KREDIT und KAPITAL - Issue 4/1993


Contents


Articles

Sijben, Jac J.
Credit Markets, Financial Fragility, and the Real Economy

Reszat, Beate
Zur Systemdynamik chaotischer Devisenmärkte

Bühler, Wolfgang and Kempf, Alexander
Der DAX-Future: Kursverhalten und Arbitragemöglichkeiten

Bamberg, Günter and Röder, Klaus
Arbitrage am DAX-Futures-Markt unter Berücksichtigung von Einkommenssteuern


Reports

Weikart, Thomas
Währungsrecht im Wandel - Die jüngsten Änderungen des Bundesbankgesetzes

Stieler, Katrin
Konstanz Seminar on Monetary Theory and Monetary Policy 1993


Book Reviews

Duwendag / Ketterer / Kösters / Pohl
Geldtheorie und Geldpolitik - Eine problemorientierte Einführung mit einem Kompendium monetärer Fachbegriffe (Stefan W. Nuck)

Kropp, Matthias
Management Buy-outs und die Theorie der Unternehmung (Reinhard H. Schmidt)


Summaries

Sijben, Jac J.
"Credit Markets, Financial Fragility, and the Real Economy"

The purpose of this paper is to give a review of the current issues in modern literature about the impact both of credit markets and financial fragility on macroeconomic performance. This new literature borrows heavily from the economics of information and incentives to explicitly motivate frictions in capital markets. Starting with the traditional views about the interrelationship between the financial structure of corporations and households and the business-cycle (Fisher's debt-deflation spiral and Minsky's financial instability-hypothesis), special attention is given to the asymmetric information-approach with regard to imperfections on credit markets. Owing to the existence of asymmetric information on these markets and the associated agency problems, the issues of adverse selection and moral hazard give rise to the phenomena of equilibrium-credit rationing and securitisation, (Greenwald-Stiglitz and Bernanke-Gertler) weakening the rate of interest as a transmission channel in monetary policy. Finally the impact of the increased financial fragility in the eighties, characterized by a deterioration of the quality of the balance sheets of the non-financial sector and depository institutions, on macroeconomic performance and stability is analyzed. Some remarks are made on the task of central banks to safeguard the stability and soundness of the whole financial system.

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Reszat, Beate
"System Dynamics of Chaotic Foreign-Exchange Markets"

Studies on chaos as a reason for non-linear foreign-exchange rate movements have hitherto focused on empirical aspects, for the most part, neglecting the question as to why chaos has come about and how this phenomenon can be explained. In search for a plausible explanation, the present paper understands the foreign-exchange market to be an open and dissipative system as distinct from a closed conservative one as assumed under traditional models. The analysis for which a system-theoretical approach has been adopted because of the complexity of the assumed interrelationships is based on different groups of market participants. Banks, non-banks and central banks operate on the market in different ways in pursuit of different objectives and through different types of transaction. However, differences exist not only in respect of market participants' behaviour, but also in respect of the manner in which they collect and process information. Expectations are formed on the basis of different information based on fundamental analyses and on chart analyses depending on the type of transaction and the time horizon. The resultant reactions influence, in some form or other, the modes of behaviour of all market participants and have thus implications for their own decision-making. The answer to the question as to how market participants interact and how their reactions fit together depends on whether foreign-exchange markets are in a state of chaos or not.

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Bühler, Wolfgang and Kempf, Alexander
"The DAX Futures Contract: Price Trends and Arbitrage Possibilities "

The following contribution analyzes the behaviour of DAX futures contracts in their first year of existence using all transaction prices. It thus presents the first comprehensive study of stock index futures contracts whose underlying is a performance index.

It turns out that, in spite of this special characteristic of the underlying, the DAX futures contracts have behaved in much the same way as future rates agreements. The greater volatility of the DAX futures contract compared with the DAX may be attributed to the existence of "stale prices" in the index. This contribution demonstrates for the price ratio between the cash and the futures markets that DAX futures contracts have been significantly undervalued compared with the price that can be referred to as fair according to cash-and-carry arbitrage. Such undervaluation increases with the residual lifetime, but is not dependent on the liquidity of the market. An ex-ante analysis shows that, even when transactions costs depend on the residual lifetime and delays in implementating deals are taken into consideration, it was possible in the period under review to make arbitrage gains almost without risk. However, the number of opportunities for making such gains decreases in level over time.

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Bamberg, Günter and Röder, Klaus
"Arbitrage on the DAX Futures Market under Tax Considerations"

This paper studies the ex-ante intra-day efficiency of the DAX futures market since the very introduction of this contract at the German Futures Exchange. This study incorporates all transaction data pertaining to the DAX futures contract and the DAX values before 31 December 1991 calculated every minute at Deutsche Wertpapierbörse. The DAX futures evaluation model takes account of different rates of tax applicable to private investors, of transaction costs, response times and the modalities of calculating the DAX index by the cost-of-carry method. The paper discusses the existence and, where appropriate, the width of a "market canal" which indicates an arbitrage-free zone. The results do, inter alia, not indicate that the efficiency of this market has increased over time.

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Reports

Weikart, Thomas
"Trends in Monetary Law - Latest Amendments of the Bundesbank Act"

The Bundesbank Act saw only a few amendments during its over 35 years of existence. This changed abruptly when Monetary, Economic and Social Union was established with the former GDR on 1 July 1990, when the two German states were reunited on 3 October 1990 and when the special conditions designed to take account of the ex-GDR' s situation were adapted to the proven standards of the Bundesbank Act on 1 November 1992, and further change is likely as the European Economic and Monetary Union takes on shape. As the draft Bill of the Bundesrat dated 23 March 1993 proves in an impressive manner (BT-Drs. :12/5169 of 17 June 1993) need to adapt - by way of merging the areas of jurisdiction of two or more Landeszentralbanken (cf. § 8 of BBankG) - especially the organizational set-up of Deutsche Bundesbank to the new constitutional conditions that have evolved after German reunification suggests the existence, at this stage already, of further recommendations regarding the land governments' right to name candidates for the office of Landeszentralbank president. Whilst amendments of the Bundesbank Act proposed in the past had invariably left unaffected the tasks and the legal position of Deutsche Bundesbank, the desired European Economic and Monetary Union will entail a deep rupture in the constitution of German note-issuing bank. In accordance with the three-stage process that is to lead to European Union as agreed upon under the Maastricht Treaty, the final of these three stages - which is to begin in 1999 at the latest according to the Treaty - will see Member States' national monetary policy sovereignty surrendered to the European Central System, which is to be in place by that time and which is to include a European Central Bank, and their monetary institutions from integral parts of the system. In Germany, this step is to be made possible by supplementing Article 88 of the Basic Law by adding sentence No. 2.

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