Refine
Year of publication
- 2013 (72) (remove)
Document Type
- Working Paper (72) (remove)
Has Fulltext
- yes (72)
Is part of the Bibliography
- no (72)
Keywords
- Liikanen-Kommission (5)
- Bail-in (3)
- Bankenunion (3)
- Banking Union (3)
- Contagion (3)
- Trennbanken (3)
- banking union (3)
- euro area (3)
- leverage (3)
- Bail-in Anleihen (2)
- Banking Separation (2)
- ECB (2)
- European Banking Authority (EBA) (2)
- European Central Bank (ECB) (2)
- General Equilibrium (2)
- Liikanen Commission (2)
- OMT (2)
- active shareholders (2)
- capital regulation (2)
- debt sustainability (2)
- deposit insurance (2)
- financial crisis (2)
- fiscal reaction function (2)
- habit formation (2)
- leveraged buyouts (2)
- monetary policy (2)
- political economy of bureaucracy (2)
- private equity (2)
- prudential supervision (2)
- regulatory capture (2)
- social interactions (2)
- Abwicklung (1)
- Abwicklungsinstrumente (1)
- Arbeitsproduktivität (1)
- Asset Allocation (1)
- Asset Pricing (1)
- Asset allocation (1)
- Aufsicht (1)
- Aufsichtsratsvergütung (1)
- Bailout (1)
- Banken (1)
- Bankenaufsicht (1)
- Banking stability (1)
- Basel III (1)
- Bayesian VAR (1)
- Bewertungsreserven (1)
- Boni (1)
- Central Banking (1)
- Competition (1)
- Conditional Forecasts (1)
- Consumption hump (1)
- Contagion Risk (1)
- Credit (1)
- Cyprus (1)
- Deficit spending (1)
- Deutscher Corporate Governance Kodex (1)
- Discretion (1)
- ESMA (1)
- EU (1)
- Einlagengeschäft (1)
- Enforcement (1)
- Equator Principles (1)
- Equator Principles Association (1)
- European Central Bank (1)
- Filtering (1)
- Financial Crisis (1)
- Financial Expert (1)
- Financial distress (1)
- Firm valuation (1)
- Fiscal Crisis (1)
- Fiscal Policy (1)
- Fragmentation (1)
- Garantiezins (1)
- German constitutional law (1)
- German corporate governance codex (1)
- Greek economic crisis (1)
- Griechenland (1)
- Handelsgeschäft (1)
- Hidden State (1)
- Home ownership (1)
- Homestead exemptions (1)
- IT innovations (1)
- Implicit Guarantees (1)
- Insurance (1)
- Kenya (1)
- Lebensversicherungen (1)
- Liquidity (1)
- Market Discipline (1)
- Market Quality (1)
- Market Structure (1)
- Monetary Policy (1)
- New Keynesian model (1)
- Nonlinear Filtering (1)
- Optimal monetary policy (1)
- Own Risk and Solvency Assessment (1)
- Partial Information (1)
- Personal bankruptcy (1)
- Portfolio allocation (1)
- Prüfungsausschuss (1)
- R&D expenses (1)
- Real options (1)
- Recursive Preferences (1)
- Recursive Utility (1)
- Restrukturierung (1)
- Risiko (1)
- SRM (1)
- Self-exciting Processes (1)
- Single Resolution Mechanism (1)
- Single Supervisory Mechanism (SSM) (1)
- Solvency II (1)
- Sovereign debt (1)
- Sovereign default (1)
- Systemic risk (1)
- Tail risk (1)
- Taylor rule (1)
- Too-Big-To-Fail (1)
- Trust (1)
- Volatility (1)
- Vorstandsvergütung (1)
- Zentralbank (1)
- Zero nominal interest rate bound (1)
- adviser (1)
- attention (1)
- backward stochastic differential equation (1)
- bailout (1)
- bank competition (1)
- bank regulation (1)
- bank risk (1)
- bank runs (1)
- banking supervision (1)
- banks (1)
- capital structure (1)
- cash-in-advance (1)
- central banking (1)
- communication (1)
- compensation (1)
- competition (1)
- comprehensive assessment (1)
- consumer credit (1)
- consumer protection (1)
- contagion (1)
- convergence (1)
- cooperation (1)
- corporate governance (1)
- corporate restructuring (1)
- corporate social responsibility (1)
- cycle flows (1)
- cyclical liabilities (1)
- discretionary lending (1)
- education (1)
- extreme value theory (1)
- financial literacy (1)
- financial reporting quality (1)
- financial services (1)
- financing policy (1)
- fiscal policy (1)
- gender equality (1)
- genetics (1)
- household debt (1)
- household finance (1)
- human capital (1)
- impatience (1)
- implied correlation (1)
- inflation (1)
- informal loans (1)
- input-output (1)
- insurance guarantee schemes (1)
- interbank markets (1)
- interbank network (1)
- jumps (1)
- labor income (1)
- life-cycle utility maximization (1)
- liquidity risk (1)
- makroprudenzielle Regulierung (1)
- managerial incentives (1)
- matching (1)
- microfoundations (1)
- monetary transmission mechanism (1)
- money (1)
- mortgages (1)
- multinational companies/business and human rights (1)
- national systems of local banks (1)
- network formation (1)
- networks (1)
- operational performance (1)
- optimal investment (1)
- option-implied distribution (1)
- ownership concentration (1)
- parameter uncertainty (1)
- participation (1)
- payment systems (1)
- performance indicators (1)
- political behavior (1)
- portfolio optimization (1)
- predictability (1)
- productivity (1)
- project finance (1)
- randomized control trials (1)
- recursive utility (1)
- relationship lending (1)
- repeated games (1)
- reputational risk (1)
- restatements (1)
- risk (1)
- risk taking (1)
- risk-shifting (1)
- risk-taking (1)
- salience (1)
- social norms (1)
- soft information (1)
- sophistication (1)
- sovereign risk (1)
- stochastic differential utility (1)
- stochastic volatility (1)
- stock market participation (1)
- stock return expectations (1)
- structural reforms (1)
- strukturelle Reformen (1)
- sustainable finance (1)
- systemic risk, too-interconnected-to-fail (1)
- tail measure (1)
- troika (1)
- trust (1)
- trust driven expectations (1)
- trust evolutionary games (1)
- twin study (1)
- tâtonnement (1)
- variance risk premium (1)
- welfare loss (1)
Institute
- Wirtschaftswissenschaften (72) (remove)
June 4th, 2013 marks the formal launch of the third generation of the Equator Principles (EP III) and the tenth anniversary of the EPs – enough reasons for evaluating the EPs initiative from an economic ethics and business ethics perspectives. In particular, this essay deals with the following questions: What are the EPs and where are they going? What has been achieved so far by the EPs? What are the strengths and weaknesses of the EPs? Which necessary reform steps need to be adopted in order to further strengthen the EPs framework? Can the EPs be regarded as a role-model in the field of sustainable finance and CSR? The paper is structured as follows: The first chapter defines the term EPs and introduces the keywords related to the EPs framework. The second chapter gives a brief overview of the history of the EPs. The third chapter discusses the Equator Principles Association, the governing, administering, and managing institution behind the EPs. The fourth chapter summarizes the main features and characteristics of the newly released third generation of the EPs. The fifth chapter critically evaluates the EP III from an economic ethics and business ethics perspectives. The paper concludes with a summary of the main findings.
The paper uses fiscal reaction functions for a panel of euro-area countries to investigate whether euro membership has reduced the responsiveness of countries to shocks in the level of inherited debt compared to the period prior to succession to the euro. While we find some evidence for such a loss in prudence, the results are not robust to changes in the specification, such as an exclusion of Greece from the panel. This suggests that the current debt problems may result to a large extent from preexisting debt levels prior to entry or from a larger need for fiscal prudence in a common currency, while an adverse change in the fiscal reaction functions for most countries does not apply.
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts individual expected returns and magnitude of realized stock-specific crashes in the cross-section of stocks. An investor that cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and market index.
Um den Teufelskreis sich wechselseitig verstärkender Banken- und Staatsschuldenkrisen zu durchbrechen, haben sich die europäischen Institutionen grundsätzlich dazu bekannt, eine Bankenunion zu schaffen. Der Dreh- und Angelpunkt der verfolgten Strategie liegt dabei darin, durch die Schaffung zentraler, d.h. supranationaler Auffangmechanismen die Ausfallrisiken von Banken und Staaten nachhaltig zu entkoppeln. Dabei ist zu beachten, dass gerade auch die einzelnen Elemente des institutionellen Reformpakets in ihrer Binnenstruktur so beschaffen sein müssen, dass vorhersehbare Ineffizienzen nicht dazu führen, dass Vorteile der Supranationalisierung aufgehoben oder gar in ihr Gegenteil verkehrt werden. Der vorliegende Beitrag diskutiert den Verordnungsentwurf der EU Kommission für einen Single Resolution Mechanism (SRM) vor dem Hintergrund dieser Forderung.
This paper analyzes the evolving architecture for the prudential supervision of banks in the euro area. It is primarily concerned with the likely effectiveness of the SSM as a regime that intends to bolster financial stability in the steady state.
By using insights from the political economy of bureaucracy it finds that the SSM is overly focused on sharp tools to discipline captured national supervisors and thus under-incentives their top-level personnel to voluntarily contribute to rigid supervision. The success of the SSM in this regard will hinge on establishing a common supervisory culture that provides positive incentives for national supervisors. In this regard, the internal decision making structure of the ECB in supervisory matters provides some integrative elements. Yet, the complex procedures also impede swift decision making and do not solve the problem adequately. Ultimately, a careful design and animation of the ECB-defined supervisory framework and the development of inter-agency career opportunities will be critical.
The ECB will become a de facto standard setter that competes with the EBA. A likely standoff in the EBA’s Board of Supervisors will lead to a growing gap in regulatory integration between SSM-participants and other EU Member States.
Joining the SSM as a non-euro area Member State is unattractive because the cur-rent legal framework grants no voting rights in the ECB’s ultimate decision making body. It also does not supply a credible commitment opportunity for Member States who seek to bond to high quality supervision.
This paper analyzes the evolving architecture for the prudential supervision of banks in the euro area. It is primarily concerned with the likely effectiveness of the SSM as a regime that intends to bolster financial stability in the steady state. By using insights from the political economy of bureaucracy it finds that the SSM is overly focused on sharp tools to discipline captured national supervisors and thus underincentives their top-level personnel to voluntarily contribute to rigid supervision. The success of the SSM in this regard will hinge on establishing a common supervisory culture that provides positive incentives for national supervisors. In this regard, the internal decision making structure of the ECB in supervisory matters provides some integrative elements. Yet, the complex procedures also impede swift decision making and do not solve the problem adequately. Ultimately, a careful design and animation of the ECB-defined supervisory framework and the development of inter-agency career opportunities will be critical.
The ECB will become a de facto standard setter that competes with the EBA. A likely standoff in the EBA’s Board of Supervisors will lead to a growing gap in regulatory integration between SSM-participants and other EU Member States.
Joining the SSM as a non-euro area Member State is unattractive because the current legal framework grants no voting rights in the ECB’s ultimate decision making body. It also does not supply a credible commitment opportunity for Member States who seek to bond to high quality supervision.
This note reviews the legal issues and concerns that are likely to play an important role in the ongoing deliberations of the Federal Constitutional Court of Germany concerning the legality of ECB government bond purchases such as those conducted in the context of its earlier Securities Market Programme or potential future Outright Monetary Transactions.
This note reviews the legal issues and concerns that are likely to play an important role in the ongoing deliberations of the Federal Constitutional Court of Germany concerning the legality of ECB government bond purchases such as those conducted in the context of its earlier Securities Market Programme or potential future Outright Monetary Transactions.
Der vorliegende Beitrag zeigt auf, dass die zunehmende Komplexität der Aufgaben von Zentralbanken zu einer strukturellen Überforderung führen kann. Aufgrund der funktionellen Komplexität einer makroprudenziellen Prozesspolitik auf der Ziel- und Instrumentenebene sollte eher nach einer Reduktion als nach einer Ausweitung des makroprudenziellen Werkzeugkastens Ausschau gehalten werden. Weiterhin steht die sich derzeit teilweise noch vergrößernde institutionelle Komplexität der makroprudenziellen Politik ihrer funktionellen Komplexität um nichts nach. Bei entsprechenden Vorkehrungen können die bereits eingetretenen und die potenziellen Überforderungen jedoch zumindest teilweise in verkraftbare Herausforderungen überführt werden. Der Aufsatz schließt mit Empfehlungen für entsprechende Maßnahmen.
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European financial system during the ongoing sovereign debt crisis. Our analysis documents an increase in systemic risk contributions in the euro area during the post-Lehman global recession and especially after the beginning of the euro area sovereign debt crisis. We also find a considerable potential for cascade effects from small to large euro area sovereigns. When we investigate the effect of sovereign default on the European Union banking system, we find that bigger banks, banks with riskier activities, with poor asset quality, and funding and liquidity constraints tend to be more vulnerable to a sovereign default. Surprisingly, an increase in leverage does not seem to influence systemic vulnerability.