Net Monetary Wealth versus Money Supply M 3". We present evidence refuting the CSS allegation that our former' results benefited from a favorable choice of the sample period. Extending the sample period to include the period after German reunification (1991 to 1996) reinforces our original conclusion: A cointegrating relationship between M3 and GDP (in real terms) does not show up, while net monetary wealth and GDP cointegrate. Thus M 3 is not a reliable indicator of potential real effects of monetary policy. Further, we checked the cointegration results presented by CSS relating to the usual money demand function. We found that the existence of a unique cointegrating relationship between M3, GNP and the long- term interest rate is predicated on modelling the deterministic components of the underlying error correction model. Interestingly, even in the approach applied by CSS, real effects of monetary policy are observed in the short run as well as in the long run.
top
Rudolf, Markus
"Surplus Management"
Surplus management is interpreted as optimisation of the undercoverage risk of prudential institutions. The present contribution adds to the existing literature on surplus management the possibility to include a discretionary number of investments and restrictions thereon with stochastic benchmark yields. The model presented here is based on the portfolio theory of Markowitz (1952) and takes account especially of Roy's concept of disaster probability (1952). Markowitz's critical line algorithm (1956) is used for implementing investment restrictions.
top
Böttcher, Tido and Neumann, Kai and Sarstedt, Volker
"Price Relationships between DAX Options and DAX Futures at the DTB"
This contribution represents the first analysis of the arbitrage opportunities that exist between the DAX future and the DAX option in the German futures market. Both derivates are among the most widely traded products in the German futures market. The empirical analysis of products expiring in September 1994 show hardly any arbitrage opportunities, worth to be exploited, for the last two trading months preceding expiry when transaction costs and bid- ask margins are taking into account. It appears that the two products are in a theoretically formulated state of price balance in spite of a few institutional framework conditions that must be referred to as problematic, overall. Contrary to analyses of arbitrage opportunities between the spot DAX and the DAX future, no errors have been committed in lifetime-related evaluations change so often that none of the specific arbitrage strategies may be referred to as advantageous.
top