KREDIT und KAPITAL - Issue 1/2004


Contents


Articles

Michaelis, Jochen
Prosper-thy-neighbor and Beggar-thyself?

Wagatha, Matthias
Makroökonomische Schocks in der Kreditwirtschaft - eine Analyse mit VAR-Modellen

Arnold, Ivo J. M.and Kool, Clemens J.M.
The Role of Inflation Differentials in Regional Adjustment: Evidence from the United States

Brachtendorf, German and Witt, Peter
Gründungsfinanzierung und optimale Kassenhaltung


Reports

Das, Dilip K.
Emerging Market Economies: Liberalization and Performance Nexus


Book Reviews

Janssen, Ole Johann
Currency Board-Systeme. Theoretische Aspekte und Erfahrungen
(Wilfried Fuhrmann)

Hölscher, Jens (ed.)
50 Years of the German Mark - Essays in Honour of Stephen F. Frowen
(Jürgen Born and Wim Kösters)


Summaries

Michaelis, Jochen
"Prosper-thy-neighbor and Beggar-thyself?"

This paper develops a general framework to analyse the welfare effects of monetary policies in an open economy, focusing on the interaction on the internal and external sources of economic distortion. The internal sources are a monopolistic supply of both goods and labour, the external source is the monopoly power of a country on its terms of trade. Using the set-up developed by Obstfeld and Rogoff, we will show that (1) a home bias in consumption reduces the terms-of-trade externality and thus shifts the welfare gain of a monetary expansion towards the country where it will take place; (2) the welfare gain is more likely to be concentrading on the expanding country if domestic and foreign goods are close substitutes and if the distortions on the goods and labour markets are high; and (3) for a wide range of parameter values a domestic monetary expansion deteriorates domestic welfare (beggar-thyself) but improves welfare abroad (prosper-thy-neighbour). (JEL E 40, F 41, F 42)

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Wagatha, Matthias
"Macroeconomic Shocks to the Credit Industry - a VAR Model-based Analysis"

This article represents an empirical analysis of whether macroeconomic shocks exert a statistical influence on insolvency rates. The quantitative implications of macroeconomic impulses have been explained with the help of impulse-response functions and forecasting error variances with these impulse-response functions and forecasting error variances being based on a VAR model. The estimates of the VAR model take account of the fact that mot of the underlying tome series have a unit root and that the variables have been co-integrated. The confidence intervals of the estimated impulse-response sequences have been ascertained with the help of a bootstrap procedure.

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Arnold, Ivo J. M.and Kool, Clemens J.M.
"The Role of Inflation Differentials in Regional Adjustment: Evidence from the United States"

Within a monetary union, regional inflation differentials lead to a competition between a real interest rate and wealth channels on the one hand and the real exchange rate channel on the other hand in the transmission of regional shocks. This may have implications for the length and vehemence of regional business cycles. This paper tries to quantify how these forces work against each other using regional data for the United States. Out estimates indicate that, following an increase in the regional inflation rate, in the short run the pro-cyclical effect through the real interest rate and wealth channels is strongest. After a period of about 3-4 years the cumulative worsening of the competitive position asserts ist influence. Regional cycles in the housing market have a clear pro-cyclical effect and are, on their part, affected by regional real interest rates and real growth. (JEL E 58)

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Brachtendorf, German and Witt, Peter
"Entrepreneurial Finance and Optimal Cash Inventories"

In this paper we develop a lot size model for entrepreneurial financing problems. Starting out with a modified version of the standard lot sizing-model, we treat the cost of equity for externally provided equity as adynamic variable. The start-up's cash burn is also included as a dynamic variable. Using numerical examples, we show that the staging of equity investment in start-ups is significantly advantageous. From our model, we derive the optimum number of financing rounds and the absolute amount of money that can be saved by staging the investment.

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Reports

Das, Dilip K.
"Emerging Market Economies: Liberalization and Performance Nexus"

The principal thesis of this paper is that financial development and liberalization affect the growth rate in a significantly positive manner. Deregulation creates an environment that greatly facilitates economic growth. Although there is no consensurs on the impact of capital account liberalization on growth, the allocative efficiency hypothesis still holds and it is supported by many analysts. It was believed that capital account liberalization leads to volatility, which led to a support of policy to restrict global capital flows. However, this support was limited. If capital account is liberalized in a planned and sequential manner and if short-term capital flows are liberalized last, and kept under limits, the risk of volatility in the economy declines considerably. Similarly, it was believed by some that liberalization of equity markets causes volatility. However, the equity markets' volatility was not intensified by financial liberalization. If anything, the opposite was true. The cycles of upswing and down swings in equity markets become smoother after they are liberalized. There are intertemporal differences in the impact of financial liberalization over the equity market. Integration of domestic equity markets in the emerging market economies with the global financial markets contributes to a decline in volatility. (JEL F 0, F 3, F 4, F 21, G 15)

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