Refine
Year of publication
- 2002 (20) (remove)
Document Type
- Working Paper (18)
- Part of Periodical (2)
Has Fulltext
- yes (20)
Is part of the Bibliography
- no (20)
Keywords
- Deutschland (5)
- Europäische Union (4)
- Schätzung (4)
- USA (4)
- GARCH-Prozess (3)
- Risikokapital (3)
- Venture Capital (3)
- Volatilität (3)
- ARCH-Prozess (2)
- Asset-Backed Security (2)
Institute
- Center for Financial Studies (CFS) (20) (remove)
A number of recent studies have suggested that activist stabilization policy rules responding to inflation and the output gap can attain simultaneously a low and stable rate of inflation as well as a high degree of economic stability. The foremost example of such a strategy is the policy rule proposed by Taylor (1993). In this paper, I demonstrate that the policy settings that would have been suggested by this rule during the 1970s, based on real-time data published by the U.S. Commerce Department, do not greatly differ from actual policy during this period. To the extent macroeconomic outcomes during this period are considered unfavorable, this raises questions regarding the usefulness of this strategy for monetary policy. To the extent the Taylor rule is believed to provide a reasonable guide to monetary policy, this finding raises questions regarding earlier critiques of monetary policy during the 1970s.
This paper analyses the role of collateral in loan contracting when companies are financed by multiple bank lenders and relationship lending can be present. We conjecture and empirically validate that relationship lenders, who enjoy an informational advantage over arm’s-length banks, are more senior to strengthen their bargaining power in future renegotiation if borrower’s face financial distress. This deters costly conflicts between lenders and fosters workout decisions by the best informed party. Consistent with our conjecture, we find that relationship lender in general have a higher probability to be collateralized, and a higher degree of collateralization (i.e. seniority). Furthermore, we show that seniority and the status of relationship lending increases the likelihood that a bank invests in a risky workout of distressed borrowers. Both findings support the view that collateral is a strategic instrument intended to influence the bargaining position of banks. Our result further suggest that seniority and relationship lending are complementary to each other. JEL Classification: G21
The following descriptive paper surveys the various types of loan securitisation and provides a working definition of so-called collateralised loan obligations (CLOs). Free of the common rhetoric and slogans, which sometimes substitute for understanding of the complex nature of structured finance, this paper describes the theoretical foundations of this specialised form of loan securitisation. Not only the distinctive properties of CLOs, but also the information economics inherent in the transfer of credit risk will be considered, so that we can equally privilege the critical aspects of security design in the structuring of CLO transactions.
Against the difficult background of analysing aggregated data in this paper core inflation in the euro area is estimated by means of the structural vector autoregressive approach. We demonstrate that the HICP sometimes seems to be a misleading indicator for monetary policy in the euro area. We furthermore compare our core inflation measure to the wide-spread "ex food and energy" measure, often referred to by the ECB. In addition we provide evidence that our measure is a coincident indicator of HICP inflation. Assessing the robustness of our core inflation measure we carefully conclude that it seems to be quite reliable. This Version: April, 2002 Revised edition published in: Allgemeinenes Statistisches Archiv, Vol 87, 2003. Klassifikation: C32, E31
Since the second half of the nineties the euro area has been subject to a considerable accumulation of temporary and idiosyncratic price shocks. Core inflation indicators for the euro area are thus of utmost interest. Based on euro area-wide data core inflation in this paper is analyzed by means of an indicator derived from the generalized dynamic factor model. This indicator reveals that HICP inflation strongly exaggerated both the decline as well as the increase in the price trend in 1999 and 2000/2001. Our results reinforce those achieved by Cristadoro, Forni, Reichlin and Versonese (2001) based on euro area country data which indicates the robustness of the indicator. Klassifikation: C33, E31
Die vorliegende empirische Studie analysiert die Vertragsgestaltung zwischen Investoren und europäischen Venture Capital-Fonds. Im Zentrum steht die Analyse der Vergütung des Fondsmanagements sowie der zum Einsatz kommenden Vertragsklauseln. Deren Ausgestaltung ist entscheidend für die Überwindung der Prinzipal-Agenten-Beziehung innewohnenden Agency-Probleme. Hierzu werden 122 Fondsprospekte sowie 46 Gesellschafterverträge von europäischen Venture Capital-Fonds ausgewertet, die in den Jahren 1996 bis 2001, der ersten großen Boomphase des europäischen Venture Capital-Marktes, aufgelegt wurden. Während die jährliche Vergütung des Fondsmanagements auf den ersten Blick sehr standardisiert erscheint, ergeben sich bei einer Barwertbetrachtung aller zu leistenden Management Fees über die gesamte Fondslaufzeit deutliche Anzeichen für Preisdifferenzierung. In Bezug auf den Einsatz von Vertragsklauseln kann eine Zunahme im Zeitablauf und mithin eine zunehmende Komplexität des Vertragsdesigns festgestellt werden. Vor dem Hintergrund der Erfahrungen aus dem US-amerikanischen Venture Capital-Markt kann diese Entwicklung jedoch noch nicht als abgeschlossen gelten. Der europäische Markt bewegt sich in Bezug auf die Verwendung vertraglicher Restriktionen auf dem Niveau, das in den USA bereits Anfang der neunziger Jahre erreicht war.
We analyze the desinvestment decision of venture capitalists in the course of an IPO of their portfolio firms. The capital market learns of the project quality only in the period following the IPO. Venture capitalists with high-quality firms face a trade-off between immediately selling their stake in the venture at a price below the true value and having to wait until the true value is revealed. We show that the dilemma may be resolved via a reputation-acquiring mechanism in a repeated game set-up. Thereby, we can explain, e.g., the advent of "hot-issue market behavior" involving early disinvestments and a high degree of price uncertainty. Furthermore, we provide a new rationale for underpricing. Young venture capitalists may use underpricing as a device for credibly committing themselves to acquiring reputation.
This paper investigates the financial contracting behavior of German venture capitalists against the results of recent theoretical work on the design of venture capital contracts, especially with regard to the use of convertible securities. First, we identify a special feature of the German market, namely that public-private partnership agencies require significantly lower returns than private and young venture capitalists. The latter are most likely to follow their North-American counterpart by refinancing themselves with closed-end funds. Second, with regard to financing practices it is shown that the use of convertibles, relative to other instruments, is influenced by the anticipated severity of agency problems. Klassifikation: C24; G24; G32
Forecasting stock market volatility and the informational efficiency of the DAX-index options market
(2002)
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility. Employing German DAX-index return data it is found that past returns do not contain useful information beyond the volatility expectations already reflected in option prices. This supports the efficient market hypothesis for the DAX-index options market.
Deutsche Börse AG plans to introduce a system (Xetra Best) allowing brokers and broker-dealers to internalize the orders of retail customers. Further, Xetra Best supports payment for order flow arrangements. Both internalization and payment for order flow may be detrimental to market quality. This paper discusses advantages and disadvantages of these arrangements. It draws on experiences made in the US. We derive policy implications that aim at a more stringent interpretation of "best execution", and at higher transparency. Klassifikation: G10, G14