Refine
Year of publication
- 2014 (101) (remove)
Document Type
- Working Paper (86)
- Report (10)
- Part of Periodical (4)
- Article (1)
Has Fulltext
- yes (101)
Is part of the Bibliography
- no (101)
Keywords
- Transparenz (4)
- Labor income risk (3)
- Portfolio choice (3)
- incomplete markets (3)
- monetary policy (3)
- Asset Pricing (2)
- Asset Quality Review (2)
- Bail-in (2)
- Bankenabwicklung (2)
- Basel regulation (2)
- Business Cycle (2)
- Compensation Structure (2)
- Corporate Governance (2)
- Credit Spread (2)
- European Central Bank (2)
- FBSDE (2)
- General Equilibrium (2)
- Greece (2)
- Health shocks (2)
- Household Finance (2)
- Inside Debt (2)
- Marktdisziplin (2)
- Recursive Preferences (2)
- Risk-Taking (2)
- Solvency II (2)
- Stochastic mortality risk (2)
- Systemic risk (2)
- asset pricing (2)
- austerity (2)
- bail-in (2)
- banking separation proposals (2)
- capital regulation (2)
- confidence (2)
- consumption-portfolio choice (2)
- credit supply (2)
- financial crisis (2)
- financial distress (2)
- financial literacy (2)
- growth (2)
- household finance (2)
- internal ratings (2)
- investment (2)
- law and finance (2)
- market discipline (2)
- nachrangiges Fremdkapital (2)
- prudential supervision (2)
- public debt (2)
- regulation (2)
- regulatory arbitrage (2)
- risk-taking (2)
- shadow banking (2)
- shareholder recovery (2)
- stochastic differential utility (2)
- stock returns (2)
- stockholding (2)
- systemic risk (2)
- too big to fail (2)
- total loss absorbing capacity (TLAC) (2)
- transparency (2)
- Anlegerschutz (1)
- Assault (1)
- Asset Allocation (1)
- Austerity Measures (1)
- Bafin (1)
- Bank Capital (1)
- Bank Recovery and Resolution Directive (BRRD) (1)
- Bankberatung (1)
- Bankenaufsicht (1)
- Bankenunion (1)
- Banking Stability (1)
- Behavioral finance (1)
- Bewertungsreserven, (1)
- Bezüge im Bankensektor (1)
- Bitcoin (1)
- Bundesbank (1)
- Burglary (1)
- CDS (1)
- Choquet expected utility (1)
- Comprehensive Assessment (1)
- Contagion (1)
- Corporate Groups (1)
- Creditor Protection (1)
- Cultural Influences on Economic Behavior (1)
- Cumulative prospect theory (1)
- Decision under risk (1)
- Defizitregeln (1)
- Deflation (1)
- Delaunay Interpolation (1)
- Derivatehandel (1)
- Dodd-Frank Act (1)
- Dynamic Models (1)
- Dynamic Networks (1)
- Dynamic inconsistency (1)
- E.U. Corporate Law (1)
- EU economic and financial services legislation (1)
- EZB (1)
- Economics (1)
- Efficiency Wages (1)
- Endogenous Growth (1)
- Endogenous gridpoints Method (1)
- Energiewende (1)
- Equity options (1)
- Erneuerbare-Energien-Gesetz (1)
- Europarecht (1)
- Europe (1)
- European Banking Authority (1)
- European Banking Authority, Single Supervisory Mechanism (1)
- European Banking Union (1)
- European Central Bankor (1)
- European Systemic Risk Board (1)
- European debt crisis (1)
- Europäische Zentralbank (1)
- Feedback (1)
- Financial Distress (1)
- Finanzbildung (1)
- Finanzkrise (1)
- Finanzstabilität (1)
- Fiscal Compact (1)
- Fiscal Policy (1)
- Framing e↵ects (1)
- GFSY (1)
- German reunification (1)
- Group Interesterest (1)
- Hawkes processes (1)
- Health expenses (1)
- Health jumps (1)
- Hochfrequenzhandel (1)
- Household Portfolios (1)
- Household Wealth (1)
- Implied volatility (1)
- Impulse-response (1)
- Insurance (1)
- Insurer Default Risk (1)
- Integration (1)
- Integrität (1)
- Interbank Markets (1)
- Interest Rate Guarantees (1)
- Jumps (1)
- Lebensversicherungen (1)
- Lebensversicherungen verlangen (1)
- Life Insurers (1)
- Life-cycle hypothesis (1)
- Liikanen Commission (1)
- Liquidity Coinsurance (1)
- Long-run Risk (1)
- MiFID (1)
- MiFID II (1)
- MiFIR (1)
- Minority Shareholder Protection (1)
- Monetary Union (1)
- Moral Hazar (1)
- Mortality risk (1)
- Multitasking (1)
- Mutually Exciting Processes (1)
- Mutually exciting processes (1)
- Niedrigzinsphase (1)
- Numerical Solution (1)
- On-the-Job Search (1)
- Ordnungspolitik (1)
- Outright Monetary Transactions (1)
- Private Public Partnership (PPP) (1)
- Quantitative Lockerung (1)
- R&D (1)
- Rechtsdurchsetzung (1)
- Regulation Capital Requirements (1)
- Regulierung (1)
- Related Party Transactions (1)
- Repeated Principal-Agent Model (1)
- Restrukturierung (1)
- Risikobereitschaft (1)
- Risk Assessment (1)
- Rubin Causal Model (1)
- Saving puzzles (1)
- Schuldenbremse (1)
- Self-Control (1)
- Shareholder Rights Directive (1)
- Short-run Risk (1)
- Single Resolution Mechanism (SRM) (1)
- Single Supervisory Mechanism (1)
- Single Supervisy Mechanism (1)
- SoFFin (1)
- Solvency (1)
- Sovereign risk (1)
- Steuergelder (1)
- Stress Test (1)
- Tail Risk (1)
- Term life insurance (1)
- Theft (1)
- Tunneling (1)
- UK (1)
- USA (1)
- Unemployment (1)
- Value-at-risk (1)
- Wettbewerb (1)
- Zentralbanken (1)
- aggregate risk (1)
- aging (1)
- allocation bias (1)
- ambiguity (1)
- asset markets (1)
- average treatment effect (1)
- balance sheet adjustment (1)
- bank resolution regimes (1)
- bank runs (1)
- banking (1)
- betrayal aversion (1)
- booms (1)
- bounded rationality (1)
- capacity utilization (1)
- capital re-cycling (1)
- capture (1)
- central bank communication (1)
- collective action (1)
- competition (1)
- consumer credit (1)
- consumer education (1)
- consumption expenditure (1)
- consumption hump (1)
- consumption smoothing (1)
- coordination (1)
- counterfactual analysis (1)
- counterfactual decompositions (1)
- credit rationing (1)
- credit risk transfer (1)
- crowding out (1)
- debt consolidation (1)
- debt restructuring (1)
- default (1)
- deleveraging (1)
- economic reforms (1)
- education (1)
- equity options (1)
- exit strategies (1)
- experimental economics (1)
- familiarity (1)
- financial innovation (1)
- financial regulation (1)
- financial transaction tax (1)
- fiscal adjustment (1)
- fiscal austerity (1)
- fiscal crisis (1)
- fiscal decentralization (1)
- fiscal multipliers (1)
- fiscal policy (1)
- fiscal stress (1)
- fixed point approach (1)
- floating net asset value (FNAV) (1)
- foreign direct investment (1)
- forward guidance (1)
- government debt (1)
- heterogeneous agents (1)
- household debt (1)
- household liquidity (1)
- household savings (1)
- households (1)
- housing (1)
- identification (1)
- idiosyncratic risk (1)
- implied volatility (1)
- incentives (1)
- incentives for investment (1)
- incomplete information (1)
- informational externalities (1)
- innovation (1)
- insurance (1)
- inverse probability weighting (1)
- investment decisions (1)
- laboratory experiments (1)
- leisure (1)
- life insurance demand (1)
- life-cycle models (1)
- liquid assets (1)
- liquidity premium (1)
- liquidity runs (1)
- loan officer (1)
- loan origination (1)
- local projection (1)
- local projections (1)
- macroprudential supervision (1)
- makroprudenzielle Regulierung (1)
- market fragmentation (1)
- market quality (1)
- matching (1)
- microprudential supervision (1)
- monetary transmission mechanism (1)
- money (1)
- money market funds (1)
- monitoring (1)
- mortgages (1)
- multinational firms (1)
- output fluctuations (1)
- panel VAR (1)
- panel data (1)
- panel vector autoregression (1)
- peer effects (1)
- peer to peer payment systems (1)
- pooling equilibrium (1)
- portfolio choice (1)
- pricing (1)
- private business (1)
- propensity score (1)
- proprietary trading (1)
- proprietary trading ban (1)
- public-private relations (1)
- recession (1)
- regression adjustment (1)
- risk premia (1)
- screening (1)
- separating equilibrium (1)
- slumps (1)
- social impact bonds (1)
- social interactions (1)
- social relations (1)
- social security (1)
- sovereign risk (1)
- speculative trading (1)
- spillover effects (1)
- statistical risk measurement (1)
- statistics (1)
- systemic risk analysis (1)
- tax competition (1)
- taxation (1)
- transactions (1)
- trust games (1)
- valuation discount (1)
- value-at-risk (1)
- vertical fiscal imbalances (1)
- wage hump (1)
- welfare (1)
- yield spreads (1)
- fiscal multipliers (1)
- fiscal policy (1)
Institute
- Sustainable Architecture for Finance in Europe (SAFE) (101) (remove)
Trust in policy makers fluctuates signi
cantly over the cycle and affects the transmission mechanism. Despite this it is absent from the literature. We build a monetary model embedding trust cycles; the latter emerge as an equilibrium phenomenon of a game-theoretic interaction between atomistic agents and the monetary authority. Trust affects agents' stochastic discount factors, namely the price of future risk, and through this it interacts with the monetary transmission mechanism. Using data from the Eurobarometer surveys, we analyze the link between trust and the transmission mechanism of macro and monetary shocks: Empirical results are in line with theoretical ones.
We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS prices. Our analysis documents that although the fragility of the euro area banking system had started to deteriorate before Lehman Brothers' file for bankruptcy, investors did not expect the crisis to affect euro area sovereigns' solvency until September 2008. Since then, and especially after November 2009, joint sovereign default risk has outpaced the rise of systemic risk within the banking system.
We study the effect of weakening creditor rights on distress risk premia via a bankruptcy reform that shifts bargaining power in financial distress toward shareholders. We find that the reform reduces risk factor loadings and returns of distressed stocks. The effect is stronger for firms with lower firm-level shareholder bargaining power. An increase in credit spreads of riskier relative to safer firms, in particular for firms with lower firm-level shareholder bargaining power, confirms a shift in bargaining power from bondholders to shareholders. Out-of-sample tests reveal that a reversal of the reform's effects leads to a reversal of factor loadings and returns.
The recent financial crisis highlighted the limits of the "originate to distribute" model of banking, but its nexus with the macroeconomy remains unexplored. I build a business cycle model with banks engaging in credit risk transfer (CRT) under informational externalities. Markets for CRT provide liquidity insurance to banks, but the emergence of a pooling equilibrium can also impair the banks’ monitoring incentives. In normal times and in face of standard macro shocks the insurance benefits of CRT prevail and the business cycle is stabilized. In face of financial/liquidity shocks the extent of informational asymmetries is larger and the business cycle is amplified. The macro model with CRT can also reproduce well a number of macro and banking statistics over the period of rapid growth of this banks’ business model.
We propose a novel approach on how to estimate systemic risk and identify its key determinants. For US financial companies with publicly traded equity options, we extract option-implied value-at-risks and measure the spillover effects between individual company value-at-risks and the option-implied value-at-risk of a financial index. First, we study the spillover effect of increasing company risks on the financial sector. Second, we analyze which companies are mostly affected if the tail risk of the financial sector increases. Key metrics such as size, leverage, market-to-book ratio and earnings have a significant influence on the systemic risk profiles of financial institutions.
We study the effect of weakening creditor rights on distress risk premia via a bankruptcy reform that shifts bargaining power in financial distress toward shareholders. We find that the reform reduces risk factor loadings and returns of distressed stocks. The effect is stronger for firms with lower firm-level shareholder bargaining power. An increase in credit spreads of riskier relative to safer firms, in particular for firms with lower firm-level shareholder bargaining power, confirms a shift in bargaining power from bondholders to shareholders. Out-of-sample tests reveal that a reversal of the reform's effects leads to a reversal of factor loadings and returns.
Does austerity pay off?
(2014)
Policy makers often implement austerity measures when the sustainability of public finances is in doubt and, hence, sovereign yield spreads are high. Is austerity successful in bringing about a reduction in yield spreads? We employ a new panel data set which contains sovereign yield spreads for 31 emerging and advanced economies and estimate the effects of cuts of government consumption on yield spreads and economic activity. The conditions under which austerity takes place are crucial. During times of fiscal stress, spreads rise in response to the spending cuts, at least in the short-run. In contrast, austerity pays off, if conditions are more benign.
Robustness, validity, and significance of the ECB's asset quality review and stress test exercise
(2014)
As we are moving toward a eurozone banking union, the European Central Bank (ECB) is going to take over the regulatory oversight of 128 banks in November 2014. To that end, the ECB conducted a comprehensive assessment of these banks, which included an asset quality review (AQR) and a stress test. The fundamental question is how accurately will the financial condition of these banks have been assessed by the ECB when it commences its regulatory oversight? And, can the comprehensive assessment lead to a full repair of banks’ balance sheets so that the ECB takes over financially sound banks and is the necessary regulation in place to facilitate this? Overall, the evidence presented in this paper based on the design of the comprehensive assessment as well as own stress test exercises suggest that the ECB’s assessment might not comprehensively deal with the problems in the financial sector and risks may remain that will pose substantial threats to financial stability in the eurozone.
Ein Freibrief für die Notenbank bedeutet, genau genommen, die Bankrotterklärung des demokratischen Verfassungsstaates vor technokratischen Beliebigkeiten, schreibt Helmut Siekmann in diesem Namensbeitrag. Er betont, dass die Europäische Union eine unverzichtbare Einrichtung ist und ein echter Bundesstaat sein sollte. Sie sei aber im Wesentlichen (nur) ein Rechtskonstrukt, weshalb es umso wichtiger sei, dass die rechtlichen Regeln, auf denen sie beruht, genauestens beachtet werden.