Refine
Year of publication
- 2014 (149) (remove)
Document Type
- Working Paper (149) (remove)
Language
- English (149) (remove)
Has Fulltext
- yes (149)
Is part of the Bibliography
- no (149)
Keywords
- financial crisis (6)
- monetary policy (6)
- transparency (4)
- Household Finance (3)
- Labor income risk (3)
- Portfolio choice (3)
- Systemic risk (3)
- asset pricing (3)
- financial literacy (3)
- shadow banking (3)
- systemic risk (3)
- Alternative investments (2)
- Asset Pricing (2)
- Asset Quality Review (2)
- Basel regulation (2)
- Business Cycle (2)
- Compensation Structure (2)
- Credit Spread (2)
- European Central Bank (2)
- Fiscal Policy (2)
- G-SIFIs (2)
- General Equilibrium (2)
- Greece (2)
- Health shocks (2)
- Household finance (2)
- Inside Debt (2)
- Marktdisziplin (2)
- OTC markets (2)
- Progressive Taxation (2)
- Recursive Preferences (2)
- Risk-Taking (2)
- Stochastic mortality risk (2)
- Transparenz (2)
- austerity (2)
- capital regulation (2)
- confidence (2)
- credit supply (2)
- financial regulation (2)
- growth (2)
- household finance (2)
- incomplete markets (2)
- internal ratings (2)
- investment (2)
- limited attention (2)
- market discipline (2)
- money market funds (2)
- panel VAR (2)
- prudential supervision (2)
- public debt (2)
- regulation (2)
- regulatory arbitrage (2)
- risk-taking (2)
- screening (2)
- simulated method of moments (2)
- stockholding (2)
- welfare (2)
- Aquinas (1)
- Arriaga (1)
- Art market (1)
- Art price index (1)
- Asset Allocation (1)
- Asset pricing (1)
- Asymmetry (1)
- Austerity Measures (1)
- Bail-in (1)
- Bank Capital (1)
- Bank Recovery and Resolution Directive (BRRD) (1)
- Bank lending standards (1)
- Banker's pay (1)
- Banking Stability (1)
- Banking crisis (1)
- Bantusprachen (1)
- Bayesian inference (1)
- Behavioral Insurance (1)
- Behavioral finance (1)
- Bitcoin (1)
- CDS (1)
- Capital requirements (1)
- Central Bank of Cyprus (1)
- Choquet expected utility (1)
- College dropout risk (1)
- College premium (1)
- Communication (1)
- Comprehensive Assessment (1)
- Conditional Pooling (1)
- Conditional response (1)
- Consumption (1)
- Contagion (1)
- Copula (1)
- Corporate Financing (1)
- Corporate Governance (1)
- Corporate Groups (1)
- Creative Commons (1)
- Credit supply (1)
- Creditor Protection (1)
- Crime (1)
- Criminal Law (1)
- Crisis contracts (1)
- Cultural Influences on Economic Behavior (1)
- Cumulative prospect theory (1)
- Cyprus (1)
- DSGE (1)
- Debt Securities (1)
- Decision under risk (1)
- Delaunay Interpolation (1)
- Dialoganalyse (1)
- Digital Humanities (1)
- Distribution (1)
- Dodd-Frank Act (1)
- Dynamic Models (1)
- Dynamic Networks (1)
- Dynamic Representative Consumer (1)
- Dynamic inconsistency (1)
- E.U. Corporate Law (1)
- ECB (1)
- ELA (1)
- EMU (1)
- EU economic and financial services legislation (1)
- Early modern criminal law (1)
- Education (1)
- Efficiency Wages (1)
- Endogenous Growth (1)
- Endogenous gridpoints Method (1)
- Epstein-Zin-Weil recursive preferences (1)
- Equity options (1)
- Equivalent Incomes (1)
- Euro Area (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 Union (1)
- European debt crisis (1)
- European integration (1)
- Excessive risk taking (1)
- Expenditure Survey (1)
- Explosive behavior (1)
- Exportrestriktionen für Rohstoffe (1)
- FBSDE (1)
- Feedback (1)
- Financial Distress (1)
- Financial Industry (1)
- Financial market (1)
- Fiscal Compact (1)
- Framing effects (1)
- Framing e↵ects (1)
- Frühneuzeit (1)
- GFSY (1)
- Gains from trade (1)
- German copyright law (1)
- German reunification (1)
- Government Debt (1)
- Gravity equations (1)
- Great Recession (1)
- Group Interesterest (1)
- Harald Maihold (1)
- Hawkes processes (1)
- Health Insurance (1)
- Health expenses (1)
- Health jumps (1)
- Hedging (1)
- Household Portfolios (1)
- Household Wealth (1)
- Household-Size Economies (1)
- Human capital (1)
- IMF Program Participation (1)
- Implied volatility (1)
- Impulse-response (1)
- Income Inequality (1)
- Inequality (1)
- Inflation Rate (1)
- Informationstechnologie (1)
- Insurance (1)
- Insurer Default Risk (1)
- Interbank Markets (1)
- Interest Rate Guarantees (1)
- Internationale Rohstoffabkommen (1)
- Internationales Investitionsschutzrecht (1)
- Investor behavior (1)
- Jumps (1)
- Kalman filter (1)
- Labor Market Deregulation (1)
- Laffer Curve (1)
- Lautstärke (1)
- Lebensversicherungen verlangen (1)
- Life Insurers (1)
- Life-cycle hypothesis (1)
- Linear Aggregation (1)
- Liquidity Coinsurance (1)
- Loan to income ratio (1)
- Loan to value ratio (1)
- Long-run Risk (1)
- MMFs (1)
- Market discipline (1)
- Maximum likelihood estimation (1)
- Medicare (1)
- Minority Shareholder Protection (1)
- Monetary Union (1)
- Monetary policy (1)
- Monte Carlo integration (1)
- Moral Hazar (1)
- Mortality risk (1)
- Mortgage affordability (1)
- Mortgage premia (1)
- Multi-Step estimation (1)
- Multitasking (1)
- Multivariate time series (1)
- Mutually Exciting Processes (1)
- Mutually exciting processes (1)
- Narratives of Justification (1)
- National Accounting (1)
- Naturzustand (1)
- Negative home equity (1)
- News media sentiment (1)
- Nonlinearity (1)
- Numerical Solution (1)
- On-the-Job Search (1)
- Open Source (1)
- Opfer (1)
- Optimal Asset Allocation (1)
- Output Growth (1)
- Outright Monetary Transactions (1)
- Panel Data (1)
- Panel Sample Selection Models (1)
- Philosophy of criminal law (1)
- Portfolio allocation (1)
- Power (1)
- Prediction (1)
- Pricing bubbles (1)
- Principle of guilt (1)
- Probabilistic Insurance (1)
- Product Market Deregulation (1)
- Punishment (1)
- Quantitative trade models (1)
- R&D (1)
- Real GDP (1)
- Reasons (1)
- Rechtssubjekt (1)
- Regression Discontinuity (1)
- Regulation Capital Requirements (1)
- Related Party Transactions (1)
- René Girard (1)
- Repeated Principal-Agent Model (1)
- Right to Justification (1)
- Risikobereitschaft (1)
- Risikohaftung (1)
- Risk Assessment (1)
- Risk Management of Insurance Companies (1)
- Risk channel (1)
- Rohstoffkonflikte (1)
- Roman (1)
- Romangestalt (1)
- Rubin Causal Model (1)
- SEC (1)
- Sacrifice (1)
- Saving puzzles (1)
- Scapegoat mechanism (1)
- Schuldprinzip (1)
- Secularisation (1)
- Selection (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)
- Social Insurance (1)
- Solvency (1)
- Solvency II (1)
- Sovereign guarantees (1)
- Sovereign risk (1)
- Sparse estimation (1)
- Speculative bubbles (1)
- Spätscholastik (1)
- Stimme (1)
- Stockholding (1)
- Strafe für fremde Schuld (1)
- Strafrecht der Frühen Neuzeit (1)
- Strafrechtsphilosophie (1)
- Straftheologie (1)
- Stress Test (1)
- Structural Change (1)
- Structural estimation (1)
- Ständige Souveränität über Natürliche Ressourcen (1)
- Störerhaftung (1)
- Survey Method (1)
- Survey Methods (1)
- Suárez (1)
- Syntax (1)
- Säkularisierung (1)
- Sündenbock-Mechanismus (1)
- TRACE (1)
- Tail Risk (1)
- Teilrechtsfähigkeit (1)
- Term life insurance (1)
- Theology of punishment (1)
- Thomism (1)
- Thomismus (1)
- Time variation (1)
- Too-big-to-fail (1)
- Top 1% (1)
- Trust (1)
- Trustworthiness (1)
- Tunneling (1)
- U.S. oil independence (1)
- UK (1)
- USA (1)
- Unemployment (1)
- VAR (1)
- Value premium (1)
- Value-at-Risk (1)
- Value-at-risk (1)
- Wealth Shocks (1)
- accounting data (1)
- advertising (1)
- affect heuristic (1)
- aggregate risk (1)
- aging (1)
- allocation bias (1)
- ambiguity (1)
- asset markets (1)
- asymmetric information (1)
- average treatment effect (1)
- bail-in (1)
- balance sheet adjustment (1)
- bank balance-sheet channel (1)
- bank capital requirements (1)
- bank regulation (1)
- bank resolution (1)
- bank resolution regimes (1)
- bank runs (1)
- banking (1)
- banking regulation (1)
- banking separation proposals (1)
- booms (1)
- bootstrap (1)
- bounded rationality (1)
- business equity (1)
- capacity constraints (1)
- capacity utilization (1)
- capture (1)
- central bank communication (1)
- central bank mandates (1)
- collateral (1)
- collective action (1)
- competition (1)
- competitive insurance market (1)
- consumer credit (1)
- consumer education (1)
- consumption expenditure (1)
- consumption hump (1)
- consumption smoothing (1)
- consumption-portfolio choice (1)
- contract addition (1)
- cooperation (1)
- coordination (1)
- counterfactual analysis (1)
- counterfactual decompositions (1)
- credit constraints (1)
- credit ratings (1)
- credit rationing (1)
- crisis (1)
- cross-subsidy (1)
- crowding out (1)
- debt consolidation (1)
- debt restructuring (1)
- default (1)
- deleveraging (1)
- density forecasting (1)
- disclosure (1)
- discretion (1)
- economic reforms (1)
- education (1)
- egulation of financial markets (1)
- emotions (1)
- equity premium (1)
- euro (1)
- euro area (1)
- exit strategies (1)
- experiment (1)
- experimental economics (1)
- experiments (1)
- export ban (1)
- familiarity (1)
- financial innovation (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)
- forbearance (1)
- forecast (1)
- foreign currency lending (1)
- foreign direct investment (1)
- forward guidance (1)
- futures (1)
- government debt (1)
- heterogeneous agents (1)
- heterogeneous firms (1)
- household debt (1)
- household liquidity (1)
- household savings (1)
- household-portfolio shares (1)
- households (1)
- housing (1)
- identification (1)
- idiosyncratic risk (1)
- imperfect labor market competition (1)
- impulse response (1)
- incentive compensation (1)
- incentives (1)
- incentives for investment (1)
- incomplete information (1)
- inflation persistence (1)
- infrastructure (1)
- innovation (1)
- insurance (1)
- intertemporal trade (1)
- intraday (co-)variation risk (1)
- inverse probability weighting (1)
- investment decisions (1)
- laboratory experiments (1)
- late scholastic (1)
- leisure (1)
- licence contracts (1)
- life insurance demand (1)
- life-cycle models (1)
- limit order book (1)
- limits to arbitrage (1)
- liquid assets (1)
- liquidity (1)
- liquidity externalities (1)
- liquidity premium (1)
- liquidity runs (1)
- loan officer (1)
- loan origination (1)
- local method of moments (1)
- local projection (1)
- local projections (1)
- long-run risk (1)
- long-term real interest rates (1)
- macroprudential supervision (1)
- market expectation (1)
- market fragmentation (1)
- market quality (1)
- matching (1)
- microprudential supervision (1)
- missing data (1)
- model uncertainty (1)
- money (1)
- monitoring (1)
- mortgages (1)
- multinational firms (1)
- mutual funds (1)
- nachrangiges Fremdkapital (1)
- net asset value (1)
- network topology (1)
- nonstandard asymptotics (1)
- oil price (1)
- oil sands (1)
- oil trade (1)
- option prices (1)
- order flow (1)
- output fluctuations (1)
- panel data (1)
- peer effects (1)
- peer to peer payment systems (1)
- performance pricing (1)
- performance-sensitive debt (1)
- politics (1)
- pooling equilibrium (1)
- populism (1)
- portfolio choice (1)
- predictive likelihood (1)
- price discovery (1)
- pricing (1)
- private business (1)
- productivity (1)
- propensity score (1)
- proprietary trading ban (1)
- public policy analysis (1)
- public-private relations (1)
- quantile regressions (1)
- rare disaster risk (1)
- reactive equilibrium (1)
- recession (1)
- refining (1)
- regression adjustment (1)
- risk perception (1)
- risk premia (1)
- risk premium (1)
- risk taking (1)
- robust inference (1)
- rules (1)
- securities (1)
- securities law and regulation (1)
- separating equilibrium (1)
- shale oil (1)
- slumps (1)
- smoothing (1)
- social dilemmas (1)
- social impact bonds (1)
- social interactions (1)
- social norm (1)
- social relations (1)
- social security (1)
- sovereign debt (1)
- sovereign exposures (1)
- sovereign risk (1)
- sovereignbank linkages (1)
- speculative trading (1)
- spillover effects (1)
- spot covariance (1)
- state of innocence (1)
- state of nature (1)
- statistical risk measurement (1)
- statistics (1)
- stochastic differential utility (1)
- structural breaks (1)
- structural estimation (1)
- structured products (1)
- subsistence consumption (1)
- surrogate punishment (1)
- systemic risk analysis (1)
- systemic risk contribution (1)
- tail dependence (1)
- tax competition (1)
- taxation (1)
- tight oil (1)
- too big to fail (1)
- too-big-to-fail (1)
- total loss absorbing capacity (TLAC) (1)
- trade (1)
- trade signaling (1)
- transactions (1)
- unconventional oil (1)
- underinvestment (1)
- unit root test (1)
- valuation discount (1)
- vertical differentiation (1)
- vertical fiscal imbalances (1)
- wage hump (1)
- weak identification (1)
- wealth inequality (1)
- yield spreads (1)
- fiscal multipliers (1)
- fiscal policy (1)
Institute
- Wirtschaftswissenschaften (128)
- Center for Financial Studies (CFS) (117)
- Sustainable Architecture for Finance in Europe (SAFE) (74)
- House of Finance (HoF) (71)
- Rechtswissenschaft (10)
- Institute for Monetary and Financial Stability (IMFS) (6)
- Exzellenzcluster Die Herausbildung normativer Ordnungen (4)
- Gesellschaftswissenschaften (3)
- Informatik (2)
- Institut für sozial-ökologische Forschung (ISOE) (2)
This paper is the first to conduct an incentive-compatible experiment using real monetary payoffs to test the hypothesis of probabilistic insurance which states that willingness to pay for insurance decreases sharply in the presence of even small default probabilities as compared to a risk-free insurance contract. In our experiment, 181 participants state their willingness to pay for insurance contracts with different levels of default risk. We find that the willingness to pay sharply decreases with increasing default risk. Our results hence strongly support the hypothesis of probabilistic insurance. Furthermore, we study the impact of customer reaction to default risk on an insurer’s optimal solvency level using our experimentally obtained data on insurance demand. We show that an insurer should choose to be default-free rather than having even a very small default probability. This risk strategy is also optimal when assuming substantial transaction costs for risk management activities undertaken to achieve the maximum solvency level.
We analyze the risk premium on bank bonds at origination with a special focus on the role of implicit and explicit public guarantees and the systemic relevance of the issuing institutions. By looking at the asset swap spread on 5,500 bonds, we find that explicit guarantees and sovereign creditworthiness have a substantial effect on the risk premium. In addition, while large institutions still enjoy lower issuance costs linked to the TBTF framework, we find evidence of enhanced market disciple for systemically important banks which face, since the onset of the financial crisis, an increased premium on bond placements.
One of the motivations for establishing a European banking union was the desire to break the ties with between national regulators and domestic financial institutions in order to prevent regulatory capture. However, supervisory authority over the financial sector at the national level can also have valuable public benefits. The aim of this policy letter is to detail these public benefits in order to counter discussions that focus only on conflicts of interest. It is informed by an analysis of how financial institutions interacted with policy-makers in the design of national bank rescue schemes in response to the banking crisis of 2008. Using this information, it discusses the possible benefits of close cooperation between financial institutions and regulators and analyzes these in the wake of a European banking union.
The recent decline in euro area inflation has triggered new calls for additional monetary stimulus by the ECB in order to counter the threat of a self‐reinforcing deflation and recession spiral. This note reviews the available evidence on inflation expectations, output gaps and other factors driving current inflation through the lens of the Phillips curve. It also draws a comparison to the Japanese experience with deflation in the late 1990s and the evidence from Japan concerning the outputinflation nexus at low trend inflation. The note concludes from this evidence that the risk of a selfreinforcing deflation remains very small. Thus, the ECB best await the impact of the long‐term refinancing operations decided in June that have the potential to induce substantial monetary accommodation once implemented for the first time in September.
he predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models with Bayesian methods, and proposes to utilize a missing observations consistent Kalman filter in the process of achieving this objective. As an empirical application, we analyze euro area data and compare the density forecast performance of a DSGE model to DSGE-VARs and reduced-form linear Gaussian models.
This paper contrasts the recent European initiatives on regulating corporate groups with alternative approaches to the phenomenon. In doing so it pays particular regard to the German codified law on corporate groups as the polar opposite to the piecemeal approach favored by E.U. legislation.
It finds that the European Commission’s proposal to submit (significant) related party transactions to enhanced transparency, outside fairness review, and ex ante shareholder approval is both flawed in its design and based on contestable assumptions on informed voting of institutional investors. In particular, the contemplated exemption for transactions with wholly owned subsidiaries allows controlling shareholders to circumvent the rule extensively. Moreover, vesting voting rights with (institutional) investors will not lead to the informed assessment that is hoped for, because these investors will rationally abstain from active monitoring and rely on proxy advisory firms instead whose competency to analyze non-routine significant related party transactions is questionable.
The paper further delineates that the proposed recognition of an overriding interest of the group requires strong counterbalances to adequately protect minority shareholders and creditors. Hence, if the Commission choses to go down this route it might end up with a comprehensive regulation that is akin to the unpopular Ninth Company Law Directive in spirit, though not in content. The latter prediction is corroborated by the pertinent parts of the proposal for a European Model Company Act.
How special are they? - Targeting systemic risk by regulating shadow banking : (October 5, 2014)
(2014)
This essay argues that at least some of the financial stability concerns associated with shadow banking can be addressed by an approach to financial regulation that imports its functional foundations more vigorously into the interpretation and implementation of existing rules. It shows that the general policy goals of prudential banking regulation remain constant over time despite dramatic transformations in the financial and technological landscape. Moreover, these overarching policy goals also legitimize intervention in the shadow banking sector. On these grounds, this essay encourages a more normative construction of available rules that potentially limits both the scope for regulatory arbitrage and the need for ever more rapid updates and a constant increase in the complexity of the regulatory framework. By tying the regulatory treatment of financial innovation closely to existing prudential rules and their underlying policy rationales, the proposed approach potentially ends the socially wasteful race between hare and tortoise that signifies the relation between regulators and a highly dynamic industry. In doing so it does not generally hamper market participants’ efficient discoveries where disintermediation proves socially beneficial. Instead, it only weeds-out rent-seeking circumventions of existing rules and standards.
How special are they? - Targeting systemic risk by regulating shadow banking : (October 5, 2014)
(2014)
This essay argues that at least some of the financial stability concerns associated with shadow banking can be addressed by an approach to financial regulation that imports its functional foundations more vigorously into the interpretation and implementation of existing rules. It shows that the general policy goals of prudential banking regulation remain constant over time despite dramatic transformations in the financial and technological landscape. Moreover, these overarching policy goals also legitimize intervention in the shadow banking sector. On these grounds, this essay encourages a more normative construction of available rules that potentially limits both the scope for regulatory arbitrage and the need for ever more rapid updates and a constant increase in the complexity of the regulatory framework. By tying the regulatory treatment of financial innovation closely to existing prudential rules and their underlying policy rationales, the proposed approach potentially ends the socially wasteful race between hare and tortoise that signifies the relation between regulators and a highly dynamic industry. In doing so it does not generally hamper market participants’ efficient discoveries where disintermediation proves socially beneficial. Instead, it only weeds-out rent-seeking circumventions of existing rules and standards.
We examine both the degree and the structural stability of inflation persistence at different quantiles of the conditional inflation distribution. Previous research focused exclusively on persistence at the conditional mean of the inflation rate. As economic theory provides reasons for inflation persistence to differ across conditional quantiles, this is a potentially severe constraint. Conventional studies of inflation persistence cannot identify changes in persistence at selected quantiles that leave persistence at the median of the distribution unchanged. Based on post-war US data we indeed find robust evidence for a structural break in persistence at all quantiles of the inflation process in the early 1980s. While prior to the 1980s inflation was not mean reverting, quantile autoregression based unit root tests suggest that since the end of the Volcker disinflation the unit root can be rejected at every quantile of the conditional inflation distribution.
Obstetrical care as a matter of time: ultrasound screening in anticipatory regimes of pregnancy
(2014)
This article explores the ways in which ultrasound screening influences the temporal dimensions of prevention in the obstetrical management of pregnancy. Drawing on praxeographic perspectives and empirically based on participant observation of ultrasound examinations in obstetricians’ offices, it asks how ultrasound scanning facilitates anticipatory modes of pregnancy management, and investigates the entanglement of different notions of time and temporality in the highly risk-oriented modes of prenatal care in Germany. Arguing that the paradoxical temporality of prevention – acting now in the name of the future – is intensified by ultrasound screening, I show how the attribution of risk regarding foetal growth in prenatal check-ups is based on the fragmentation of procreative time and ask how time standards come into play, how pregnancy is located in calendrical time, and how notions of foetal time and the everyday life times of pregnant women clash during negotiations between obstetricians and pregnant women about the determination of the due date. By analysing temporality as a practical accomplishment via technological devices such as ultrasound, the paper contributes to debates in feminist STS studies on the role of time in reproduction technologies and the management of pregnancy and birth in contemporary societies.