Westerheide, Peter
Einkommens- und Nachfrageeffekte von Zinsänderungen
Döpke, Jörg and Pierdzioch, Christian
Brokers and Business Cycles: Does Financial Market Volatility Cause Real Fluctuations?
Horne, Jocelyn and Nahm, Daehoon
Alternative Monetary Policy Rules and the Specification of the Phillips Curve: A Comparison of Nominal Income with Strict Inflation Targeting
Kotkamp, Stefan and Otte, Max
Prognostiziert die Zinsstruktur die Inflation in Deutschland?
Menkhoff, Lukas
Privatanleger delegieren an institutionelle Investoren: Bringt dies Fortschritte im Anlageverhalten?
Homölle, Susanne
Eigenkapitalregulierung und Risikoübernahme von Kreditinstituten
(Wolfgang Bessler und Heiko Opfer)
Andreas Oehler (Hrsg.)
Kreditrisikomanagement. Portfoliomodelle und Derivate (Wolfgang Breuer)
Michael Schefczyk
Finanzieren mit Venture Capital (Eberhard Stickel)
Westerheide, Peter
"Effects of Interest Rate Changes on Income and Consumption"
The effects of interest rate changes on consumption have often been analysed on an aggregate level: The most frequent outcome of these studies is that the direct influence of interest rate changes on consumption is rather weak. Consumption is mainly governed by income. In this paper income effects of income rate changes are analysed for different groups of households, based on the German income and expenditure survey. By assuming an average elasticity of substitution, consumption effects are derived. The results show remarkable differences in the effects of interest rate changes, which partially balance out on the aggregate level.
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Döpke, Jörg and Pierdzioch, Christian
"Brokers and Business Cycles: Does Financial Market Volatility Cause Real Fluctuations?"
This paper analyses the link between financial market volatility and real economic activity. Using monthly data for Germany from 1968 to 1998, we specify GARCH models to capture the volatility of stock market prices, of the real exchange rate, and of a long- term and of a short- term rate of interest and test for the impact of the conditional variance on the future stance of the business cycle and on the volatility of industrial production. The results of our empirical investigation lead us to reject the hypothesis that financial market volatility causes the cycle or real volatility. (JEL C32, D8, E32)
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Horne, Jocelyn and Nahm, Daehoon
"International Reserves and Liquidity: A Reassessment"
This paper reassesses the literature on international reserves and liquidity from the dual perspectives of micro financial aggregation theory and recent international financial developments. The traditional simple- sum aggregates approach to defining, measuring and estimating demand for international reserves is contrasted with more recent research derived from financial aggregation theory. As in domestic monetary theory, it is argued that aggregation theory is necessary to identify reserve assets with different degrees of liquidity and other reserve services. The main conclusion reached is that the financial aggregation is warranted on theoretical, empirical and practical policy grounds because the liquidity problem of adequacy and distribution remains relevant even in the altered international environment of flexible exchange rates and growth of private capital markets. (JEL F33, C43)
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Kotkamp, Stefan and Otte, Max
"Long- term Performance of DAX Dividend Strategies"
This study analyses the German stock market success of trading rules government securities selected for reasons of high net dividend yields. After adjustment for risks, transportation costs and tax effects, returns have been observed to be 2,50 % to 4.69 % up to the net average DAX returns. Less clear is the resultant picture where comparisons are related to a market index. Here, the net dividend exceeds the average by between 0.43 % and 2.58 %. The study discusses these findings on the basis of the market efficiency hypothesis. A behavioural finance- related approach seems to be appropriate for explaining this anomaly, whereas the data mining hypothesis proposed by the technical literature ought to be rejected.
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