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Die Bestimmung der Zinsstruktur am deutschen Kapitalmarkt
Eine empirische Untersuchung für den Zeitraum 1978 bis 1986
Credit and Capital Markets – Kredit und Kapital, Vol. 22 (1989), Iss. 1 : pp. 117–137
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Johannes Bußmann, Karlsruhe
References
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Abstract
Determination of the Interest Rate Regime on the German Capital Market – An Empirical Study for the Period 1978/1986
The time to maturity of an interest rate regime at a given moment represents the sum total of the internal interest rates of individual deterministic payments in future. Since it is not possible to calculate the interest rate regime from observable market data directly, but must be estimated from such data with the help of appropriate statistical methods, the yield structure is – in practice – used in its place since it is more easily ascertainable. Both are congruent, theoretically, in the case of flat interest rate curves only. The interest rate regime on the German capital market was determined for the period under review of 1978 to 1986. Various methods were employed to estimate the interest rate regime at mid-month from the market prices of all outstanding loans floated by the Federal Government, the Federal Railways and the German PTT. A graph shows the deviatiöns from the estimated results at several estimating dates. For each of them and for each method employed, the standard deviation of the estimated loan price was ascertained. The results show that the interest rate regimes ascertained on the basis of Shea as well as of Chambers/ Carleton / Waldman are superior to the yield structure estimates of the Deutsche Bundesbank.