Clausen, Volker
Problems in the Transition to European Monetary Union
Lange, Carsten and Nolte, Florian
Konsequenzen der Europäischen Währungsunion für den Geldschöpfungsgewinn der Mitgliedsländer
Siklos, Pierre L.
The Tchervonetz: An Illustration in Discriminatory Monetary Policy
Anker, Peter and Wasmund, Jörn
Geldmarktsteuerung und Zinsstruktur: Ergebnisse für Deutschland und die USA
Huschens, Stefan
Messung des besonderen Kursrisikos durch Varianzzerlegung
Dorfleitner, Gregor and Röder, Klaus
Spekulationen mit dem DAX- Future per Limitorder
Kohns, Stephan
Konstanz Seminar on Monetary Theory and Monetary Policy 1998
Wesche, Katrin
Die Geldnachfrage in Europa. Aggregationsprobleme und Empirie (Ralf Ahrens)
Gaida, Stefan
Kreditrisikokosten - Kalkulation mit Optionspreisansätzen. Die empirische anwendung eines Modells von Longstaff und Schwartz auf risikobehaftete Finanztitel (Wolfgang Breuer)
Clausen, Volker
"Problems in the Transition to European Monetary Union"
Three potential problems in the transition to European Monetary Union are analyzed in a three country model of a currency union. The problems discussed are the choice of a misaligned conversation rate at the time to the move of the currency union, the uncertainty with respect to the future stance of monetary policy of the European Central Bank and the risk of an asymmetric real wage push within the monetary union. The macroeconomic implications of these disturbances are analyzed and alternative strategies for monetary and fiscal policy are evaluated. (JEL E 58, F 36)
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Lange, Carsten and Nolte, Florian
"Consequences of the European Monetary Union with regard to the seignorage of the member countries "
The paper analyses the influence of the EMU on the seignorage of the member countries. First, the seignorage of each EU member from 1980 - 1995 is calculated. Then, we estimate the seignorage of the entire ECB, distinguishing between 12 scenarios of inflation and economic growth. As specified in the contract of Maastricht, this seignorage is allocated to the member countries. The comparison with the average of 1991. This paper investigates volatility in the US stock market and the effects of short- run deviations between stock prices and certain macroeconomic fundamentals over the period 1978:1 1996:12. The methodology followed is that of the GARCH and GARCH-X models. The results show that the GARCH-X model outperforms the standard GARCH model, while they indicate a significant effect of the short- run deviations on volatility. (JEL G 10)
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Siklos, Pierre L.
"The Tchervonetz: An Illustration in Discriminatory Monetary policy"
This paper interprets the parallel currency experiment in the Soviet Union during the 1920s as an illustration of price discrimination in monetary policy. Using Bryant and Wallaces (1984) framework, 1 argue that the introduction of high denomination notes by the Soviets was akin to imposing legal restrictions on their use as a transactions medium. Some econometric evidence is also present to support the implications of the theoretical approach followed. (JEL C 22, E 31,E 58)
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Anker, Peter and Wasmund, Jörn
"Monetary Policy and the Term Structure of Interest Rates
Results obtained for Germany and the USA"
The present paper addresses the impact of alternative central bank operating procedures in Germany and the US on the informational content of the term structure of interest rates at the short end of the maturity spectrum and discusses the implications for uncertainty in the financial sector. The empirical analysis uses daily money market interest rates in the period between 1975 and 1997 and takes explicitly account of changes in operating procedures of the Deutsche Bundesbank. In spite of some differences, the strategies applied by the Fed and the Deutsche Bundesbank since 1985 have resulted in rather similar conclusions regarding uncertainty about the future course of daily interest rates within the four subsequent weeks. The informational content of the six-month interest rate in Germany, however, is clearly different from that of the US. In the light of theoretical approaches recently discussed in the literature, this result can be attributed to differences in the implementation of interest rate smoothing objectives by the Fed and the Deutsche Bundesbank.
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Huschens, Stefan
"Measuring the Specific Price Risk by Variance Decomposition"
To determine the equity required for covering the general and the specific price risks of shares, the supervisory regulations would, after modification, allow both risk components to be measured on the basis of internal risk models. This contribution discusses the extent to which specific risks can be covered by the so-called unsystematic risk. On the basis of variance components, the author proposes alternative approaches to the analytical determination of a value-at-risk amount for covering the specific and the general price risk each.
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Dorfleitner, Gregor and Röder, Klaus
"Speculation in the DAX Future by Way of Limit Orders - A Theoretical and Empirical Analysis"
On the basis of a theoretical continuous model, this empirical study analyses success probabilities and profit expectation values of a speculative strategy subject either to daily or to weekly limit orders. The speculator deals exclusively in the respective near-by contract of the DAX Future. An ex-post analysis shows that this strategy's successfulness depends on the drift rate of futures prices, but its success probability mainly on the volatility of the futures prices. Limit order-based strategies do, as a general rule, not generate results that are better than strategies not subject to limit orders. It would be fair to say that the daily strategy is less profitable than the weekly one. The answer to whether such a strategy is rewarding at all depends on the speculator's transaction costs.
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