Refine
Year of publication
- 2018 (101) (remove)
Document Type
- Working Paper (97)
- Part of Periodical (4)
Has Fulltext
- yes (101)
Is part of the Bibliography
- no (101) (remove)
Keywords
- Liquidity (6)
- household finance (4)
- regulation (3)
- regulatory arbitrage (3)
- Capital Markets Union (2)
- Central Counterparties (2)
- Circuit Breaker (2)
- Competition (2)
- EMIR (2)
- European Supervisory Architecture (2)
- Geldpolitik (2)
- OTC markets (2)
- Volatility Interruption (2)
- banking regulation (2)
- blockchain (2)
- expectation formation (2)
- financial stability (2)
- liquidity (2)
- supervisory arbitrage (2)
- unconventional monetary policy (2)
- 401(k) plan (1)
- ARMA (1)
- Aggregate outcomes (1)
- Anchoring (1)
- Arbitrage (1)
- Art (1)
- Asset Liquidation (1)
- Asset Pricing (1)
- Auction (1)
- Audit fees (1)
- Audit partner tenure (1)
- Audit quality (1)
- Auditing (1)
- Auditor rotation (1)
- Bank of Japan (1)
- Bank regulation (1)
- Bankensektor (1)
- Banking union (1)
- Bargaining (1)
- Bayesian analysis (1)
- Bayesian estimation (1)
- Bayesian learning (1)
- Bias (1)
- Blockchain (1)
- Brexit (1)
- Business lending (1)
- Canada (1)
- Central Clearing (1)
- Central Counterparty Clearing House (CCP) (1)
- CoCo bonds (1)
- Cognition (1)
- Collateral (1)
- Confirmatory Bias (1)
- Consumer financial protection (1)
- Consumption (1)
- Contract terms (1)
- Corporate Bonds (1)
- Counterparty Risk (1)
- Credit Default Swap (CDS) (1)
- Credit Risk (1)
- Credit lines (1)
- Culture (1)
- DSGE models (1)
- Derivatives (1)
- DiD (1)
- Digitalisierung (1)
- Distributed Ledger (1)
- Drei-Säulen-System (1)
- Dynamic stochastic general equilibrium model (1)
- ECB (1)
- EU countries (1)
- Effektivinflation (1)
- Enforcement (1)
- Entrepreneurship (1)
- Entry and exit (1)
- European Market Infrastructure Regulation (EMIR) (1)
- European banks (1)
- Eurosystem (1)
- Evidence-based policymaking (1)
- Expected Returns (1)
- FDI-intensity (1)
- Federal Reserve (1)
- Fin Tech (1)
- Financial Crises (1)
- Financial Education (1)
- Financial Institutions (1)
- Financial Literacy (1)
- Financial Stability (1)
- Financial frictions (1)
- Financial intermediation (1)
- Finanzkrise (1)
- Fiscal stress (1)
- Flash Crash (1)
- Flight-to-safety (1)
- Fragmentation (1)
- Fraud (1)
- Gamma distribution (1)
- Gegenwartspreise (1)
- Gender (1)
- General Equilibrium (1)
- German Reunification (1)
- German reunification (1)
- Germany Inc. (1)
- Gig-economy (1)
- Gini (1)
- Government spending multiplier (1)
- Granger Causality (1)
- Hayek (1)
- High-Frequency Trading (1)
- Home ownership (1)
- Household finance (1)
- Housing tenure (1)
- IFRS (1)
- Idiosyncratic Risk (1)
- Idiosyncratic volatility puzzle (1)
- Inequality (1)
- Infrastructure (1)
- Institutional investors (1)
- Insurance Companies (1)
- Interconnectedness (1)
- Intermediated work (1)
- Investor protection (1)
- Kaufkraft des Geldes (1)
- Kryptowährungen (1)
- Lebenskostenindex (1)
- Liquidity Provision (1)
- Liquidity provider incentives (1)
- Loan Losses (1)
- Loss Sharing (1)
- Lottery stocks (1)
- Lucas paradox (1)
- Margin (1)
- Market Design (1)
- Market Fragility (1)
- Market Fragmentation (1)
- Market fragmentation (1)
- Market manipulation (1)
- Model evaluation (1)
- Monetary policy transmission (1)
- Multi-level marketing (1)
- Network Communities (1)
- Networks (1)
- Optimism (1)
- Overlapping Generations (1)
- P2P lending (1)
- PCAOB (1)
- Pecuniary Externality (1)
- Pensions Dashboard (1)
- Precautionary Saving (1)
- Price Efficiency (1)
- Probability Weighting Function (1)
- Program Evaluation (1)
- Prudential oversight (1)
- Public pension funds (1)
- Pump-and-dump schemes (1)
- Regulation (1)
- Rente (1)
- Rententransparenz (1)
- Reversible Jump Markov Chain Monte Carlo (1)
- SIFI (1)
- Screening (1)
- Securities regulation (1)
- Segmentation (1)
- Settlement Latency (1)
- Similarity (1)
- Sin Stocks (1)
- Slow-Moving Capital (1)
- Sovereign (1)
- Sovereign Bonds (1)
- Stock Market (1)
- Subjective Survival Beliefs (1)
- Systematic Risk (1)
- Systemic Risk (1)
- TARGET-Salden (1)
- TARGET2 (1)
- Taxation of Capital (1)
- Term Structure of Interest Rates (1)
- Trading volume (1)
- Transaction costs (1)
- Transparency (1)
- Unabhängigkeit (1)
- Unconventional Monetary Policy (1)
- Value creation (1)
- Vermögenspreise (1)
- Volatility (1)
- WpHG (1)
- Währungswettbewerb (1)
- Zentralbanken (1)
- Zentralbankensystem (1)
- Zero lower bound (1)
- Zinsen (1)
- accounting (1)
- agglomeration (1)
- aggregate risk (1)
- aggregate uncertainty (1)
- annuity (1)
- art market (1)
- asset managers (1)
- asset purchases (1)
- balance sheet risk (1)
- bank accounting (1)
- bank lending (1)
- bonds (1)
- capital maintenance (1)
- capital markets (1)
- capital structure (1)
- capital-labor ratio (1)
- causal inferences (1)
- central bank independence (1)
- central bank policy (1)
- client involvement (1)
- closed-end funds (1)
- commodities (1)
- comparability (1)
- compensation design (1)
- competition (1)
- competitiveness (1)
- conflict of laws (1)
- construction procurement (1)
- consumption (1)
- consumption commitments (1)
- contest (1)
- contingent capital (1)
- continuation vote (1)
- contract law (1)
- controlled diffusions and jump processes (1)
- conventional monetary policy (1)
- corporate income tax (1)
- cost-benefit analysis (1)
- crowdfunding (1)
- crowdinvesting (1)
- crowdlending (1)
- crowdsponsoring (1)
- cryptocurrencies (1)
- currencies (1)
- demographic trends (1)
- digitalization (1)
- discount (1)
- distributed ledger technology (1)
- duration of pay (1)
- economic growth (1)
- economic policy uncertainty (1)
- economic surprises (1)
- endogenous risk (1)
- equity premium (1)
- europäischer Zahlungsverkehr (1)
- event study (1)
- finance (1)
- finance and technology (1)
- financial advice (1)
- financial decision-making (1)
- financial development (1)
- financial innovation (1)
- financial innovations (1)
- financial literacy (1)
- financial literacy determinants (1)
- financial market data (1)
- financial structure (1)
- financial supervision (1)
- financial transaction data (1)
- first-price auctions (1)
- forward guidance (1)
- group law (1)
- hedge funds (1)
- hedging errors (1)
- heterogeneity (1)
- hours per capita measurement (1)
- house price (1)
- ideational shift (1)
- idiosyncratic risk (1)
- idle time (1)
- incentives (1)
- income dependent inflation (1)
- individual investors (1)
- individuelle Altersvorsorge (1)
- industrial organization (1)
- inequality (1)
- inflation (1)
- inflation target (1)
- information (1)
- informativeness principle (1)
- insurance industry (1)
- investments (1)
- isk premiums (1)
- labor demand (1)
- labor hoarding (1)
- labor supply (1)
- layoff risk (1)
- learning about jumps (1)
- leasing (1)
- life cycle saving (1)
- life-cycle behavior (1)
- lifecycle (1)
- loan loss allowances (1)
- longevity risk (1)
- low frequency trends (1)
- machine learning (1)
- macroeconomic conditions (1)
- macroeconomic experiences (1)
- macroeconomic risks (1)
- macroprudential regulation (1)
- market discipline (1)
- marketplace lending (1)
- micro data transparency (1)
- monetary policy (1)
- monetary policy surprise (1)
- monetary transmission (1)
- monitoring (1)
- moral hazard (1)
- natural experiment (1)
- oil price (1)
- one-child policy (1)
- output gap estimates (1)
- paycheck frequency (1)
- peer effects (1)
- peer-to-peer (1)
- pension reform (1)
- persistence (1)
- political economy (1)
- population aging (1)
- portfolio performance (1)
- predictability (1)
- present bias (1)
- price stability (1)
- principal-agent models (1)
- private benefits of control (1)
- property rights (1)
- quantitative easing (1)
- rank feedback (1)
- rational bias (1)
- rational learning (1)
- recent economic crisis (1)
- redistribution (1)
- refugees (1)
- regional heterogeneity (1)
- regional propagation (1)
- regression discontinuity design (1)
- related party transactions (1)
- relative performance evaluation (1)
- repurchases (1)
- resource boom (1)
- retirement (1)
- retirement age (1)
- scarring effects (1)
- securities regulation (1)
- signaling (1)
- social interactions (1)
- social security (1)
- socialist education (1)
- stable convergence (1)
- staleness (1)
- standard setting (1)
- state-contingent contracts (1)
- stockholding (1)
- stocks (1)
- stress test (1)
- supervisory intervention (1)
- systemic risk (1)
- talent, learning (1)
- taxation (1)
- text analysis (1)
- time inconsistency (1)
- topic modelling (1)
- tunneling (1)
- unemployment insurance (1)
- updating (1)
- venture funding (1)
- volatility of volatility (1)
- welfare (1)
- zero lower bound (1)
- zero returns (1)
Institute
- Center for Financial Studies (CFS) (101) (remove)
Exploiting the natural experiment of the German reunification, we examine how consumers adapt to a new environment in their macroeconomic forecasting. We document that East Germans expect higher in inflation and make larger forecast errors than West
Germans even decades after reunification. Differences in consumption baskets, financial literacy, risk aversion or trust in the central bank cannot fully account for these patterns. We find most support for the explanation that East Germans, who were used to a strong norm of zero inflation, persistently overadjusted the level of their expectations in the face of the initial inflation shock in reunified Germany. Our findings suggest that large changes in the economic environment can permanently impede people's ability to form accurate macroeconomic expectations, with an important role for the interaction of old norms and new experiences around the event.
Policymakers attach an important role to the macroeconomic outlook of households. Using a representative online panel form the U.S., the authors examine how individuals' macroeconomic expectations causally affect their personal economic prospects and their behavior and provide them with different professional forecasts about the likelihood of a recession. The authors find that groups with the largest exposure to aggregate risk, such as individuals working in cyclical industries, are most likely to respond to an improved macroeconomic outlook, while a large fraction of the population is unlikely to react.
This paper uses unique administrative data and a quasi-field experiment of exogenous allocation in Sweden to estimate medium- and longer-run effects on financial behavior from exposure to financially literate neighbors. It contributes evidence of causal impact of exposure and of a social multiplier of financial knowledge, but also of unfavorable distributional aspects of externalities. Exposure promotes saving in private retirement accounts and stockholding, especially when neighbors have economics or business education, but only for educated households and when interaction possibilities are substantial. Findings point to transfer of knowledge rather than mere imitation or effects through labor, education, or mobility channels.
The recent sovereign debt crisis in the Eurozone was characterized by a monetary policy, which has been constrained by the zero lower bound (ZLB) on nominal interest rates, and several countries, which faced high risk spreads on their sovereign bonds. How is the government spending multiplier affected by such an economic environment?While prominent results in the academic literature point to high government spending multipliers at the ZLB, higher public indebtedness is often associated with small government spending multipliers. I develop a DSGE model with leverage constrained banks that captures both features of this economic environment, the ZLB and fiscal stress. In this model, I analyze the effects of government spending shocks. I find that not only are multipliers large at the ZLB, the presence of fiscal stress can even increase their size. For longer durations of the ZLB,multipliers in this model can be considerably larger than one.
JEL Classification: E32, E 44, E62
SAFE Newsletter : 2018, Q4
(2018)
Higher capital ratios are believed to improve system-wide financial stability through three main channels: (i) higher loss-absorption capacity, (ii) lower moral hazard, (iii) stabilization of the financial cycle if capital ratios are increased during good times. We examine these mechanisms in a laboratory asset market experiment with indebted participants. We find support for the loss-absorption channel: higher capital ratios reduce the bankruptcy rate. However, we do not find support for the moral hazard channel. Higher capital ratios (insignificantly) increase asset price bubbles, an aggregate measure of excessive risk-taking. Additional evidence suggests that bankruptcy aversion explains this surprising result. Finally, the evidence supports the idea that higher capital ratios in good times stabilize the financial cycle.
Distributed ledger technologies rely on consensus protocols confronting traders with random waiting times until the transfer of ownership is accomplished. This time consuming settlement process exposes arbitrageurs to price risk and imposes limits to arbitrage. We derive theoretical arbitrage boundaries under general assumptions and show that they increase with expected latency, latency uncertainty, spot volatility, and risk aversion. Using high-frequency data from the Bitcoin network, we estimate arbitrage boundaries due to settlement latency of on average 124 basis points, covering 88% of the observed cross-exchange price differences. Settlement through decentralized systems thus induces non-trivial frictions affecting market efficiency and price formation.
Zum ersten Mal wurde in Deutschland eine groß angelegte wissenschaftliche Studie zur Machbarkeit und zum Nutzen einer säulenübergreifenden Renteninformationsplattform durchgeführt, unter realen Bedingungen und mit mehreren tausend Teilnehmern. Die beiden zentralen Ergebnisse sind, dass ein elektronisches Rentencockpit auch in Deutschland technisch machbar ist und beträchtlichen individuellen Zusatznutzen für die Bürgerinnen und Bürger stiften würde. Die Langfristanalysen der Pilotstudie zeigen, dass selbst die einmalige Schaffung von Rententransparenz für viele Teilnehmer Anlass genug ist, ihren Rentenplan zu überdenken und sich aktiv mit ihrer Altersvorsorge auseinanderzusetzen und ihr Verhalten zu ändern. Teilnehmer mit Zugang zu einem elektronischen Rentencockpit fühlen sich nach der Studie deutlich besser informiert und neigen dazu ihr Sparverhalten stärker anzupassen als Personen ohne Zugang. Die außerordentlich hohe Bereitschaft zur Teilnahme und die Antworten in den Online-Befragungen sind zudem Beleg für den großen Bedarf an systemgestützter, individueller Rententransparenz. Soll ein Rentencockpit Verbreitung in Deutschland finden, scheint eine automatisierte, elektronische Bereitstellung von Vertragsdaten von Seiten der Rententräger jedoch unabdingbar, da die eigenständige Suche und teilmanuelle Bereitstellung von Standmitteilungen für die meisten Studienteilnehmer ein großes Hindernis darstellt.
Much ado about nothing : a study of differential pricing and liquidity of short and long term bonds
(2018)
Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we study the differential pricing and liquidity of short and long maturity bonds. We find statistically significant, but economically negligible segmentation in yields and some degree of liquidity segmentation of short-term versus long-term bonds. These results have important policy implications for the e17.5 trillion European pension and insurance industries: long maturity bond yields seem appropriate for the valuation of long-term liabilities.
A number of recent studies have concluded that consumer spending patterns over the month are closely linked to the timing of income receipt. This correlation is interpreted as evidence of hyperbolic discounting. I re-examine patterns of spending in the diary sample of the U.S. Consumer Expenditure Survey, incorporating information on the timing of the main consumption commitment for most households - their monthly rent or mortgage payment. I find that non-durable and food spending increase with 30-48% on the day housing payments are made, with smaller increases in the days after. Moreover, households with weekly, biweekly and monthly income streams but the same timing of rent/mortgage payments have very similar consumption patterns. Exploiting variation in income, I find that households with extra liquidity decrease non-durable spending around housing payments, especially those households with a large budget share of housing.