Lemmen, Jan J. G. and Eijffinger, C. W.
The Price Approach to Financial Integration: Decomposing European Money Market Interest Rate Differentials
Neumann, Manfred and Weigand, Jürgen
Monetäres Reinvermögen versus Geldmenge M3 - Zur Indikatorqualität alternativer monetärer Aggregate
Röder, Klaus and Bamberg, Günter
Intraday-Volatilität und Expiration-Day-Effekte am deutschen Aktienmarkt
Stehle, Richard and Huber, Rainer and Meier, Jürgen
Rückberechnung des DAX für die Jahre 1955 bis 1987
Reszat, Beate
Devisenmarkt Tokio: Marktstrukturen und Risiken
Sachs, J. D. and Larrain, F.
Makroökonomik in globaler Sicht (Michael Burchardt)
Mackscheidt, Klaus and Ewringmann, Dieter and Gawel, Erik
Umweltpolitik mit hoheitlichen Zwangsabgaben? (Wiebke Störmann)
Lemmen, Jan J. G. and Eijffinger, C. W.
"The Price Approach to Financial Integration: Decomposing European Money Market Interest Rate Differentials"
The present paper deals with a theoretical and empirical analysis of money market integration in the European Community. The paper examines the degree money market integration between ten EC member states and Germany since the start of the European Monetary System in March 1979. Money market integration is defined as the ability and willingness to move money market assets across national
borders. The empirical analysis relies on calculations of mean deviations from covered interest parity, ex post uncovered interest parity and ex post real interest parity. The degree of money market integration crucially depends on the devaluation risk as measured by the ex post exchange risk premium. In the case of Portugal and Greece also capital controls matter.
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Neumann, Manfred and Weigand, Jürgen
"Net Monetary Assets versus Monetary Supply M3
Observations on the Indicator Quality of Alternative Monetary Aggregates"
Regression and co-integration analyses are used to show that the existence of a statistically significant relationship between real money supply M3 and the real national product cannot be proven to exist any longer since the 1980s. By contrast, there were visible theoretically and statistically proven relationships both in the 1970s and the 1980s between the real national product and real net monetary wealth, i. e. an interest-weighted money supply aggregate whose time lead offers a rather good forecasting quality insofar as the real national product is concerned. It follows therefrom that monetary policy influences not only the level of prices, but has real effects as well. Net monetary wealth is thus superior to other monetary policy indicators and should therefore be considered to represent an alternative to money supply M3.
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Röder, Klaus and Bamberg, Günter
"Intraday-Volatility and Expiration Day Effects on the German Stock Market"
This paper is aimed at ascertaining intraday volatility trends on a daily basis. To this end, intraday volatility is measured with the help of the sampling variance of the minutely DAX-yield ascertained at 15-minute intervals. In addition, this paper analyses the influence of the expiration days of the options and DAX futures traded at the DTB (German Futures Exchange) on the spot price trends recorded at the Frankfurt Securities Exchange.
On a calendar-year basis, the 1991 to 1993 intraday volatility decreased on all week-days. It is to be noted that, with 15-minute analysing intervals, the intraday volatility declined between 1991 and 1993 save two exceptional intervals.
The intraday volatility recorded for the first three 15-minute analysing intervals of official trading is significantly above the intraday volatility of the remaining day. Between 12.16 and 12.30 hours - i. e. the time of the spot price determination - the volatility reaches a local maximum. At the close of official trading, the volatility rises again slightly.
The expiration dates of the DAX futures result in increased volatility at the opening of trading. The increase in volatility at the close of trading caused by option due-dates is more than twice as large as influence of the due-dates of futures contracts at the opening of trading.
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Stehle, Richard and Huber, Rainer and Meier, Jürgen
"Retrograde Calculation of the DAX from 1955 to 1987"
Since its introduction in 1988, the DAX has become the most important indicator for the performance of German stocks. In this article the results of a retrograde calculation of the DAX for the time period January 1955 to December 1987 are presented. The attendant problems are discussed in detail and the results are compared with the historic DAX time series calculated by Mella, which has been used frequently for analyses.
The calculations show that by investing in the stocks of leading German firms considerably higher mean returns could have been achieved than by investing in German bonds. The DAX implicitly assumed the perspective of a German investor with a marginal income tax rate of 36% until 1993 (30% since then). Such an investor would have obtained an annual (arithmetic) mean return of 11.68% on German blue-chip stocks in the time period between 1955 and 1991. Between 1960 and 1987 the mean return was 8.19% (in each case after personal income tax). On the basis of the Mella time series only 5.58% were recorded in the later period. This result can be explained mainly by the fact that Mella generated his data by linking different time series of indices. Among other things, these series did not include dividends over a long period of time, causing a systematic downward bias in estimated returns.
We hope that the results of this study can contribute to rank German stocks more clearly as a desirable investment, both in the past and presumably as well in the future.
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