Credit and Capital Markets最新文献

{"title":"Unemployment as a Target for Central Banks? The Case of Hysteresis","authors":"A. Belke","doi":"10.3790/CCM.51.4.587","DOIUrl":"https://doi.org/10.3790/CCM.51.4.587","url":null,"abstract":"Abstract\u0000 One of the most interesting questions for policymakers which have emerged from the financial crisis deals with the strength of links between the demand and supply sides of the economy. The traditional view that only cyclical policies influence the former, and structural policies the latter has been challenged in two ways: by the observation that long periods of weak demand can lead to rising structural unemployment and a permanently lower capital stock – the hysteresis effects; and by the claim that stronger demand fueled by monetary policy might be able to reverse such effects.\u0000 However, the Blanchard and Summers type of hysteresis approach should not be taken one-to-one into recommendations for monetary policy. Merely referring to the hard form of “reverse hysteresis” and pressing for bold counter-cyclical monetary (and fiscal) policies to cope with hysteretic unemployment is neither necessary nor sufficient. Instead, subtler forms of hysteresis should be taken into account. They leave some room for monetary policy to maneuver, more complex way. If long-term unemployment is stagnating. Over the whole circle, even a contractionary monetary policy stance can be considered as an option. Taking hysteries as a starting point, the paper discusses policy complementarities of different kinds and ideology-driven politicial unemployment cycles. It also discusses the “two-handed approach” relying both monetary policy and structural reforms.\u0000 Zusammenfassung\u0000 Eine der interessantesten Fragen, mit der sich Politiker seit der der Finanzkrise konfrontiert sehen, betrifft die Stärke des Zusammenhangs zwischen der Nachfrage- und der Angebotsseite der Wirtschaft. Die klassische Ansicht, dass nur zyklische Politiken die erstere und ausschließlich Strukturpolitiken die zweite beeinflussen, wurde auf zweifache Weise in Frage gestellt. Erstens führten lange Phasen schwacher Nachfrage zu steigender struktureller Arbeitslosigkeit und einem dauerhaft niedrigeren Kapitalstock – die sogenannten Hysterese-Effekte. Zweitens zeigte sich, dass eine stärkere Nachfrage, beispielsweise durch die Geldpolitik, zu einer Umkehr dieser Effekte beitrug.\u0000 Der Hysterese-Ansatz nach Blanchard und Summers sollte jedoch nicht wörtlich genommen und eins zu eins in Empfehlungen für die Geldpolitik aufgehen. Lediglich auf die harte Form der “umgekehrten Hysterese” zu verweisen und mutige antizyklische monetäre (und fiskalische) Maßnahmen zur Bewältigung der Hysterese-Arbeitslosigkeit zu fordern, ist weder notwendig noch hinreichend. Stattdessen sollten subtilere Formen der Hysterese berücksichtigt werden. Sie lassen in der Tat Spielraum für die Geldpolitik, aber auf etwas komplexere Weise. Falls die Langzeitarbeitslosigkeit stagniert, wäre sogar ein kontraktiver geldpolitischer Kurs optimal. Ausgehend vom Hysterese-Phänomen werden in diesem Beitrag Politik-Komplementaritäten unterschiedlicher Art sowie ideologiegesteuerte politische Zyklen der Arbeitslosigkeit untersucht. Darüber h","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78389569","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}

{"title":"The Limits of a Negative Interest Rate Policy (NIRP)","authors":"G. Illing","doi":"10.3790/CCM.51.4.561","DOIUrl":"https://doi.org/10.3790/CCM.51.4.561","url":null,"abstract":"Abstract\u0000 The paper analyzes the experience with unconventional measures to cope with the Zero Lower Bound. It argues that forward guidance and quantitative easing are the natural extension of optimal monetary policy within the New Keynesian Framework, facing a Lower Bound. Unconventional policy had significant effects on financial variables and contributed to stabilizing the real economy. Negative rates have been successful in pushing the effective lower bound below zero. But given the risk of damaging side effects on financial stability and on central bank independence, these policy tools are likely to be less powerful and shorter-lived compared to standard tools. In view of the long-term decline of the natural rate of interest, raising the inflation target up to 3–4 percent appears to be the most promising way to relax the constraint imposed by the lower bound, providing a resilient buffer for effective stabilization.\u0000 Zusammenfassung\u0000 Die Arbeit untersucht die Auswirkungen unkonventioneller Geldpolitik. Sie zeigt, dass Forward Guidance und Quantitative Lockerung als Anwendung optimaler Geldpolitik im Rahmen Neu-Keynesianischer Modelle angesichts einer effektiven Zinsuntergrenze zu verstehen sind. Unkonventionelle Geldpolitik hat erfolgreich zur Stabilisierung von Finanzmärkten und Realwirtschaft beigetragen. Auch wenn sich die Zinsuntergrenze in gewissem Rahmen unter null senken lässt, ist die Wirkung unkonventioneller Maßnahmen – im Vergleich zu Standard-Instrumenten – jedoch kurzlebiger und weniger schlagkräftig, unter Berücksichtigung der Risiken für Finanzmarktstabilität und Zentralbankunabhängigkeit. Angesichts des nachhaltigen Rückgangs des “natürlichen” Realzinses erscheint eine Abhebung des Inflationsziels auf 2–4 % der geeignetste Weg, um einen robusten Mechanismus effektiver Stabilisierung zu erreichen.\u0000 JEL Classification: E43, E52, E58","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86882820","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}

{"title":"The Alternative Three-Factor Model: Evidence from the German Stock Market","authors":"Florian Kiesel, Andreas Lübbering,, D. Schiereck","doi":"10.3790/CCM.51.3.389","DOIUrl":"https://doi.org/10.3790/CCM.51.3.389","url":null,"abstract":"This article applies the alternative three-factor model introduced by Chen/Novy-Marx/Zhang (2010) to the German stock market for the sample period of 2004 through 2015. We construct two new factors INV (“investment”) and ROA (“return on assets”) for companies listed on the highest segment of the Frankfurt Stock Exchange, and examine whether they can explain various stock market anomalies using linear time series regressions. Our results reveal that the theoretical assumptions of the model are valid for the German stock market. Firms with higher investments generally exhibit lower returns, while more profitable firms exhibit higher returns. However, we find that the alternative three-factor model does not explain capital market anomalies in the German market better than the factors of the traditional Fama/French (1993) three-factor model.","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41796615","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}

{"title":"Adapt to the Outside But Stay True to Your DNA-Report on the 5th International Conference on Credit Risk Analysis and Management","authors":"Simone Westerfeld, Beatrix Wullschleger","doi":"10.3790/CCM.51.3.491","DOIUrl":"https://doi.org/10.3790/CCM.51.3.491","url":null,"abstract":"","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47844933","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}

{"title":"Performance of Bond Ladder Strategies: Evidence from a Period of Low Interest Rates","authors":"Christoph Schmidhammer","doi":"10.3790/CCM.51.3.421","DOIUrl":"https://doi.org/10.3790/CCM.51.3.421","url":null,"abstract":"Based on German government bond yields, this paper analyses the performance of laddered strategies during a period of low interest rates. Relying on the REX, Germany’s leading bond index, laddered cash flows are created, and maturity structures are systematically changed. A constructed rolling window of annual returns reveals that risk and return significantly increase with the length of maturity. Performance measures, such as return on risk-adjusted capital and the Sharpe ratio, show that long-term bond ladders significantly dominate short-term ladders. However, for upward movements in the average yield level, the dominance is reduced. The results imply that portfolio managers should consider performance characteristics in maturity decisions as well as expectations of changes in the yield level.","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47199047","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}

{"title":"Valuation at Origination of Legal Prepayment Options Embedded in 15-Year German Mortgage Loans","authors":"Jan Henrik Wosnitza","doi":"10.3790/CCM.51.3.465","DOIUrl":"https://doi.org/10.3790/CCM.51.3.465","url":null,"abstract":"","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48628450","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}

{"title":"Credit and Capital Markets – Kredit und Kapital: Volume 51, Issue 3","authors":"","doi":"10.3790/ccm.51.3","DOIUrl":"https://doi.org/10.3790/ccm.51.3","url":null,"abstract":"","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44348108","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}

{"title":"A Two-Agent Model of Inflation","authors":"F. Browne, D. Cronin","doi":"10.3790/CCM.51.3.367","DOIUrl":"https://doi.org/10.3790/CCM.51.3.367","url":null,"abstract":"Models of inflation usually have monetary policy affecting the economy through either an interest rate channel or a monetary/credit quantity channel but not through both simultaneously. It is argued here that policy is transmitted via two distinct types of agents – those that are and that are not liquidity-constrained. The implication is that both interest rate and monetary channels must be seen as complementary, joint indicators of inflation and must both be incorporated into models of inflation. A formal representation of price level determination and behaviour in this two-agent framework is provided and evaluated econometrically using US data.","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42085267","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}

{"title":"Cash-flow Sensitivities of Interdependent Corporate Decisions – The Role of Financial Constraints and Hedging Needs","authors":"C. Bannier, C. Schürg","doi":"10.3790/ccm.51.2.259","DOIUrl":"https://doi.org/10.3790/ccm.51.2.259","url":null,"abstract":"Abstract We examine the cash-flow sensitivities of firms’ simultaneous choice of investment, liquidity, dividends and net debt respectively equity financing in a large sample of US corporates between 1971 and 2016. We differentiate firms according to their (external) financial constraints and their (internal) needs to hedge against future shortfalls in operating income. Our estimation approach shows that financially constrained firms in our sample save more future funding capacity but invest and pay out less out of free cash flows than unconstrained firms. In the financial crisis 2007–2009, all firms invested less out of cash flow and raised their debt repayments, cash holdings and dividend payments. Constrained firms, however, show particularly strong increases in their cash savings but much smaller debt reductions compared to unconstrained firms – both in the crisis and post-crisis period. Internal hedging needs have different effects than external constraints: They weaken the build-up of future debt ca...","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44746134","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}

{"title":"Microfinance – Once and Today","authors":"R. Schmidt","doi":"10.3790/CCM.51.2.183","DOIUrl":"https://doi.org/10.3790/CCM.51.2.183","url":null,"abstract":"The paper sketches the history of the German savings and cooperative banks of the 19th century and that of modern microfinance in developing and transition countries of today and explores the parallels that exist between these two histories. One result is that the German savings and cooperative banks of the 19th century can rightly be regarded as precursors of modern microfinance. Another result, that also contains important practical and policy-relevant implications, is that the success of both the German popular banks of the 19th century and of a number of today’s microfinance institutions is due to a strategic shift undertaken quite early in their respective development: They have both abandoned their initial two-way specialization of offering only one type of financial services – either only loans or only deposit facilities – and of only addressing really poor people and very small businesses and instead adopted the role of genuine financial intermediaries, that offer loans and take clients’ deposits, and broadened the spectrum of clients they aspire to reach, such that they have become truly inclusive financial institutions.","PeriodicalId":36966,"journal":{"name":"Credit and Capital Markets","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48627567","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}