Menu Expand

Ein ökonometrisches Portfoliomodell für den privaten Sektor in der Bundesrepublik Deutschland

  1. Journals
  2. Economics, Finance, Business & Management
  3. Credit and Capital Markets – Kredit und Kapital
  4. Vol. 24, Issue 2
  5. pp. 235–253

JOURNAL ARTICLE

Cite JOURNAL ARTICLE

Style
Tödter, K., Wewel, M. Ein ökonometrisches Portfoliomodell für den privaten Sektor in der Bundesrepublik Deutschland. Credit and Capital Markets – Kredit und Kapital, 24(2), 235-253. https://doi.org/10.3790/ccm.24.2.235
Tödter, Karl-Heinz and Wewel, Max Christoph "Ein ökonometrisches Portfoliomodell für den privaten Sektor in der Bundesrepublik Deutschland" Credit and Capital Markets – Kredit und Kapital 24.2, 1991, 235-253. https://doi.org/10.3790/ccm.24.2.235
Tödter, Karl-Heinz/Wewel, Max Christoph (1991): Ein ökonometrisches Portfoliomodell für den privaten Sektor in der Bundesrepublik Deutschland, in: Credit and Capital Markets – Kredit und Kapital, vol. 24, iss. 2, 235-253, [online] https://doi.org/10.3790/ccm.24.2.235
Format
Download

Ein ökonometrisches Portfoliomodell für den privaten Sektor in der Bundesrepublik Deutschland

Tödter, Karl-Heinz | Wewel, Max Christoph

Credit and Capital Markets – Kredit und Kapital, Vol. 24 (1991), Iss. 2 : pp. 235–253

1 Citations (CrossRef)

Read Now Download (PDF)

Additional Information

Article Details

Publisher Name
Duncker & Humblot
DOI
https://doi.org/10.3790/ccm.24.2.235
Language
Multiple languages
Pages
19

Author Details

Karl-Heinz Tödter, Frankfurt am Main

Max Christoph Wewel, Frankfurt am Main

Cited By

  1. Theoretical and empirical foundations of the Deutsche Bundesbank’s monetary targeting

    Issing, Otmar

    Intereconomics, Vol. 27 (1992), Iss. 6 P.289

    https://doi.org/10.1007/BF02928062 [Citations: 10]

References

  1. Backus, D., Brainard, W.C., Smith, G., Tobin, J. (1980): A Model of U.S. Financial and Nonfinancial Economic Behavior, Journal of Money, Credit and Banking 12, 259 -293.  Google Scholar
  2. Berg, S. A. (1988): Commercial Bank Profitability and the Level of Interest Rates, Norges Bank, Arbeids Notat 1988/8.  Google Scholar
  3. Bordes, C. (1988): Modelisation des comportements financiers, Banque de France, Cahiers Economiques et Monetaires 29, 141 - 175.  Google Scholar
  4. Brainard, W.C., Tobin, J. (1968): Pitfalls in Financial Model Building, The American Economic Review Proceedings 58, 99 - 122.  Google Scholar
  5. Conrad, K. (1980): An Application of Duality Theory: A Portfolio Composition of the West-German Private Non-Bank Sector 1968 - 1975, European Economic Review 13, 163 - 187.  Google Scholar
  6. Erp, F.A.M. van, Hasselman, B. H., Nibbelink, A. G. H., Timmer, H. R. (1989): A Monetary Model of the Dutch Economy; A Quarterly Submodel of Freia-Kompas, Economic Modelling 6, 56 - 93.  Google Scholar
  7. Evans, W. H. (1979): Financial Modelling in Australia, Reserve Bank of Australia, Research Discussion Paper 7902.  Google Scholar
  8. Fase, M. M. G. (1985): MORKMON: A Quarterly Model of the Netherlands Economy for Macroeconomic Policy Analysis, De Nederlandsche Bank N. V., Monetary Monographs 2, Dordrecht: Martinus Nijhoff.  Google Scholar
  9. Hancock, D. (1985): Bank Profitability, Interest Rates, and Monetary Policy, Journal of Money, Credit and Banking 17, 189 - 202.  Google Scholar
  10. Keating, G. (1984): The Financial Sector of the LBS Model, London Business School, Centre of Economic Forecasting Discussion Paper 115.  Google Scholar
  11. Kirchgässner, G., Wolters, J. (1984): Uncovered Interest Parity Condition Between the United States and Europe Under Different Exchange Rate Regimes, Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft, Discussion Paper 3/88.  Google Scholar
  12. Lüdeke, D. Friedrich, D., Hummel, W., von Natzmer, W., Röger, W., Röhling, W., Termin, J. (1984): Freiburger und Tübinger Quarterly Econometric Model für the Federal Republic of Germany: An Overview, Economic Modelling 1, 139 - 232.  Google Scholar
  13. Markowitz, H. (1952): Portfolio-Selection, Journal of Finance 7, 77 - 91.  Google Scholar
  14. Parkin, M. (1970): Discount House Portfolio and Debt Selection, Review of Economic Studies 37, 469 - 497.  Google Scholar
  15. Perraudin, W. R. M. (1987): Inflation and Portfolio Choice, IMF Staff Papers 34, 739 - 759.  Google Scholar
  16. Santomero, A. M. (1984): Modeling the Banking Firm, Journal of Money, Credit and Banking 16, 576 - 602.  Google Scholar
  17. Schneider, R. (1983): Ein monetäres liquiditätstheoretisch orientiertes ökonometrisches Vierteljahresmodell der Bundesrepublik Deutschland, Frankfurt am Main: Peter Lang.  Google Scholar
  18. Theil, H. (1971): Principles of Econometrics, Amsterdam: North Holland.  Google Scholar
  19. Tobin, J. (1958): Liquidity Preference as Behavior Towards Risk, Review of Economic Studies 25, 65 - 86.  Google Scholar
  20. Tödter, K.-H. (1990): Das ökonometrische Modell der Deutschen Bundesbank: Entwicklung, Struktur und Perspektiven, in: Nakhaeizadeh, G., Volkmer, K.-H. (Hrsg.): Neuere Entwicklungen in der angewandten Ökonometrie, Heidelberg: Physica.  Google Scholar
  21. Wewel, M. C. (1991): The Macroeconometric Model of the Deutsche Bundesbank: A Brief Review, in: Gruber, J. (Ed.): Econometric Decision Models; New Methods of Modeling and Applications, Berlin: Springer.  Google Scholar
  22. Zellner, A. (1962): An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias, Journal of the American Statistical Association 57, 348 - 368.  Google Scholar
  23. Backus, D., Brainard, W.C., Smith, G., Tobin, J. (1980): A Model of U.S. Financial and Nonfinancial Economic Behavior, Journal of Money, Credit and Banking 12, 259 -293.  Google Scholar
  24. Berg, S. A. (1988): Commercial Bank Profitability and the Level of Interest Rates, Norges Bank, Arbeids Notat 1988/8.  Google Scholar
  25. Bordes, C. (1988): Modelisation des comportements financiers, Banque de France, Cahiers Economiques et Monetaires 29, 141 – 175.  Google Scholar
  26. Brainard, W.C., Tobin, J. (1968): Pitfalls in Financial Model Building, The American Economic Review Proceedings 58, 99 – 122.  Google Scholar
  27. Conrad, K. (1980): An Application of Duality Theory: A Portfolio Composition of the West-German Private Non-Bank Sector 1968 – 1975, European Economic Review 13, 163 – 187.  Google Scholar
  28. Erp, F.A.M. van, Hasselman, B. H., Nibbelink, A. G. H., Timmer, H. R. (1989): A Monetary Model of the Dutch Economy; A Quarterly Submodel of Freia-Kompas, Economic Modelling 6, 56 – 93.  Google Scholar
  29. Evans, W. H. (1979): Financial Modelling in Australia, Reserve Bank of Australia, Research Discussion Paper 7902.  Google Scholar
  30. Fase, M. M. G. (1985): MORKMON: A Quarterly Model of the Netherlands Economy for Macroeconomic Policy Analysis, De Nederlandsche Bank N. V., Monetary Monographs 2, Dordrecht: Martinus Nijhoff.  Google Scholar
  31. Hancock, D. (1985): Bank Profitability, Interest Rates, and Monetary Policy, Journal of Money, Credit and Banking 17, 189 – 202.  Google Scholar
  32. Keating, G. (1984): The Financial Sector of the LBS Model, London Business School, Centre of Economic Forecasting Discussion Paper 115.  Google Scholar
  33. Kirchgässner, G., Wolters, J. (1984): Uncovered Interest Parity Condition Between the United States and Europe Under Different Exchange Rate Regimes, Freie Universität Berlin, Fachbereich Wirtschaftswissenschaft, Discussion Paper 3/88.  Google Scholar
  34. Lüdeke, D. Friedrich, D., Hummel, W., von Natzmer, W., Röger, W., Röhling, W., Termin, J. (1984): Freiburger und Tübinger Quarterly Econometric Model für the Federal Republic of Germany: An Overview, Economic Modelling 1, 139 – 232.  Google Scholar
  35. Markowitz, H. (1952): Portfolio-Selection, Journal of Finance 7, 77 – 91.  Google Scholar
  36. Parkin, M. (1970): Discount House Portfolio and Debt Selection, Review of Economic Studies 37, 469 – 497.  Google Scholar
  37. Perraudin, W. R. M. (1987): Inflation and Portfolio Choice, IMF Staff Papers 34, 739 – 759.  Google Scholar
  38. Santomero, A. M. (1984): Modeling the Banking Firm, Journal of Money, Credit and Banking 16, 576 – 602.  Google Scholar
  39. Schneider, R. (1983): Ein monetäres liquiditätstheoretisch orientiertes ökonometrisches Vierteljahresmodell der Bundesrepublik Deutschland, Frankfurt am Main: Peter Lang.  Google Scholar
  40. Theil, H. (1971): Principles of Econometrics, Amsterdam: North Holland.  Google Scholar
  41. Tobin, J. (1958): Liquidity Preference as Behavior Towards Risk, Review of Economic Studies 25, 65 – 86.  Google Scholar
  42. Tödter, K.-H. (1990): Das ökonometrische Modell der Deutschen Bundesbank: Entwicklung, Struktur und Perspektiven, in: Nakhaeizadeh, G., Volkmer, K.-H. (Hrsg.): Neuere Entwicklungen in der angewandten Ökonometrie, Heidelberg: Physica.  Google Scholar
  43. Wewel, M. C. (1991): The Macroeconometric Model of the Deutsche Bundesbank: A Brief Review, in: Gruber, J. (Ed.): Econometric Decision Models; New Methods of Modeling and Applications, Berlin: Springer.  Google Scholar
  44. Zellner, A. (1962): An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias, Journal of the American Statistical Association 57, 348 – 368.  Google Scholar

Abstract

An Econometric Portfolio Model for the Private Sector in the Federal Republic of Germany

Although – thanks to its high explanatory value – the portfolio theory developed by Markowitz and Tobin plays a dominant role in today’s theory-of-money discussion, the economic portfolio models that are fully satisfactory, both theoretically and empirically, have been small in number hitherto. The main reasons therefore are the methodical difficulties that arise in estimating large-scale portfolio demand systems. Although the coefficients involved in such systems are subject to many theory-based restrictions, the coefficients to be estimated are still too large in number in spite of such restrictions in order to allow significant and plausible estimated values to be obtained. In this situation it would appear to be appropriate to specify additional extraneous restrictions that are apparently plausible and to ascertain subsequently the remaining coefficients by empirical methods by means of a system estimation procedure that takes all restrictions into account. This way has been chosen for the portfolio model described in this paper for the private non-bank sector in the Federal Republic of Germany. The asset demand functions, nine in all, comprise – besides a constant and the seasonal dummies – only three explanatory variables: the difference between the returns on net worth and the average yield of the entire portfolio; the transaction variable; and the respective lagendogenous variable. Nonetheless, isolated interest rate variations have implications for all portfolio components through the average yield. In addition to the portfolio demand functions, interest rate pattern equations have been specified for the individual types of investment derived from a profit maximization approach for credit institutions. Both the portfolio demand functions and the interest rate pattern equations have been ascertained by the JGLS estimation method developed by Zellner and Theil, the former by taking account of the totality of the extraneous restrictions (RJGLS). The estimated values so obtained are significant and plausible in the main. Several simulation runs have been made on the basis of the model analyzing the effects of variations in the interest rate pattern and the level of interest rates on the composition of private portfolios.

Table of Contents

Section Title Page Action Price
Karl-Heinz Tödter/Max Christoph Wewel: Ein ökonometrisches\rPortfoliomodell für den privaten Sektor\rin der Bundesrepublik Deutschland 235
I. Einleitung 235
II. Portfoliostruktur 236
III. Zinsstruktur 240
IV. Datenbasis 242
V. Schätzergebnisse 244
VI. Simulation von Zinsänderungen 248
Literaturverzeichnis 250
Zusammenfassung: Ein ökonometrisches Portfoliomodell für den privaten Sektor in der Bundesrepublik Deutschland 251
Summary: An Econometric Portfolio Model for the Private Sector in the Federal Republic of Germany 252
Résumé: Un modèle économétrique des portefeuilles pour le secteur privé en République fédérale d'Allemagne 253

Contact

Duncker & Humblot GmbH Carl-Heinrich-Becker-Weg 9 12165 Berlin, Deutschland T: +49 30 790006-0

Quick Navigation

2024 Duncker & Humblot GmbH

Powered by CloudPublish

We use cookies to ensure that you get the best experience on our website. Learn more about how we use cookies.