der Spread-Analyse, da sich
Veränderungen im Credit Spread un-
mittelbar auf ihre Finanzierungskonditio-
nen auswirken. Drittens lässt sich anhand
eines Credit-Spread-Modells ein Fair Va-
lue von Anleihen [...] Restlaufzeit einen signifikanten Einfluss
ausüben.
Determinanten von Credit
Spreads: Theorie
Für unsere Analyse sind Credit Spreads
definiert als die Renditedifferenz zwischen
einer Unternehmensanleihe [...] Horst Rottmann und Franz Seitz*
Credit Spreads und ihre Determinanten in Deutschland
Sowohl für Unternehmen als auch für externe Beobachter kann die Analyse von Credit Spreads,
d.h. der Differenz
bestimmt. „The key
idea is that money comes into existence almost exclusively
as the counterpart to new credit“ (Dow, 2003, S. 500, im
Einzelnen hierzu auch Görgens et al., 2004, Kap. II.4.2
und II.4.4). Folglich
creation and maintenance of a culture
of long-termism on the German capital market, where long-term credit
relations account for a large proportion of the total.“ H. T i e t m e y -
e r : The Social Market
Rating Systems E. Hayden, D. Tasche
2 2003 Credit Risk Factor Modeling and A. Hamerle,
the Basel II IRB Approach T. Liebig, D. Rösch
1 2004 Forecasting Credit Portfolio Risk A. Hamerle,
T. Liebig, H. [...] which occurred in January 1988. German M3 consisted of currency in circulation
(excluding the credit institutions’ cash balances) and sight deposits, time deposits for
less than four years and savings [...] three months' notice held by domestic non-
banks – other than the Federal Government – at domestic credit institutions.26
The Bundesbank published seasonally adjusted data on the level of the money
July 2002.
1) The sum of the number of accepting terminals for cards with a credit function is reported by the
individual credit card institutions. This may result in double counting.
14
ECB
Work ing [...] Money, Credit and Banking, 28(4), pp. 914-939.
Humphrey, D.B., Kim, M., Vale, B. (2001), Realizing the Gains from Electronic Payments:
Costs, Pricing, and Payment Choice, Journal of Money, Credit and Banking [...] payment instruments.
Table 3: Use of payment cards (total value in € of transactions with debit and credit cards per inhabitant)
In this context, it is worth mentioning that in some countries, there are
Evidence from Argentina and Estonia in the 90’s
Kalin Hristov
DP/23/2002 Credit Activity of Commercial Banks and Rationing
in the Credit Market in Bulgaria (in Bulgarian only)
Kalin Hristov, Mihail Mihailov [...] countries). This should
be mainly due to the influence of cash-substituting financial instruments, e.g.
credit and debit cards. On the other hand, there are currencies for which the
traditional transactions and [...] constitutes an incentive to use cashless
payments, especially electronic money as well as debit and credit cards, more
frequently, as payment instruments will become further harmonized across
1
A case
creation and maintenance of a culture of long-ter-
mism on the German capital market, where long-term credit relations account for a large proportion of the total.“ (H. Tietmeyer: The Social
Market Economy
rationalised within the credit channel framework as
credit is the main balance sheet counterpart to money (Bernanke and Blinder (1988)). However, at times when
money and credit exhibit disparate movements [...] Forecasting and Analysis, Journal of
Forecasting, 14, pp. 1-23.
Bernanke, B.S., Blinder, A.S. (1988): Credit, Money and Aggregate Demand, American
Economic Review, 78(2), P & P, pp. 435–439.
Beyer, A., J [...] Reexamination of the Predictability of Economic Activity
Using the Yield Spread, Journal of Money, Credit and Banking, 34, pp. 340-360.
Handa, J. (2000): Monetary Economics, Routledge, London and New
der Diskontkredit (in der Form des „Ad-
justment Credit Program“) in eine Spitzenrefinanzierungsfazilität nach dem Muster des
Eurosystems (Primary Credit Program) umgewandelt werden soll. Anfänglich soll [...] Reserve System and
the Federal Open Market Committee shall maintain long run growth of the monetary and
credit aggregates commensurate with the country’s long run potential to increase pro-
duction, so as to [...] soll dabei
der Zinssatz für die Inanspruchnahme dieses „Primary Credits“ um 100 Basispunkte
über dem angestrebten Tagesgeldsatz („Federal Funds Rate Target“) liegen und es soll
jedem Kreditinstitut mit guter
use of trade credit (Petersen and Rajan 1994, Harhoff and Körting 1998).
Trade credit is a method of financing provided by suppliers to their clients. One form of trade
credit is to forgo discounts [...] difficult task. Taking the refusal of a
credit application as an indicator for financing constraints is not practical, because firms that did
not apply for a credit would be excluded from the analysis. [...] not available. Firms that rely heavily on trade credit are
therefore said to face financing constraints.
One could argue that the use of trade credit is not a good indicator for the presence of financing
Sys-
tem and the Federal Open Market Committee shall maintain long run growth of the
monetary and credit aggregates commensurate with the country’s long run potential to
increase production, so as to promote [...] .org, Mai 2002.
GREENSPAN, A. (1993): Testimony to the Sub-Committee on Economic Growth and Credit Forma-
tion of the Committee on Banking, Finance and Urban Affairs of the US House of Representa- [...] (2000): Interest Rates, Inflation, and Federal Reserve Policy since 1980, in: Journal
of Money, Credit and Banking 32, S. 417-434.
ISSING, O. / GASPAR, V. / ANGELONI, I. / TRISTANI, O. (2001): Monetary
European Emerging Market
Economies in the 1990s
March 20, 2000 Katrin Wesche 41 Is there a Credit Channel in Austria?
The Impact of Monetary Policy on Firms’
Investment Decisions
June 20 [...] Martin Summer 57 Banking Regulation and Systemic Risk
January 28, 2002 Maria Valderrama 58 Credit Channel and Investment Behavior in
Austria: A Micro-Econometric Approach
February 18,
2002
cover their end-of-day liquidity
needs at a rate of interest above the market rate. There are no credit limits or other
restrictions on counterparties� access to the facility (with the exception of the
rates
activity and inflation. In Section 3 we introduce rise because real rates rise due to tight credit.
the data used in the paper. Section 4 briefly The dynamics of the long-term rates, however,
discusses [...] short-term
for the European Central Bank. rates. A tightening of monetary policy reduces
available credit, and leads to a postponement of
investment and consumption; hence an ‘in-
verted’ yield curve is [...] influenced by the stance of monet-
ary policy, but also reflect a variety of other
conditions in the credit market. Given the low
liquidity of the market for bank bonds in
Germany until the mid-1990s the public
eingefügt:
„Für die erbrachten Studienleistungen werden Credits nach dem European Credit Transfer and Accumulation System (ECTS), vergeben. Ein Credit entspricht im Durchschnitt einer Arbeitsbe-lastung für
nts, Journal
of Money, Credit, and Banking 36, 387-405.
Dewachter, H. & M. Lyrio (2006), Macro Factors and the Term Structure of Interest Rates,
Journal of Money, Credit, and Banking 38, 119-140
nts, Journal
of Money, Credit, and Banking 36, 387-405.
Dewachter, H. & M. Lyrio (2006), Macro Factors and the Term Structure of Interest Rates,
Journal of Money, Credit, and Banking 38, 119-140
Federal Reserve Board has to report to the Congress every six months about the envisaged monetary and credit developments. The Fed is, however, not required to meet these targets and failure to do so does not [...] Central Bank Independence and Macroeconomic Performance: Some Comparative Evidence, Journal of Money, Credit and Banking 25, 151-162.
biblio-Entry Backus, D. / Driffill, J. (1985), Inflation and Reputation [...] Herrendorf, B. / Lockwood, B. (1997), Rogoff's “Conservative” Central Banker Restored, Journal of Money, Credit and Banking 29, 476-495.
biblio-Entry Ireland, P.N. (1999), Does the Time-Consistency Problem
recession relaxes credit constraints by lowering interest rates. But this will not necessarily boost borrowing and spending if a slowing economy has reduced the demand for credit. Thus if the credit constraint [...] Weise 1999).
standard The second cause for asymmetries refers to imperfections of credit markets and credit rationing. This line of reasoning focuses on the special role of banks in the transmission [...] course of a tight monetary policy banks reduce their credit supply because of the informational asymmetries adverse selection and moral hazard. This credit channel works over and above the traditional channels
Exchange of national currencies for euro took place, free of charge until including March 2002, at credit institutions, national central banks or dedicated exchange points. National central banks will exchange [...] frontload euro banknotes to central banks outside the euro area and to allow them to sub-frontload credit institutions having their head or registered office in their jurisdiction from 1 December 2001. Also [...] Also, national central banks of the euro area were allowed to frontload non-euro area credit institutions specialising in the wholesale distribution of banknotes, upon request and subject to certain terms
Apparent Instability in some Western European Economies and in the United States", Journal of Money, Credit, and Banking, Vol. 13, No.2, pp. 135-155.
Canzoneri, M., Diba, B., Giovannini, A. (1991). "Currency [...] Girton, L., Roper, D. (1981). "Theory and Implications of Currency Substitution", Journal of Money, Credit, and Banking, Vol. 13, No.1, pp. 12-30.
Gros, D., Thygesen, N. (1992), "European Monetary In [...] 461-463.
Thomas, L. R. (1985). "Portfolio Theory and Currency Substitution", Journal of Money, Credit and Banking, Vol. 17, No. 3, pp. 347-357.
Thomas, S. H., Wickens, M. R. (1991). "Currency Su
1998-03-20T16:15:50Z
resourceName /var/www/public/files/oth-aw/Professoren/Rottmann/BlackScholesFormel_credit-spread.xls
dcterms:created 1998-03-20T16:15:50Z
Last-Author Horst Rottmann
dcterms:modified
pp. 11-48
Barnett, W.A. (1982), The Optimal Level of Monetary Aggregation, Journal of Money, Credit and Banking, pp. 687-710
Belongia, M.T. (1996), Measurement Matters: Recent Results from Monetary
nts, Journal
of Money, Credit, and Banking 36, 387-405.
Dewachter, H. & M. Lyrio (2006), Macro Factors and the Term Structure of Interest Rates,
Journal of Money, Credit, and Banking 38, 119-140
(mandatory) demand for central bank money on the part of the credit
institutions. However, central bank money can only be created if the credit institutions
transact with the central bank. There are [...] (A.1 in Chart 1) or the credit institutions borrow money
from the central bank (A.2a in Chart 1) or the central bank buys securities (government
bonds) from the credit institutions (A.2b in Chart [...]
P.1: Banknotes in circulation
A.2a: Loans to credit institutions
A.2b: Securities
P.2: Liabilities against credit institutions
A.3: Other factors P.3: Other factors