Menu Expand

Die Struktur der Renditen auf deutschen Anlagemärkten: Schätzung und Prognose mit einem Portfoliomodell

Cite JOURNAL ARTICLE

Style

Gubitz, A., Hellmann, T., Larch, M. Die Struktur der Renditen auf deutschen Anlagemärkten: Schätzung und Prognose mit einem Portfoliomodell. Credit and Capital Markets – Kredit und Kapital, 27(4), 571-590. https://doi.org/10.3790/ccm.27.4.571
Gubitz, Andrea; Hellmann, Thomas and Larch, Martin "Die Struktur der Renditen auf deutschen Anlagemärkten: Schätzung und Prognose mit einem Portfoliomodell" Credit and Capital Markets – Kredit und Kapital 27.4, 1994, 571-590. https://doi.org/10.3790/ccm.27.4.571
Gubitz, Andrea/Hellmann, Thomas/Larch, Martin (1994): Die Struktur der Renditen auf deutschen Anlagemärkten: Schätzung und Prognose mit einem Portfoliomodell, in: Credit and Capital Markets – Kredit und Kapital, vol. 27, iss. 4, 571-590, [online] https://doi.org/10.3790/ccm.27.4.571

Format

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

Additional Information

Article Details

Author Details

Andrea Gubitz, Commerzbank, Frankfurt

Thomas Hellmann, Stanford University, Kalifornien

Martin Larch, Landesamt für Wirtschaftsprogrammierung, Bozen

References

  1. Backus, D., Brainard, W.C., Smith, G. and Tobin, J. (1980): A Model of U.S. Financial and Nonfinancial Economic Behaviour, Journal of Money Credit and Banking 12, No. 2.  Google Scholar
  2. Bordes, Christian (1988): Modelisation des comportements financiers: Cadre theorique et bilan des travaux empiriques, Banque de France, Cahiers Economiques et Monétaires 29.  Google Scholar
  3. Brainard, William C. and Tobin, James (1968): Pitfalls in Financial Model Building, American Economic Review Proceedings 58.  Google Scholar

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.