Gawel, Erik and Thöne, Michael
Zur Neuen Politischen Ökonomie der deutsch-deutschen Währungsunion
Aktien- und Wechselkursdynamik im keynesianischen Modell
Geldmengenziele und diskretionäre Elemente der Politik der Bundesbank: Eine empirische Untersuchung
Schmidt, Hartmut and Oesterhelweg, Olaf and Treske, Kai
Deutsche Börsen im Leistungsvergleich - IBIS und BOSS-CURE
Die Finanzierung von Realoptionen unter Informationsasymmetrie
Wie stabil ist die Translog-Kostenfunktion bei mehreren Produkten? Eine Dokumentation des niederländischen Bankensektors
Von Anlegerbesteuerung bis Zinsstruktur. Bericht über die Jahrestagung der Deutschen Gesellschaft für Finanzwirtschaft (DGF) am 28. September 1995 in Nürnberg
Steiner, Manfred and Bruhns, Christoph
Wertpapiermanagement (Jürgen Maier)
Rehkugler, Heinz and Zimmermann, Hans Georg
Neuronale Netze in der Ökonomie (Harald Englisch)
Gawel, Erik and Thöne, Michael
"A Public-Choice-Approach to the German Monetary Union"
The decision for the German Monetary Union in early 1990 was mainly dominated by politics, so was its subsequent shaping concerning the union's timing and the adopted exchange rate. The extensive objections brought forward by economists were by and large dismissed. This constellation suggests the use of the analytical instruments of Public Choice theory for further research.
As the main actor, the federal government of West Germany had to operate on three political fields: In foreign policy the federal government's main aim was to unrope the German Democratic Republic from its ideological ties to the USSR and the Warsaw Pact. At this time, this option was considered to present only a temporary "window of opportunity". For this purpose the federal government changed its strategy of assistance to the GDR increasing at the same time the maximum possible assistance with the offer of a monetary union. The participation of West German parties in campaigns prior to the election of the East German parliament, the Volkskammer, in March 1990 suggests the perception of structures of an all-german domestic policy before both countries were legally united. The major East German parties offered almost similar proposals for a monetary union in their election platforms, monetary union being the perceived main interest of the median voter. The landslide victory of the conservative CDU can be interpreted as a vote for the West German federal government, led by the (West-) CDU. Because the monetary union depended on the decision of the federal government, East German voters faced an incentive to vote strategically in favour of the (East-) CDU, which could offer a higher enforcement-factor for its election platform because of its ideological closeness to the federal government. As a prerequisite for the credible offer of a monetary union the federal government had to overcome the Bundesbanks outspoken criticism of any plans for rapid monetary integration in the early discussion. A perfectly independent central bank, whose administration maximizes prestige via (successful) inflation-control, would face no incentive to put aside its misgivings about inflationary dangers of governmental policies. The Bundesbank is independent in its monetary policy, but dependent on parliament and government in questions of monetary constitution and fixed exchange rates. Thus the administration of the central bank had to decide how it wanted to maximize its prestige. One alternative was to uphold the resistance to monetary union, thereby maximizing inflation-control prestige. The other alternative was to give in, thereby not endangering its image of independence, which has become an autonomous source of prestige in forty years of successful monetary policy. This image would have been severely damaged, if the federal government had pushed monetary union through regardless of the central banks critical stand. This no-win-situation may explain the Bundesbank's quick (and surprising) approval, when the federal government announced its own plans monetary union.
"Share-price and Exchange-rate Dynamism in a Keynesian-type Model"
This contribution analyses the interdependencies of share-price and exchange-rate developments resulting from alternative demand shocks in a dynamic macroeconomic Keynesian-type model where - instead of the real rate of interest - Tobin's "q" is used as the determinant for the aggregated goods demand. The (deterministic) assumption is for rational expectations as well as perfect substitutionality between interest-bearing forms of investment and equity participations.
The interdependency is analysed in two steps: the first step is to assume an inert output adjustment so that in addition to the motion laws of the system a differential equation for the supply of goods, a national arbitrage relationship for equity capital and an international arbitrage relationship for interest-bearing assets are included in the analysis as well. It is demonstrated that monetary shocks induce a joint overshooting of the two asset prices, whilst fiscal shocks show a trend towards undershooting exchange rates and overshooting share prices. As a second step, the extreme - Keynesian - case of perfect flexibility of the supply of goods is assumed so that the entire system is reduced to two dimensions of the two step-variables. For adjustment purposes, this implies that both asset prices realise in a single discrete step the new stationary equilibrium solution and that overshooting prices occur only in the wake of transitory shocks.
"Money Supply Targets and Discretionary Elements of Bundesbank Policies - An Empirical Study"
This study focuses on whether monetary policy includes shorter-term discretionary elements in spite of money supply regulation. Assuming that derogations from the announced money supply targets are - except in cases of stochastic control errors - intentional insofar as monetary policy is concerned, it ought to be possible to prove the existence of a stable correlation between the observed derogations and the changes in the Bundesbank's macroeconomic target variables. Since the intermediate monetary target is managed via money-market interest rates, monetary-policy responses to undesired changes in target variables ought to be directly reflected by variations of these control variables. Instead of estimating multiple regressions, it is studied whether there is a "causality" within the meaning of the Wiener/ Granger theory between the control variables and the monetary-policy target variables. The results suggest that the Bundesbank - in spite of the stress it lays on its announced money supply targets - pursues a discretionary policy in the shorter term besides a potential-oriented one. Noteworthy is a marked lag in the response to changes observed in the level of prices.
Schmidt, Hartmut and Oesterhelweg, Olaf
"Performance Comparison of the German Stock Exchanges - IBIS and BOSS-Cube"
performance of the IBIS and BOSS-CUBE trading systems based on a unique set of data covering the transactions on Germany's eight trading floors in the 40 IBIS traded stocks. The performance of the systems and the stock exchanges is measured by the midquote proximity of the prices at which investors transacted business. The resulting price-spread relation is the ratio of the effective BOSS spread and the effective IBIS spread. A price-spread relation smaller than one indicates that on BOSS-CUBE the prices are closer to midquote than on IBIS.
Microstructure-theory considerations lead to the hypotheses that BOSS-CUBE-recorded prices are closer to midquote than IBIS-recorded ones and that this BOSS-CUBE advantage is particularly marked with less active stocks. Moreover, because the eight floors compete for order flow, it is expected that the smaller exchanges have lower price-spread relations than the Frankfurt stock exchange in some stocks. The results of the empirical analysis are consistent with these hypotheses.
"Financing Real Options in an Environment of Asymmetric Information"
A model based on asymmetric information between the management of a corporation and external investors discusses the incentives that emanate from financing and influence decision- making on whether to exercise a real option, i. e. to make use of an opportunity for investment. It is taken into account that a financing relationship may come into existence at the time of investment in a real option and the time of the possible exercise of the option. Such financing relations may be associated with countervailing incentives on the corporate management's investment behaviour. It turns out that an appropriately shaped financing scheme would allow the real option to be exercised precisely if it is efficient. This shows that welfare losses do not occur in spite of asymmetric information. The model analysis is followed by a discussion of the question to what extent this result is robust in a scenario of possible expansions.
"How Stable is the Multiproduct Translog Cost Function? Evidence from the Dutch Banking Industry?"
This paper presents evidence on the stability of the multiproduct translog cost function from a sample of Dutch banks. It is concluded that a hybrid form of this function is unable to capture the production structures of banks on edges of the cost surface. It is advisable, therefore, to exclude highly specialized banks and unit-branch banks from the sample. Unlike most other bank cost studies, the average cost curve is found to be L-shaped rather than U-shaped. Significant scope diseconomies between loans and savings accounts suggest that there is no natural monopoly in the Dutch banking sector.