Die Struktur der Renditen auf deutschen Anlagemärkten: Schätzung und Prognose mit einem Portfoliomodell
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Die Struktur der Renditen auf deutschen Anlagemärkten: Schätzung und Prognose mit einem Portfoliomodell
Gubitz, Andrea | Hellmann, Thomas | Larch, Martin
Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 4 : pp. 571–590
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Andrea Gubitz, Commerzbank, Frankfurt
Thomas Hellmann, Stanford University, Kalifornien
Martin Larch, Landesamt für Wirtschaftsprogrammierung, Bozen
References
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Abstract
Yield Structures on German Investment Markets: Estimate and Prognosis with the Help of a Portfolio Model
The present model makes use of the portfolio theory as well as its econometric transposition for prognosticating the yield structure of different financial-assets investments. It has not been assumed in this context that the supply of financial assets is perfectly elastic. For this reason it is necessary to estimate simultaneously the demand for different financial assets (portfolio shares) and the corresponding yields. With due consideration being given to the balance-sheet restriction and to the need for two simplifying assumptions, the result is a non-linear model drawn up with the help of a three-step least squares estimator using simulated instruments. This procedure has turned out to be advantageous compared with the customary ones. Of special interest is the finding that there is a significant backfeed effect of changes in the portfolio structure on yields (liquidity effect). Moreover, the results of the model calculations confirm the existence of a relatively weak influence of monetary policy on long-term rates of interest. The prognosticating properties of the model are satisfactory in general. Nonetheless, the model responds to extraordinary events at a relatively low speed because of its autoregressive structure.