This paper presents an analysis of tax clientele effects in the German government bond market from the viewpoint of private investors. The methods developed here allow the identification of bonds that are over-valued from the viewpoint of a certain tax class, the estimation of tax-specific term...

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

In a world with imperfect competition, market externalities or asymmetric information, the impact of money and monetary policy on the real sector depends on the way money is created. Two conflicting views of money supply can be distinguished in the literature: the endogeneity view and the...

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel rely mostly on the analysis of monetary policy effects...