Illing, Gerhard
Nominal Bonds and Budgetary Discipline in a Currency Union
Jandura, Dirk and Rehkugler, Heinz
Monetäre Effekte auf die Bewertung des deutschen Aktienmarktes
Gintschel, Andreas
Ein allgemeines Binominalmodell zur Bewertung von Realoptionen
Herrmann, Ralf
Der Einfluß von derivativen Wertpapieren auf das systematische Risiko von Aktien
Maier, Jürgen and Stehle, Richard
Berechnung von Nachsteuerrenditen für den deutschen Rentenmarkt auf Basis des REX und des REXP
Oesterhelweg, Olaf
Anlageorientierte Handelsverfahren für den deutschen Aktienmarkt
(Christoph Fischer)
Frankel, Jeffrey A. und Gallo, Giampaolo und Giovannini, Alberto
The Microstructure of Foreign Exchange Markets (Thomas Lux)
Illing, Gerhard
"Nominal Bonds and Budgetary Discipline in a Currency Union "
The paper analyses monetary policy in a stochastic economy with shocks on government spending. Due to a moral hazard problem (efforts for budgetary discipline being not observable), nominal debt serves as a substitute for risk markets. It is shown that the optimal level of debt is finite even in a regime with reputation. A transfer of reputation in a currency union can work smoothly only under conditions of an optimum currency area (strongly correlated spendings shocks).Even in that case, however, budgetary policy has to be centrally coordinated as well, because otherwise incentives for budgetary discipline will be distorted. (JEL E 50, E 62, H 63)
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Jandura, Dirk and Rehkugler, Heinz
"Monetary Impact on the Valuation of the German Stock Market"
In this paper an econometric model has been developed for the purpose of fundamental valuation of the German stock market on the basis of cointegration analysis. As the estimated model shows phases of fundamental deviation from fair value, extreme in dimension and duration, the divergences have been analysed and checked with regard to whether these would be traceable to monetary influences. To quantify these influences, an indicator of excess liquidity has been developed. With the help of extended empirical and statistical tests, it has been shown that the national as well as the international (G5) cycle of liquidity have a significant impact on the valuation of stock market movements and that up to 20 % of the German stock market deviation from fair value are traceable to monetary influences.
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Gintschel, Andreas
"A General Binomial Model for Valuing Real Options"
In the last decade, a substantial body of literature devoted to the real-options approach to valuation of real assets, complementary to the traditional net present value analysis, has emerged. The real-options approach is employed by an increasing number of corporations for capital budgeting. This paper presents a unified valuation model, which builds on the simple structure of a binomial process, for common types of real options. The valuation formula is adapted to the different
types of real options by defining appropriately the gains from exercising the option. The model is extended easily to assets containing multiple real options. Necessary conditions for the application of the valuation method are discussed.
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Herrmann, Ralf
"Impact of Derivative Securities on Systematic Risk of Stocks
An Empirical Study
The question if derivatives affect the markets of their underlyings is a very controversy discussed question. Especially derivatives destabilize or stabile this markets. Empirical studies document an significant increase of the systematic risk of German stocks - especially DAX stocks. This studies examines if this increased risk is the result of derivatives introduced at the Deutsche Terminbörse (DTB).The results show evidence for a significant impact of derivative securities on the systematic risk and the liquidity of the underlying stocks.
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Maier, Jürgen and Stehle, Richard
"Calculation of After-Tax Returns of the German Bond Market Based on the REX and the REXP Indices"
The REX price index and the REXP performance index are currently probably the most important indicators for the tendencies on the German bond market. The official REXP time series presumes a tax rate of 0 % for interest income. The main objective of this paper is to adjust the REXP for the effects of taxation, assuming the perspective of German individual investors with alternative taxrates. This adjustment of the REXP for the effects of taxation is important for return comparisons between the stock indices calculated by Deutsche Börse AG and the REXP on the basis of a single tax rate. For this purpose a theoretically sound and usable method is developed. REXP index tracking and the attendant problems are dealt with as well. In the empirical part of the study after-tax REXP time series are calculated for two representative tax rates (36% and 56%). The results are compared to those of a simple ad-hoc adjustment. lt turns out that our method of tax adjustment leads to an increase in precision which is important for many purposes.
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