Interest rate policy of the deutsche bundesbank: An econometric analysis for 1975 to 1992

Summary Internal and external economic targets which a monetary authority tries to achieve make its interest rate policy partly endogenous. This article analyses the Bundesbank's interest rate policy since 1975, the year the Bundesbank published its first intermediate money growth target based on estimates of an inevitable inflation rate and expectations about economic development. Estimation of a discount rate reaction function suggests that German monetary policy responds primarily to the final objective of price level stability and to a smaller extent, to the intermediate money supply target. Moreover, cyclical movements and balance-of payments equilibria are found to significantly influence the Bundesbank's discount rate policy. Both the inflation rate and the current account enter the reaction function in a non-linear way. When inflation is above the targeted rate or when there is a current account deficit, discount rate responses are much stronger than in the case of below target inflation or a current account surplus. Internationally, the Bundesbank discount rate policy is limited by US short-term interest rate movements.     

Discounting according to Output Type

Federal discount rate policies advocate both a high rate representing the marginal productivity of capital and a low rate representing the government borrowing rate. These differential discount rate policies could be inconsistent and biased in favor of projects on which the lower discount rate is applied. This paper shows that the coexistence of different discount rates may be appropriate, depending on the type of project output. When a project's outputs are perfect substitutes for private consumption, both its costs and benefits should be discounted using the marginal productivity of capital. However, if the project's outputs are separable in the utility function, the benefits should be discounted using the net (of tax) rate of return.     

Monetary Policy in Austria–Hungary, 1876–1913: An Econometric Analysis of the Determinants of the Central Bank’s Discount Rate and the Liquidity Ratio

This paper presents a model to explain the official discount rate of the Central Bank of Austria–Hungary from 1876 to 1913. The discount rate is assumed to depend on the liquidity ratio of the Bank, defined as the ratio of its stock of metals to banknotes issued, and on changes in foreign discount rates. The paper also presents an equation explaining the liquidity ratio. We use “not equally spaced chronologically ordered data” referring to the 50 discount rate changes enacted. The regressions confirm that the liquidity ratio was the main determinant of the discount rate and that Germany (and not Great Britain) played a significant role in determining the Austro–Hungarian discount rate and the liquidity ratios, supporting the view that the classical gold standard was a decentralized multipolar system rather than a system fully dominated by London as suggested by Keynes. The regressions also suggest that, although Austria–Hungary had an inconvertible paper currency (1879–1892) and fluctuating exchange rates (1876–1895) and formally joined the gold standard only in 1902, it “shadowed” the behaviour of gold standard Central Banks with such consistency that the stability of the estimated regressions was relatively unaffected by the frequent institutional changes.

The Discount Rate for Public Sector Conservation Projects in South Africa

Abstract: South Africa, in an attempt to reduce unemployment and alleviate poverty, has implemented a number of public sector conservation projects: the largest one being the Working for Water Programme (WfWP). Sound economic decision‐making regarding the economic feasibility of these public sector conservation projects require that they be subjected to economic assessment in the form of cost‐benefit analysis. One aspect of cost‐benefit analysis, which is often neglected, is the choice of the social discount rate. This paper addresses the issue of what the social discount rate for public sector conservation projects should be and provides an example of how to derive a social discount rate for a public sector conservation project, namely the WfWP.     

The optimal length of a patent with variable output elasticity and returns to scale in R&D

This paper extends the pure theory of patents to make it consistent with the empirical evidence on R&D which shows both variable returns to scale and a variable elasticity of cost reduction with respect to R&D (output elasticity). Using a generalized invention possibility function, the authors show that for a given social rate of discount, a socially optimal patent depends only on output elasticity and demand elasticity. The authors also show that an optimal patent can exist for increasing returns as well as for constant and decreasing returns to R&D. In general, the constant elasticity assumption overestimates the optimal life of a patent.     

Exchange Rate Shocks and the Speed of Trade Price Adjustment

A quantity adjustment cost model is developed in the context of international trade along the lines proposed by Krugman (1987). The model implies that prices adjust dynamically to exchange rate fluctuations. The price adjustment speed is determined as a function of foreign demand responsiveness, the appropriate discount rate, and an adjustment cost parameter. Pass-through is incomplete and increases over time and with the speed of price adjustment. A preliminary empirical analysis finds that the speed of price adjustment from the time series by industry and then in a cross-sectional regression tentatively relates the obtained adjustment speeds to their theoretical determinants.     

时间偏好、跨期选择不一致及其神经基础

时间偏好是跨期选择行为研究中一个至关重要的依据,19世纪的经济学家们通过对它的定性分析形成了一套系统的古典时间偏好理论。直到1937年萨缪尔森提出指数贴现模型并成为新古典时间偏好理论的核心技术手段,新古典时间偏好理论得以成为跨期选择问题的主流分析框架。但因其高度理性的假定,指数贴现模型也一直饱受诟病和质疑,几乎每一个关键假设都有系统的实证结果与之相悖。20世纪80年代行为经济学的兴起,行为经济学家们肯定认知偏差的存在并引入了贴现率递减的双曲线贴现模型完成了对许多市场异象的解释,加之神经经济学和神经影像学的发展为时间偏好不一致提供了神经基础,时间偏好的研究迎来了新篇章。文章将对这些研究成果进行较为全面的回顾与评述,借以推动国内时间偏好理论研究的发展。     

External debt,time preference,and nontraded goods in a two-sector dynamic model of consumption

A number of studies have indicated that one of the consequences of a development process is a rise in the consumers' subjective time preference rate (discount rate). This study first shows that many of the adverse economic observations in developing countries can emerge from a rise in the discount rate. It then demonstrates that the extent of such adverse effects is related to relative shares of the tradable and nontradable sectors in aggregate consumption. A result is that the aggregate dissaving generated by a rise in the discount rate is smaller when the economy's nontradable sector is relatively larger. The results add new dimensions to the allocation policies applied by international lending insitutions in developing economies.     

The Determinants of the Secondary Market Price of Less Developed Countries’ Debt

A present-value model of less developed countries’ (LDC) debt is developed to understand the factors that affect the discount on the secondary market. LDC debt trades at a substantial discount on the secondary market. This paper investigates the determinants of the discount for a sample of 13 countries over a 9 year period. The findings show that debt–exports, foreign currency reserves–imports and total debt service to exports ratios are significant determinants of the secondary market prices of LDC debt. The discount is higher in countries where debt–exports ratios are higher and is lower for those with lower foreign currency reserves–imports ratios. Concentration of debt with money center banks has a positive and significant effect on the secondary market price of debt.

封闭式基金折价率分析

目前我国封闭式基金的折价现象日趋明显,文章从不同角度对我国封闭式基金的折价率进行了分析,分析结果显示:基金规模与折价率分析存在明显的正相关效应;上市时间与折价率先呈负相关随后转为正相关;基金分红与折价率存在负相关效应等等。     

中国货币政策工具调控信贷：实证新观点

文章通过构建包含流动性因素的货币信贷模型，以研究中国的货币政策工具调控信贷的动态影响机制，并结合中国的相关季度数据，构建时变参数状态空间模型进行实证分析。研究结果表明：信贷利率、法定存款准备金率、再贴现率和银行间同业拆借利率对中国信贷调控的影响与理论模型分析得到的动态影响机制比较一致；由于中国金融市场的特殊性，使得债券利率在调控信贷中的作用在2010年后出现失效的现象。建议中国在调控信贷方面还应以贷款利率、法定存款准备金率、再贴现率和银行间同业拆借利率的综合手段为主。     

International shocks and the balance sheet of the Bank of France under the classical gold standard

Under the classical gold standard (1880–1914), the Bank of France maintained a stable discount rate while the Bank of England changed its rate very frequently. Why did the policies of these central banks, the two pillars of the gold standard, differ so much? How did the Bank of France manage to keep a stable rate despite international constraints? This paper tackles these questions and shows that the domestic asset portfolio of the Bank of France played a crucial role in smoothing international shocks and in maintaining the stability of the discount rate. As a result, the French discount rate was only changed in exceptional circumstances, for which a change in the English rate was not a sufficient condition.     

我国商业银行保理业务的信用风险及其对策

震动银行业界的南京爱立信事件,引起了人们对国内很多人来说仍十分陌生的保理业务的关注。文章对保理业务进行了介绍并着重分析了商业银行在保理业务中面临的内部信用风险和外部信用风险,并就如何防范商业银行在保理业务中的信用风险提出了四点对策:严格审查保理业务各当事人     

Financial risk exposure of returns to education: Panel evidence from Korea*

The present study examined financial market risk exposure of human capital returns, which are represented by the returns to education, using panel data for Korea. Overall, financial market shocks seem to be irrelevant to returns to education. However, when we divide a financial market shock into cash flow news and discount rate news leading to a negative risk premium, returns to education increase after positive news about future cash flows and unexpected increases in discount rates Therefore, the risk exposure to cash flow shocks is offset by the exposure to discount rate shocks. The returns to education of low‐income workers were significantly exposed to the cash flow risk as compared to those with a high income, but they were offset by the positive correlation to discount rate shocks. In contrast, considering the gap between generations, the old generation was not only less exposed to the cash flow risk compared to the young generation regarding returns to education but also positively correlated with the discount rate shock, resulting in less exposure to financial market risks.     

On optimizing progress in a diversified economy

The paper explores how the firm might optimally choose its research and development projects, taking into account both the time path of returns and the discount factor. The dynamic-programming method is used to develop examples and it is shown that under plausible assumptions, the rate of discount has a strong influence on the decision to invest or not. It is argued that static misallocation because of temporary monopoly may be unimportant and that an interest subsidy may be an efficient way to encourage technological progress.Presidential Address presented at the Forty-Fourth International Atlantic Economic Conference, Philadelphia, Pennsylvania, October 9–12, 1997.     

Sustainability with endogenous discounting

We construct a dynamic competitive model with a stock of human‐made capital and several stocks of natural resources and ask under what conditions consumption will be constant if infinitesimal households with heterogeneous preferences and endowments discount their utility at an endogenous rate that depends on some macroeconomic variables. We show that for consumption to be constant, this function must be the marginal product of capital function. We demonstrate that Hartwick's rule holds in a modified form that takes account of natural growth of resource stocks.     

多元化折价与多元化溢价的稳健性：一个文献述评

自从Langand Stulz（1994）提出多元化折价以来，多元化折价与溢价的争论成为公司财务领域的焦点问题之一。但是，文献研究表明，多元化本身可能是中性的，多元化可能并不是产生折价的原因。本文对多元化折价与溢价的文献进行了归纳，认为多元化折价与溢价的稳健性取决于多元化赖以存在的条件，以及实证研究是否解决了内生性问题。今后的研究需要提高数据的可靠性、消除内生性、引入新的方法、嵌入制度和政治关联等因素。     

跨国供应链数量折扣模型

文章在跨国供应链的环境下,针对市场需求确定下的一个供应商和一个零售商来建立数量折扣模型,得出了供应链协调下折扣率应满足的区间;然后分析了汇率的变化对供应商和零售商利润所产生的影响;最后通过数值分析并得出结论：供应商提供数量折扣后,供应商和零售商的利润有了明显的改进;随着汇率比例的增加,系统的订购量逐渐降低,供应商和零售商的利润也同时降低。     

Borrowed reserves and deposit variation: The risks to monetary policy

A theory of bank reserves is presented with emphasis on the behavior of borrowed reserves, the Federal Reserve's operating instrument. The theory explains the observed nonlinear relationship between borrowing and the spread between the federal funds rate and the discount rate. The theory shows that borrowed reserves are also a function of deposit variation. A shift in bankers' perceptions of deposit variation can cause borrowed reserves demand to shift so that the level of borrowing is not a reliable indicator of the degree of reserve pressure. Since borrowed reserves are used as the Federal Reserve's operating instrument, problems such as these pose substantial risks to the implementation of monetary policy.     

Onzekerheid en Investeringsbeslissingen

Summary In the article an attempt is made to throw some light on the role of uncertainty in making investment decisions. At first a critical analysis is given of the present value method and some other conventional rules of thumb. As the discounting process needs a unique income stream, which is not available, the present value method must be rejected. The expected value of the possible income streams cannot be regarded as an adequate solution for this problem. Moreover it is quite impossible to choosethe appropriate discount rate: in case uncertainty is involved, an objective discount rate must be considered as non-existing. With respect to the rules of thumb such as the maximin criterion of gain, it is also to be concluded, that subjectivity plays a key role. The use of a cardinal utility function in determining investment volume demonstrates once more, how important the subjective element is in the theory of investment. Apart from examining several proposed decision criteria the author is considering, how the entrepreneur arrives at the probability judgment concerning the possible outcomes of the project. For this purpose the theory, developed by Fellner, in which subjective and objective (based on frequency observations) probability judgments are blended, is critically analysed.

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Dit artikel is een bewerking van een door de auteur geleverde bijdrage aan de op 12 januari 1968 aan de Katholieke Hogeschool te Tilburg gehouden conferentie voor theoretische economie. Gaarne betuig ik hierbij mijn dank aan Prof. Dr. Th. C. M. J. van de Klundert voor zijn stimulerende kritiek.