KREDIT und KAPITAL - Issue 3/1981


Contents


Articles

Schmidt, Hartmut
Wege zur Ermittlung der Marktzinsrisiken von Banken

Drukarczyk, Jochen
Verschuldung, Konkursrisiko, Kreditverträge und Marktwert von Aktiengesellschaften

Baltensperger, Ernst
Geldpolitik und Wechselkursdynamik

Baade, Robert A.
A Monetary (Asset) Approach to Exchange Rate Determination: The Evidence since 1973

Moosa, Suleman A.
On the Empirical Existence of a Monetarist Steady State

Jüttner, D. Johannes and Tuckwell, Roger H.
Some Comments on the Stability of the Demand for Money

Cansier, Dieter
Vermögenseffekte der Staatsverschuldung - Multiplikatorwirkungen und Implikationen für den "konjunkturneutralen öffentlichen Haushalt" -


Reports

Kleinheyer, Norbert
Bankenfreihandelszonen in den USA

Baan, Jan Wilhelm and Kleinheyer, Norbert
Zur monetären Relevanz der Euromärkte


Book Reviews

Lefeld, Mathias
Analysekonzepte für den Außenhandel
(Heiko Körner)

Sengebusch, Wolfgang
Ein Preismodell für die Bundesrepublik Deutschland, Ökonometrische Untersuchung über die Entwicklung der industriellen Erzeugerpreise und der Preisaggregate der volkswirtschaftlichen Gesamtrechnung für den Zeitraum von 1966-1974
(Manfred Piel)

Richter/ Schlieper/ Friedman
Makroökonomik – Eine Einführung
(Karl-Heinz Dignas)

Remsperger, Hermann
Geldmengenregel und trendorientierte Fiskalpolitik
(Wolfgang Schröder)

Kromschröder, Bernhard
Unternehmensbewertung und Risiko. Der Einfluß des Risikos auf den subjektiven Wert von Unternehmensbeteiligungen im Rahmen einer optimalen Investitions- und Finanzierungspolitik des Investors
(Bernd Rudolph)

Negeshi, Takashi
Microeconomic Foundations of Keynesian Macroeconomics
(Werner Lachmann)


Summaries

Schmidt, Hartmut
“Towards the Determination and Assessment of Market lnterest Risks of Banks”

The trend of market interest rates in recent years has made many banks aware of the great significance of the interest risk with painful severity. For all that, there is no clear conception in terms of either method or result of how market interest risks can be determined, assessed and coped with. This study describes several approaches to determination and assessment of interest risks by banks and compares them critically. The starting point used is measurement of interest risks with the cash value method. it becomes clear what information is required for determining interest risks and how capacity to bear interest risks can be assessed. Then follows descriptions and critical interpretations of Scholz's balance of interest changes, the financial flow accounting of the federal supervisory office for the banking system, the handling of interest risks in Stützel's depositors protection balance and several duration approaches. The final section depicts the consequences of the study for the banking supervisory office and for bank management. The author pleads for revision of principles II and III. The author shows how earmarked reserves or reserves for interest risks can be limited appropriately; it is a solution that should be of interest in the debate on Art. 26 a of the Banking Act. Since - in contrast to widely held opinions -it is not possible to cope with, much less to avoid, interest risks merely by reconciling amounts and residual periods of fixed-interest deposit and loan item, the study concludes with some suggestions as to how to allow for factors relevant to the scope of interest risks in structuring the overall fixed-interest position of a bank.

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Drukarczyk, Jochen
“Debts, Risk of Bankruptcy, Credit Contracts Market Value of Limited Companies”

This paper is a contribution to the problem, which factors limit the proportion of debt that companies hold in their advantages of debt tend to be offset by anticipated (direct) bankruptcy costs. This opinion is criticized in this paper. First the tax advantage of debt is elaborated. Second the foundations of models explaining restrictions of the proportion of debt by anticipated (direct) bankruptcy costs are discussed. It is shown, that these models are not convincing. They give no convincing reason why bankruptcy should occur of all; bankruptcy costs are therefore introduced in an arbitrary manner. Third, it has to be explained how conflicts between share - and bondholders could be solved. An analysis reveals, that - given homogeneous expectations - direct bankruptcy costs are not very likely to occur: it is to be presumed that they do not offset the rather important tax advantages of debt. Fourth, it is elaborated that risky debt might be disadvantageous to bondholders and/or shareholders in four cases. These disadvantages could be avoided, if the time-state-dependent claims of creditors, who hold risky positions during the multi-period-history of the contract could be set up precisely. It is shown that the design of such contracts is desirable for bondholders and shareholders, because the positions of both could otherwise be expropriated. The results are important costs of design and control and disadvantages resulting from restrictions on managerial decisions. These costs have to be opposed to the tax advantages of debt.

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Baltensperger, Ernst
“Monetary Policy and Exchange Rate Dynamics”

The subject of this essay is the influence of monetary policy on exchange rate dynamics. In this connection, emphasis is often placed in recent literature on exchange rate expectation, interest arbitrage and relative rigidity of commodity prices. These elements likewise play an important role in the present essay. However, it is characterized by the fact that the degree of short-term price rigidity is endogenized and made dependent on economic circumstances. The differentiation between lasting changes in the quantity of money and changes rated as merely temporary plays a salient role. With respect to the framing of price and exchange rate expectations perfect symmetry is assumed.

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Baade, Robert A.
“A Monetary (Asset) Approach to Exchange Rate Determination: The Evidence Since 1973”

Virtually every economist agrees that monetary factors affect the dollar price of world currencies. No such unanimity of opinion exists, however, when the question of degree is entertained. The adoption of a freer-floating exchange rate regime in 1973, however, provides an opportunity to analyze the degree to which monetary events influence dollar currency prices. While evidence gathered for the 1973 - 79 period does not confirm unequivocally a monetary or asset approach to exchange rate determination, it does suggest an important monetary role. Furthermore, the 1977 - 79 period offers more support for the asset approach than the 1973 - 76 period. This may reflect the fact that the world monetary system has settled back into a pattern after disruptions due to the significant oil price hikes in 1973 - 74 and after the commitment was made to a freer-floating exchange rate system in 1973.

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Moosa, Suleman A.
“On the Existence of a Monetarist Steady State”

The worldwide acceleration of inflation over the last decade has been associated with (and apparently responsible for) an ascendancy of the Monetarist school of thought. Monetarist-inspired models make a sharp distinction between nominal and real variables and rely heavily, in line with Classical Tradition, on steady state solutions to draw inferences about economic policy. Accordingly, both the existence of a particular steady state, and the rate of convergence of economic variables to (or the extent and nature of their departure from) their steady state values become of not inconsiderable interest. That is especially the case if the rate of time preference is positive. A variable of particular interest is the behaviour of velocity growth. Even though Monetarist models differ in some matters of detail they all, explicitly or implicitly, assign a pivotal role to the behaviour of velocity growth. It is assumed to equal zero or a technologically-determined constant in steady state equilibrium. By contrast, alternative models, say of unemployment, economic growth or Inflation, explicity or implicity, have velocity growth take on (behaviourally-explained) non-constant values. This paper examines the steady state and related properties of velocity growth by using Friedman's widely discussed Monetarist model as the point of departure.

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Jüttner, D. Johannes and Tuckwell, Roger H.
“Some Comments on the Stability of the Demand for Money”

The relevance of the demand for money and its stability for the effective implementation of monetary policy has been well documented; empirical estimates and tests of stability are legion. The theoretical bases for the empirical tests have varied considerably both over time and from one study to another, depending on both the state of theoretical wisdom and the structure and idiosyncrasies of particular monetary systems. This paper emphasises the importance of the need for consistency between the theoretical assertions, on the one hand, and the precise form in which they are empirically tested on the other. Inconsistencies of this nature render both the empirical equations and the associated tests of stability of little worth. It is against this background that some empirical formulations of the demand for money in Australia are examined.

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Cansier, Dieter
“Wealth Effects of Government Debt”

In the first part, the multipliers of financing of a given budget deficit by way of central bank money and government borrowing are developed and analysed with the help of the first Blinder-Solow model. The multipliers with and without wealth effects are compared; the influence exerted on the multipliers by interest-dependent changes in the value of outstanding public debt is of particular interest. Among other things, it is shown that (1) in contrast to traditional analyses, the multipliers are now dependent, not only on modes of behaviour and budget parameters, but also on the initial economic situation, i. e., on the initial interest level and old public borrowings;(2) in the case of money-creation financing, the wealth effects from security prices may raise or lower multiplier, and the wealth effects always contribute to the crowding out of private investment; and (3) in the event of deficit financing by borrowing, changes in the prices of interest-bearing government bonds do not affect the direction, but do influence the intensity of wealth effects as a whole. In the second part, certain long-range aspects of wealth effects are analysed with the help of, and for the purpose of assessing, the "cyclically neutral budget". Compared to the short-term view, a growing production potential must be assumed, and it must be noted that private net wealth now contains, not only financial assets but also real capital. From this it follows that independent wealth effects of public debt that are independent of previous discretionary budget measures are no longer possible. The SVR concept of a medium-term, constant equilibrium structure of the economy with given private investment, consumption and saving rates and a constant rate of new public borrowing is reconcilable - as is demonstrated - with wealth effects strictly speaking only when private net wealth and government interest payments are proportional to full-employment income and the equilibrium wealth structure does not vary over time. This, however, cannot be assumed since particularly the growth of production potential is not constant and the equilibrium structures are not dependent on the actual economic trend, i. e on cyclical fluctuations and actual borrowing behaviour.

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Reports

Kleinheyer, Norbert
„Free Banking Zones in the USA“

On December 3 of this year, the decisions of the Federal Reserve Board will take effect, which will enable US banks to handle offshore business through IBFs (International Bank Facilities) in their own country. The object of these decisions is stricter control by the banking supervisory authority of Euromarket transactions. Compared to the national markets, the IBFs offer advantages on account of the lacking minimum reserve requirements and lower tax burden. There will be certain provisions to separate the IBFs from the national markets: loans are permissible only to non-residents and other IBFs, deposits may be accepted only from non-residents; deposits of the parent institution are subject to minimum reserve requirements. Furthermore, the minimum deposit in US S 500,000; there are no official, upper interest rate limits for deposits and loans; transactions in foreign currencies are permissible; the minimum notice for deposits is 2 days. The changing general conditions for national banking in the USA, however, make the competitive advantages of the Eurobanks and the IBFs dubious to some extent. Compared to the Euromarkets, the IBFs afford alternative investment and control possibilities to a limited extent, but on the other hand they cannot perform certain Euromarket functions. It is to be feared, therefore, that to a limited degree the IBFs will take Euromarket business "home" to the USA, but on the other hand result in hitherto national business being "exported to the Euromarket", thus contributing to the absolute growth of the Euromarkets. Hence it is very questionable whether the IBFs will make an effective contribution to improving control of the Euromarkets.

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Baan, Jan Wilhelm and Kleinheyer, Norbert
„On the Monetary Relevance of the Euromarkets“

A distinction can be made among three liquidity aggregation methods: The IMF method defines domestic liquidity as the sum of residents' domestic demand and time deposits expressed in the national currency and domestic cash and secondary liquidity held by domestic non-bankers; in the case of the "loanable fund method", the quantity of money comprises all domestic, liquid bank deposits, including those of foreign banks and non-bankers; the third approach, termed the "functional" approach, is based, not on liquid bank deposits with domestic banks, but on all liquid assets held by domestic non-bankers. The functional approach to liquidity aggregation is of theoretical, conceptional value because the entire purchasing power in the hands of domestic non-bankers is covered. On the other hand, this method involves considerable empirical difficulties, because the monetary authorities of the various countries can generally establish the foreign liquidity of domestic non-bankers only to a very limited extent. Hence it would be necessary to solve the data acquisition problem in order to take advantage of the benefits of the functional approach.

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