Kellermann, Kersten and Schlag, Carsten- Henning
Produktivitäts- und Finanzierungseffekte öffentlicher Infrastrukturinvestitionen
Neuberger, Doris and Lehmann, Erik
Die Direktbankinnovationen
Ahrens, Ralf
Prognose von Zinsvolatilitäten mit Regime- Switching- Modellen: Eine empirische Analyse des Euro- DM- Geldmarktes
Apergis, Nicholas
Stock Market Volatility and Deviation from Macroeconomic Fundamentals: Evidence from GARCH and GARCH- X Models
Kaserer, Christoph and Mohl, Hans- Peter
Die Einführung der 5-DM-Aktie - Ein Testfall für die Untersuchung der Mikrostruktur von Aktienmärkten
Klügel, Karl
Bankenaufsichtsrecht und Skalenerträge. Vergleich US- amerikanischer commercial banks und deutscher Geschäftsbanken (Hans- Peter Burghof)
Kellermann, Kersten and Schlag, Carsten- Henning
"Positive and Negative Output Effects of Public Infrastructure Investment"
The government may contribute both positively and negatively to the growth of an economy. In our model we separately analysed the opposing influences of public investments and the way of financing them. We use a neoclassical growth model that explicitly incorporates public capital to analyze the theoretical and empirical importance of public investments. The empirical results for old german Bundesländer between 1970 and 1994 suggests that the net productivity effects are positive. Debt- financing creates substantially higher crowding- out effects than does tax- financing of public investments.
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Neuberger, Doris and Lehmann, Erik
"The Directbanking Innovation"
Since 1994, the German banking market is confronted with an entry wave of direct banks. This banking innovation may be explained by developments on the supply side as well as on the demand side. It is pushed by developments in telecommunication technologies during a period of rising cost competition and pulled by change in the demand for selling efforts by banks. Within a model of monopolistic competition with endogenous selling efforts we show that in the long run, a direct banking market supports a larger number of firms which offer their products at lower prices than a branch banking market. As long as customers are heterogeneous, both banking types will survive. In the German banking market the intensity of competition is, however, so high that no direct bank has reached its break- even point yet.
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Ahrens, Ralf
"Predicting Interest Rate Volatility with Regime- Switching Models: An Empirical Analysis of the Euro- Deutschmark Money Market"
This contribution analyses the usefulness of the Generalized Regime- Switching- (GRS)-Model proposed by Gray (1996a, 1996b) for modelling and forecasting interest rate volatility in the Euro- Deutschmark money market. The theoretical part of the contribution begins by introducing the GRS model. It turns out that many known models such as GARCH and Markov switching may be regarded as a restricted variant of the GRS model. An empirical comparison with the traditional approaches show that the GRS model is the superior option for describing the dynamics of the interest rate volatility of both one- month and three- month money. Moreover, one- step forecasts suggest a good out- of- sample performance of the GRS model. Irrespective of the GRS model's complexity, its recursive representation allows it to be implemented easily.
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Apergis, Nicholas
"Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH- X Models"
This paper investigates volatility in the US stock market and the effects of short- run deviations between stock prices and certain macroeconomic fundamentals over the period 1978: 1 1996: 12. The methodology followed is that of the GARCH and GARCH-X models. The results show that the GARCH-X model outperforms the standard GARCH model, while they indicate a significant effect of the short- run deviations on volatility. (JEL G 10)
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Kaserer, Christoph and Mohl, Hans- Peter
"Pure Stock Splits in Germany - New Evidence Regarding the Microstructure of Stock Markets"
It was the aim of this paper to analyze price reactions following a pure stock split in Germany. First we argued that this price reactions should not be explained by a conventional signalling model. Thereafter it was shown that stock price reactions can be modelled within a simple dynamic price- liquidity- model. The results of this theoretical considerations lead us to the following hypotheses. The announcement of a stock split should have no statistically significant price reaction. This should also be true for the ex- date. However, a stock split will cause a perceptible increase in the volatility of stock prices, while the market risk of stocks should be unchanged. These three hypotheses were corroborated by the empirical investigation. Therefore, the results partly reveal a discrepancy to several studies from the US. Moreover, these findings might be important as far as the efficient organization of a stock exchange is concerned.
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