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An Econometric Investigation of Currency Substitution and Capital Mobility in a Two-Country Portfolio-Balance Financial Asset Model 两国资产组合平衡金融资产模型中货币替代与资本流动的计量经济学研究
Kredit Und Kapital Pub Date : 2008-11-01 DOI: 10.3790/KUK.41.3.333
John M. Paleologos, Christos Papazoglou
{"title":"An Econometric Investigation of Currency Substitution and Capital Mobility in a Two-Country Portfolio-Balance Financial Asset Model","authors":"John M. Paleologos, Christos Papazoglou","doi":"10.3790/KUK.41.3.333","DOIUrl":"https://doi.org/10.3790/KUK.41.3.333","url":null,"abstract":"This paper examines the extent to which the demand for money in the euro area responds to external economic developments. The euro area money demand is derived from a two-country portfolio balance framework with the US being the foreign economy, using quarterly data covering the 1990Q1–2006Q2 period. First, we tested for the existence of structural breaks. The move to the single currency in January 1999 allowed us to consider two sub-periods: 1990Q1–1998Q4 and 1999Q1–2006Q2. During the first, we see a relatively stable demand function, while in the second it appears to be less stable. This is largely due to the fact that the adoption of the single currency brought greater economic integration. Then, we use a multivariate vector autoregressive model (MVAR model). The results reveal significant degree of monetary interdependence during the second sub-period stemming from currency substitution and capital mobility. This, in turn, calls for further international monetary coordination to maintain stable growth in the aggregate money supply in order to properly monitor price stability.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"287 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125879763","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Too Big to Fail? The Newfoundland Bank Crash of 1894 大到不能倒?1894年纽芬兰银行倒闭
Kredit Und Kapital Pub Date : 2008-08-01 DOI: 10.3790/KUK.41.2.161
Kam Hon Chu
{"title":"Too Big to Fail? The Newfoundland Bank Crash of 1894","authors":"Kam Hon Chu","doi":"10.3790/KUK.41.2.161","DOIUrl":"https://doi.org/10.3790/KUK.41.2.161","url":null,"abstract":"In the Newfoundland Bank Crash of 1894, the commercial banks in a duopolistic loan market both went under simultaneously. The banking system was “free”, as central bank, deposit insurance, and lender of last resort were all absent. The objective of this study is to shed light on our understanding of the working of a duopolistic bank loan market and to provide lessons for banking regulation and policies, the too-big-to-fail doctrine in particular. Our regression results suggest a price leader-follower relationship before 1887, and a drastic decline in exports that year triggered a regime change into simultaneous loan expansion that ultimately precipitated a systemic banking failure. The short-lived liquidity crisis, however, was alleviated by entries of Canadian banks. More important, results of intervention analysis suggest that the Crash did not have any significant adverse impact on the fishery sector, the pillar of the single-resource economy.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"50 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127868470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Kapitalstruktur erfolgreicher Venture-Capital-Investitionen: Empirische Evidenz für Deutschland 风险资本投资成功的资本结构:德国的经验证据
Kredit Und Kapital Pub Date : 2008-08-01 DOI: 10.3790/KUK.41.2.261
I. Stein
{"title":"Kapitalstruktur erfolgreicher Venture-Capital-Investitionen: Empirische Evidenz für Deutschland","authors":"I. Stein","doi":"10.3790/KUK.41.2.261","DOIUrl":"https://doi.org/10.3790/KUK.41.2.261","url":null,"abstract":"Zusammenfassung/Summary Kapitalstruktur erfolgreicher Venture-Capital-Investitionen: Empirische Evidenz fur Deutschland Der vorliegende Beitrag untersucht, welche Finanzierungsinstrumente Venture-Capital-Gesellschaften in Deutschland einsetzen und welche Einflussfaktoren die Wahl der Finanzierungsinstrumente steuern. Die hierfur verwendete Stichprobe besteht aus 92 Finanzierungsfallen, die in einer eigenen Erhebung gesammelt wurden. Im Unterschied zu den USA werden wandelbare Finanzierungsinstrumente in Deutschland nur selten eingesetzt. Fur die Einraumung einer Wandlungsmoglichkeit werden zudem in der Regel nicht, wie in den USA ublich, Wandelschuldverschreibungen oder wandelbare Vorzugsaktien gewahlt, sondern stille Beteiligungen, die vertraglich erweitert werden. Die haufigsten Finanzierungsformen sind direkte Beteiligungen und eigenkapitalnahe Finanzierungsformen. Die Verwendung direkter Beteiligungen nimmt mit der Grose des finanzierten Unternehmens ab. Ein Einfluss der F&E-Intensitat des Unternehmen...","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127199977","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Das deutsche Bankensystem. Befund – Probleme – Perspektiven (Teil I) 德国的银行系统。研究问题—前景(第一部分)
Kredit Und Kapital Pub Date : 2008-08-01 DOI: 10.3790/KUK.41.2.135
H. Rehm
{"title":"Das deutsche Bankensystem. Befund – Probleme – Perspektiven (Teil I)","authors":"H. Rehm","doi":"10.3790/KUK.41.2.135","DOIUrl":"https://doi.org/10.3790/KUK.41.2.135","url":null,"abstract":"A recurrent element in the debate on the future of the German banking system is the claim that Germany is “overbanked”, as a result of which its banking industry suffers from structurally induced weakness in its profitability. This thesis does not stand up to any thoroughgoing analysis. According to the findings of empirical studies, the productivity of German banks is above average by international standards. The relatively low level of profitability is due not to the banks being too small or to their cost structures being too inefficient, but to the relatively low margins they are able to achieve as a result of the intense competition between them. This is of benefit to consumers, who pay considerably less for banking services than in countries such as Italy or the UK. In view of this (positive) market effect, it is difficult to understand why so many people should be raising their voices to demand changes to the organisational and regulatory framework which would allow a greater consolidation of the German banking market, especially as it has so far not been possible to demonstrate any connection between the size of banking institutions and profitability in the sector. The question needs to be asked – and that not only in view of the most recent crisis on the financial markets – whether the capital market orientated approach is the right one to pursue when determining the regulatory structure of the banking sector. The way the rating agencies, with their less than transparent methodologies, differentiate in their assessments between the various elements of the value chain in banking, the effects of market-orientated accounting practices in terms of high volatility in the reporting of results, and dysfunctional corporate governance all give rise to doubts about the advisability of such an orientation. The recent financial crisis has served only to reinforce these doubts. What consequences in terms of structural and regulatory models for the banking sector can be drawn from the current turbulences on the markets will be discussed in a further article in the next issue of this magazine.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127657712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
Schiefe in der Portfolioselektion 看投资组合选择松了
Kredit Und Kapital Pub Date : 2008-08-01 DOI: 10.3790/KUK.41.2.197
F. Guse, M. Rudolf
{"title":"Schiefe in der Portfolioselektion","authors":"F. Guse, M. Rudolf","doi":"10.3790/KUK.41.2.197","DOIUrl":"https://doi.org/10.3790/KUK.41.2.197","url":null,"abstract":"In this Article we have analysed the implications for portfolio optimisation of returns on investment not distributed normally. We have focused our activities on analysing higher moments of distribution of returns and, in particular, on lopsidedness as the third moment of distribution. So, the approach selected for this article represents an immediate continuation of the mean variance selection by Markowitz (1952).","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"224 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114740642","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Assessing the Estimation Uncertainty of Default Probabilities 评估违约概率的估计不确定性
Kredit Und Kapital Pub Date : 2008-08-01 DOI: 10.3790/KUK.41.2.217
Jochen Lawrenz
{"title":"Assessing the Estimation Uncertainty of Default Probabilities","authors":"Jochen Lawrenz","doi":"10.3790/KUK.41.2.217","DOIUrl":"https://doi.org/10.3790/KUK.41.2.217","url":null,"abstract":"The probability of default (PD) is one of the key variables in credit risk management. By using PD estimates as input to pricing and capital requirement calculations, one should be concerned of how good these estimates are. Confidence intervals are thereby a convenient way to assess the range that covers the true, but unknown parameter with a certain confidence probability. In this paper, we discuss the issues occurring in the construction of confidence intervals for a binomial proportion, and assess the magnitude of estimation uncertainty for exemplary but representative credit portfolios. To give an economic meaning to the range of errors, we translate the PD confidence interval into a risk-weight confidence interval by applying the Basel II IRB approach. The two main conclusions are: (i) The magnitude of estimation uncertainty can be substantial and is economically relevant. (ii) The choice of confidence interval matters and differences between intervals can be large.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129417068","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Untersuchungen zur Zinssensitivität börsennotierter Finanzdienstleister: Überblick und Diskussion alternativer Zinsfaktoren 关于上市金融服务商利率的研究:披露并讨论了替代的利率因素
Kredit Und Kapital Pub Date : 2008-08-01 DOI: 10.3790/KUK.41.2.239
Hendrik Scholz, S. Simon, M. Wilkens
{"title":"Untersuchungen zur Zinssensitivität börsennotierter Finanzdienstleister: Überblick und Diskussion alternativer Zinsfaktoren","authors":"Hendrik Scholz, S. Simon, M. Wilkens","doi":"10.3790/KUK.41.2.239","DOIUrl":"https://doi.org/10.3790/KUK.41.2.239","url":null,"abstract":"Empirical capital-market studies on share sensitivity to interest rates – especially referring to financial service companies – regularly draw on variations of a two-factor regression model that explains returns on shares using a market and an interest-rate factor. In the literature, this fundamental approach developed by Stone (1974) is subject to a number of variations that mainly hinge on the following four variants of the interest-rate factor used in assessing share sensitivity to interest rates: i) type of interest-rate factor (changes in interest rates vs. holdingperiod returns), ii) interest-rate period to be considered in the interest-rate factor, iii) treatment of correlation between market and interest-rate factor, and iv) the method in which the changes expected in the interest-rate factor are to be treated. This article will discuss degrees of freedom in this two-factor model – especially with regard to the resulting economic and econometric implications.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"2 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122966827","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Die Immobilienkrise in den USA – Ursachen und Konsequenzen für das globale Finanzsystem 美国房地产危机——全球金融系统的起因和后果
Kredit Und Kapital Pub Date : 2008-05-01 DOI: 10.3790/KUK.41.1.1
Hans-Hermann Francke
{"title":"Die Immobilienkrise in den USA – Ursachen und Konsequenzen für das globale Finanzsystem","authors":"Hans-Hermann Francke","doi":"10.3790/KUK.41.1.1","DOIUrl":"https://doi.org/10.3790/KUK.41.1.1","url":null,"abstract":"","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134217377","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Credit Spreads und ihre Determinanten: Eine empirische Analyse für Deutschland 信用违约及其家人:我们对德国进行了一次经验分析
Kredit Und Kapital Pub Date : 2008-05-01 DOI: 10.3790/KUK.41.1.59
H. Rottmann, F. Seitz
{"title":"Credit Spreads und ihre Determinanten: Eine empirische Analyse für Deutschland","authors":"H. Rottmann, F. Seitz","doi":"10.3790/KUK.41.1.59","DOIUrl":"https://doi.org/10.3790/KUK.41.1.59","url":null,"abstract":"Analyses of credit spreads, i. e. the difference between the returns on corporate loans and on no-risk investments for periods equivalent in length, can provide useful information to both business managers and to external observers. In this article, fundamental determinants of such credit spreads have been defined in theoretical terms and been subjected to empirical review on the basis of fixed-rate loan issues of non-financial DAX enterprises. At the micro-econometrics level, a new set of data for Germany has been used for taking account of empirically observable market characteristics in adequate panel methods. In this context, a structural model has been combined with a reduced form approach. Compared to traditional approaches, the result is a significantly better explanation based on economically provable variables.","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127733956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Concentration Risk under Pillar 2: When are Credit Portfolios Infinitely Fine Grained? 支柱2下的集中度风险:信贷组合何时是无限细粒度的?
Kredit Und Kapital Pub Date : 2008-05-01 DOI: 10.3790/KUK.41.1.79
Marc Gürtler, D. Heithecker, Martin Hibbeln
{"title":"Concentration Risk under Pillar 2: When are Credit Portfolios Infinitely Fine Grained?","authors":"Marc Gürtler, D. Heithecker, Martin Hibbeln","doi":"10.3790/KUK.41.1.79","DOIUrl":"https://doi.org/10.3790/KUK.41.1.79","url":null,"abstract":"Summary Concentration Risk under Pillar 2: When are Credit Portfolios Infinitely Fine Grained? The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management due to Pillar 2 of Basel II since risks (e. g. concentration risk) that are not fully captured by Pillar 1 should be adequately considered in the banks' risk management. This instruction is indeed relevant since quantifying credit portfolio risk in Pillar 1 is based on an Asymptotic Single Risk Factor (ASRF) framework in which concentration risk is not covered. Against the background of the ASRF model, we determine the number of credits up to which concentration risk leads to a significant estimation error so that the assumption of an infinitely fine grained portfolio is inadequate. We conclude that the critical portfolio size varies from 22 up to 35,986 debtors, dependent on assets correlation and probability of default. Using a modified valuation function (granularity adjustment) it is possibl...","PeriodicalId":280048,"journal":{"name":"Kredit Und Kapital","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114176008","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
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