Berk, Jan Marc and von Bergejik, Peter
On the Information Content of the Yield Curve: Lessons for the Eurosystem?
Müller, Christian and Hahn, Elke
Money Demand in Europe: Evidence from the Past
Alecke, Björn
Preislücke, Kointegration und Kausalität - Eine zeitreihenanalytische Untersuchung der Geldmengenentwicklung in Deutschland seit 1973
Rau- Bredow, Hans
Konzernbildung, Eigner/ Gläubiger- Konflikte und Unterinvestitionsproblematik
Höppner, Florian und Kohns, Stephan
Konstanz Seminar on Monetary Theory and Monetary Policy 2000
Leschke, Martin
Geldmengenpolitik in Deutschland und Europa (Jürgen Ehlgen)
Geiseler, Christoph
Das Finanzierungsverhalten kleiner und mittlerer Unternehmen
(Heinrich Degenhart)
Werner, Thomas
"The Effects of Exchange Rate Volatilities on Investment Behaviour - A Theoretical and Empirical Analysis from the Perspective of the Real Options Theory"
In the theoretical part of this contribution a model has been developed for analysing the effects of exchange rate volatilities on investment behaviour. This model is based on the theory of real options. Exchange rate volatilities produce uncertain profit expectations and attach some value to the option to still wait with taking the respective investment decision. A Monte Carlo simulation shows that the greater the exchange rate volatility, the longer the average period for which the optimum investment decision is delayed. Strong exchange rate volatilities may therefore result in temporary decreases in the investment volume. In the empirical part of this contribution, a model has been built for the exchange rate fluctuations of the dollar against the D mark with the help of the GARCH approach. For the investments in the Federal Republic of Germany an error correction model has been estimated. It is demonstrated that the negative effect of the D mark/dollar rate volatilities on investments is significant.
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Berk, Jan Marc and von Bergejik, Peter
"On the Information Content of the Yield Curve: Lessons for the Eurosystem?"
The focus of this paper is on the use of the yield curve in monetary policy making. Theoretical arguments and a multi country empirical analysis with an explicit focus on the euro area suggest the need for caution in case the Eurosystem uses the yield curve as an information variable for monetary policy because multiple theoretical explanations exist for an observed movement in the yield curve, suggesting that policy reactions cannot be prescribed unambiguously. In addition, the empirical analysis shows that, in contrast with earlier findings of, for example, Hardouvelis (1994) and Bernard/Gerlach (1996), the information content of the yield curve is fairly limited. For the individual European countries participating in the Eurosystem as well as for the euro area as a whole, the yield spread possesses only very limited information relating to future movements in the inflation rate and output growth, over and above the information contained in the history of the latter variables (JEL E 43, E 58)
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Müller, Christian and Hahn, Elke
"Money Demand in Europe: Evidence from the Past"
The conditions under which European monetary policy is likely to be conducted are investigated by means of multivariate time series modelling using aggregated data of all eleven European Monetary Union member states. A cointegration analysis identifies two stable long run relationships one of which Man be interpreted as a money demand function and a second one as a long term real interest rate (Fisher parity). Particular emphasis is given both to the data sources and their aggregation, by providing a transparent account of our calculation procedure, which is not yet common in the existing literature. (JEL E41, E52, C32)
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Alecke, Björn
"Price Gap, Cointegration and Causality -A Time Series Based Analysis of the Monetary Stock in Germany after 1973"
This contribution comprises a cointegration analysis of money, prices, income, and interest rates and analyses the causality structure of the variables. The cointegration analysis shows a long-term equilibrium relationship between money, prices, income, and interest rates with theoretically plausible coefficient values. The causality analysis demonstrates that money influences prices, income, and interest rates in the short term, though not in the long-term. The dynamic analysis made with the help of generalised impulse response functions, variance decompositions and the persistence profile recently proposed by Pesaran and Shin (1996, 1998a) for analysing cointegrated VAR models confirms that money does not influence prices, income, and interest rates in the long term. Deviations from money market equilibrium are quickly corrected.
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Rau- Bredow, Hans
"Group Building, Shareholder/Creditor Conflicts and the Underinvestment Problem"
An underinvestment problem arises where a complementary investment with a positive net present value increases only the market value of debt, but not that of equity. However, shifting the complementary investment and, where appropriate, also other projects to a subsidiary might represent a way out of the dilemma. This contribution analyses the resultant consequences for the market value of equity and of debt because the parent company's creditors might interpret such shifts as a risk-increasing and, thus, disadvantageous substitution of direct assets for equity This paper discusses also the implications of the liability a parent company may bear for claims against its subsidiary. This contribution also shows that the problem of overinvestment in projects with a negative cash value might aggravate..
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