Contents

Articles

*Gerhards, Tilmann
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Strukturelle Wechselkursbeziehungen auf den Internationalen Devisenmärkten

*Jordan, Thomas J.
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Reale Wechselkurse innerhalb der Schweiz und zwischen der Schweiz und ausgewählten Nachbarstaaten

*Hecker, Renate
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Insiderhandel am Markt für Kaufoptionen - Eine empirische Studie (Teil II)

*Gubitz, Andrea and Hellmann, Thomas and Larch, Martin
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Die Struktur der Renditen auf deutschen Anlagemärkten: Schätzung und Prognose mit einem Portfoliomodell

*Lehrbass, Frank B.
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Eine Einführung in die arbitragefreie Bewertung von Derivaten in stetiger Zeit am Beispiel europäischer Devisenoptionen

* Candrian, Dominique*

Karl Marx - Ein dialektischer Eulenspiegel in der Geldtheorie. Sein Ringen um die Erfassung des Geldwesens (Heinrich Müller-Godeffroy)

*Gerhards, Tilmann
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"Structural Exchange-Rate Relations in International Foreign Exchange Markets"

The existing theory of the behaviour of flexible exchange rates, including empirical analyses, is based primarily on the results of studies involving two countries. This paper, by contrast, studies within the framework of a multilateral system common behavioural aspects of the most important exchange rates in the period following the collapse of the Bretton-Woods system. If focuses among other things on the implications of the European Monetary System (EMS) for Member and non-Member States in particular. On the basis of studies of multivariate time-series, the most important nominal exchange rates have been examined with regard to their co-integrative relationships, effective in the long term, as well as to their behavioural dynamism. As the results of empirical studies show, there is a relatively modest correlation between the yen/US dollar rate and the other European exchange rates, whilst the D-mark/US dollar rate deserves to be given the greatest importance within the vector-autoregressive system studied. Since the inception of the EMS, there has been an equilibrium relationship between the D-mark/US dollar rate and the British pound as well as the Swiss-franc rate; this equilibrium relationship has guided these exchange rates in the long term. The French franc and the Italian lira - although members of the EMS - do not exert any influence on the nature of this relationship; their only long-term function is one of adjustment. Even dynamic analyses based on forecasting error-variance decomposition and impulse response series underline the dominant role of the D-mark/dollar rate especially since the early days of the EMS. The results of this study thus show that dependencies of a short and a long-term nature evolve in exchange-rate relations over time that should be taken account of when exchange-rate models are shaped.

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*Jordan, Thomas J.
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"Real Exchange Rates within Switzerland and between Switzerland and Three Neighbouring Countries"

Common Argumentation stipulates that minimal variability and persistence in real exchange rate fluctuations within the participating areas should be a distinguishing feature of any currency union. This paper examines the variability and the persistence of real exchange rate fluctuations both within Switzerland and between Switzerland and three neighbouring countries. Real exchange rates vary only minimally between the various regions except for the area of North-Western Switzerland. These fluctuations are instead characterized by considerable persistence. This analysis shows that a currency union is quite capable of coping with both differing variabilities in real exchange rates between the areas involved and persistent real exchange rate fluctuations, including sizeable accumulated changes in real exchange rates.

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*Hecker, Renate
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"Insider Trading in the Call Options Market - An Empirical Study (Part II)"

Starting from the assumption that investors with an important piece of non-public information prefer dealing in options, this paper investigates whether there is some indication that call option prices lead stock prices. For a sample of firms listed at the Frankfurter Wertpapierbörse the null hypothesis is tested that there is no extraordinary overpricing (underpricing) of call options relative to their theoretical values during periods preceding intervals of positive (negative) abnormal performance in the stock market.

This hypothesis of the study is specified in great detail in the first part of the paper. In the second part of the article the statistical test and the test results are described. For positive abnormal performance the null hypothesis can be rejected; this may be due to insiders buying calls in advance of expected stock price increases. This result does also not support the view that options trading has a destabilising impact on the underlying asset market. At the end of the paper possible further research using option market data from the Deutsche Terminbörse is discussed in detail.

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*Gubitz, Andrea and Hellmann, Thomas and Larch, Martin
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"Yield Structures on German Investment Markets: Estimate and Prognosis with the Help of a Portfolio Model"

The present model makes use of the portfolio theory as well as its econometric transposition for prognosticating the yield structure of different financial-assets investments. It has not been assumed in this context that the supply of financial assets is perfectly elastic. For this reason it is necessary to estimate simultaneously the demand for different financial assets (portfolio shares) and the corresponding yields. With due consideration being given to the balance-sheet restriction and to the need for two simplifying assumptions, the result is a non-linear model drawn up with the help of a three-step least squares estimator using simulated instruments. This procedure has turned out to be advantageous compared with the customary ones. Of special interest is the finding that there is a significant backfeed effect of changes in the portfolio structure on yields (liquidity effect). Moreover, the results of the model calculations confirm the existence of a relatively weak influence of monetary policy on long-term rates of interest. The prognosticating properties of the model are satisfactory in general. Nonetheless, the model responds to extraordinary events at a relatively low speed because of its autoregressive structure.

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*Lehrbass, Frank B.
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"An Introductory to Continuous-Scale Derivatives Evaluation in a Non-Arbitrage Environment on the Basis of the Example of European Foreign-Exchange Options"

The legendary evaluation formulae of Black / Scholes (1973) and Garman / Kohlhagen (1983) are explained in great detail in a didactically attractive manner. To begin with, two fundamental discoveries concerning the option price theory are explained with the help of a simple binominal model: independence of option-rights evaluations from market participants' risk-acceptance propensity and the resultant possibility of evaluating option rights in an imaginary risk-free environment. This is followed by a model reflecting the dynamism of prices - Brown's geometric progression. This is the basis of the Garman / Kohlhagen differential equation, which provides the justification of the two aforementioned fundamental discoveries pertaining to the continuous-scale evaluations. With the help of evaluations in a risk-free environment, the Garman / Kohlhagen formula is subsequently developed, which includes the Black / Scholes formula describing a special case. Reading this introductory presupposes nothing more than "A-level knowledge of mathematics".

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