Die verschiedenen Ansätze der Zinsstrukturtheorie

Abstract

The Various Approaches to the Theory of Interest Structure. An attempt at systematization

This contribution gives a survey of the various approaches to the theory of interest structure. The presentation is oriented to the specific risks arising in connection with the disposition of assets over time, i. e. the income risk and the capital risk. The systematics of interest structure theory developed on this basis makes it possible to classify the diverging explanatory principles as alternative behavioural hypotheses relativ to one and the same risk constellation.

While the theory of expectation implies indifference of investors to both risks, the hedging pressure hypothesis proceeds from the assumption of their total avoidance. Two further approaches assume that economic entities have a preference for one of the two risks. For instance in accordance with the liquidity preference theory they give greater weight to the capital risk than to the income risk, and the prefered habitat theory ascribes to them as a priori, non-specified preference for certain fixed investment periods and hence also a risk preference.

In the course of the study it is shown that in the concrete investment behaviour of economic entities indications and pointers can be found for the two competitive objectives of asset disposition, viz. maximization of interest earnings and the avoidance of risk. A great variety of econometric investigations of interest structure, on the other hand, failed to find a complete explanation of the empirical patterns with either one or the other hypothesis. On the contrary, both empirical facts and theoretical arguments speak in favour of a model synthesis of both explanatory principles. The liquidity preference hypothesis as extended by R. A. Kessel is considered by this study to be an approach of this nature. By taking account of the cost aspect of interest arbitrage in addition to liquidity preference, Kessel arrives at a logical theoretical conception with which also the empirical patterns of temporal interest structure can be explained.

In conclusion points of departure are presented for ascertaining in what way a synthesis of the temporal and institutional aspects of interest structure seem possible and, over and above that, how such a generalized theory of interest structure could be included in a higher-order, macroeconomic nexus of systems.