Qualität der Zinsprognose deutscher Banken - Eine empirische Analyse
Die Zinsbesteuerung in der Europäischen Union
Gischer, Horst and Jüttner, D. Johannes
Global Competition, Fee Income and Interest Rate Margins of Banks
Die Bewertung und der Vergleich von Kreditausfall- Prognosen
Die Risikoprämie am deutschen Kapitalmarkt
Vermögensverwaltung und Kapitalmarktprognose. Überprüfung der Prognosekompetenz ausgewählter deutscher Vermögensverwalter (Peter Andres)
"Quality of Interest Rate Forecasts by German Banks - An Empirical Analysis -"
Interest rate forecasts play an important role for many segments of the banking business. However, an evaluation of historical time series of interest rate forecasts done by 19 prominent German banks nurtures substantial doubts about the success of the efforts made by forecasting future interest rate trends. This article analyses the yield forecasts of DM- denominated government bonds with a ten-year residual lifetime between October 1989 and December 1999. To measure the forecasting quality, this article uses the forecasting quality matrix based on Theils ("new") inequality coefficient (U2) and the topical oriented trend adjustment coefficient. It has turned out, that the 19 time series of twelve- month and the 19 time series of three- month interest rate forecasts ought to be subsumed under the category of quasi- naïve forecasts and that they are thus inappropriate as a basis for decision- making.
"The Taxation of Interest Income in the European Union"
Considering the extent to which progress is being made with the integration of the European Capital Market, harmonisation of the taxation of income is becoming increasingly important. Efficient allocation of capital must not be hindered by inter- governmental tax differentials.
Following more than forty years of discussion, the approach that is now beginning to emerge is one by which the principle of country of residence is translated into reality via a system of information exchange and tax collected at source. The information model should guarantee that interest income earned abroad is declared in the taxpayers country of residence. EU states that place great value on banking secrecy should be able to charge tax collected at source at interest income earned there during a transition phase ending in 2011. Their tax rates must be raised from 15 % to 35 % during this period in order to stimulate the transition to information exchange in these countries as well. In this context, Switzerland and other third countries, which are supposed to give up their status as tax havens and adopt this approach, represent a particular problem relating to tax policy. The model chosen for the EU is a pragmatic concession in so far as its intervention in national tax law is relatively limited.
With its interest income tax rate of 25 %, which is to apply to interest income earned by resident taxpayers from 2005 onwards, German tax legislation could opt for an approach that would be compatible with the European solution if, while implementing the European approach, information about interest income earned in Germany by non- resident individuals could also be passed on.
Both the standards negotiated for a European guideline on the taxation of interest income and the German approach are incomplete in so far as there are remaining considerable gaps in the recording of impersonal and personal tax liability. Further efforts need to be made regarding tax policy in order to eliminate the remaining deficiencies in the taxation of interest income and bring about coordination between the burden of interest income and the likewise necessary harmonisation of company- taxation in a way that makes sense economically.
Gischer, Horst und Jüttner, D. Johannes
"Global Competition, Fee Income and Interest Rate Margins of Banks"
The major thrust and novel feature of our study is the search for and the evidence we provide regarding the impact of global competition on banks interest rate margins and profitability. Our panel data approach utilizes the OECD banking data set and IMF statistic. We base our estimation approach on the dealership models of Stoll (1978), Ho and Stoll (1980) and Ho and Saunders (1981). Subsequent studies with a narrow focus on country- restricted monopoly measures (Saunders and Schumacher, 2000) in banking market or on foreign bank entry features (Claessens et al., 2001) ignore the spill-over effects of competition in global financial markets on domestic banking operations. We provide an avenue for competition in global financial markets to exert its influence on the operations of domestic banks in their respective countries by including the ratio of total foreign assets and liabilities to GDP in our model. This variable portrays the openness of the domestic financial system to global competition. Our estimation results suggest that exposure to global competition trends to narrow net interest rate margins and to reduce the rate of return on assets. We also find strong evidence for the expected inverse impact of the fee- to- income ratio on the interest rate margin and on profitability. The fee- to- interest- income ratio serves as a summary measure of competition in wholesale markets, as a reflection of advanced product mix, and as a variable which mirrors diversification benefits. Furthermore, a novel risk measure (volatility of gross income) impacts positively on the return on assets after tax as well as on the net interest margin, regardless of the model specification or the applied estimation techniques while costs show a negative relation to bank performance measures. (JEL G 21, L 11)
"Evaluation and Comparison of Default Forecasts in the Rating Industry"
This article shows that probability forecasts may in many respects be ranked in terms of quality. It makes clear in particular that correspondence of the predicted default probability and the relative frequency of the actual defaults is no quality guarantee in itself. The latter would only be the case when the predicted default probability is near 0 % and near 100 %. In addition, this article discusses various scalar measures permitting a ranking of the forecasting quality.