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Alle Jahre wieder findet in München die MünchnerSicherheitskonferenz statt. Und wie auch schon letztesJahr werden wir wieder darüber berichten. LisaKatharina Bogerts von der Gruppe “MSK Verändern”ist für uns vor Ort, das Team vom SiPo-Blog selbst istes leider nicht. Aber das soll uns nicht vom Kommentieren abhalten. DieBerichterstattung wird wieder auf diesem Blog erfolgen, sowohl mit späterenKommentaren als auch mit Liveblogs...
Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden deposit withdrawals): banks invest in risky government bonds as a form of capital buffer against liquidity risk. The model can replicate the positive connection between sovereign and bank risk observed in the data. Central bank liquidity policy, through full allotment policy, is successful in stabilizing the spiraling feedback loops between bank and sovereign risk.
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 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.
Tagungsbericht: Internationale Tagung, Magdeburg, 20. bis 22. Juni 2013
Dem spezifischen Verhältnis der Romantiker zu Begriffen der Arbeit und der Nicht-Arbeit in seiner historischen wie aktuellen Dimension widmete sich die DFG-geförderte Tagung "Arbeit und Müßiggang in der Romantik", die von Thorsten Unger (Magdeburg) in Kooperation mit Franz-Josef Deiters (Melbourne), Claudia Lillge (Paderborn) und Johanna-Elisabeth Palm (Fritz-Hüser-Institut Dortmund) an der Otto-von-Guericke-Universität Magdeburg veranstaltet wurde und internationale wie interdisziplinäre BeiträgerInnen versammelte.
Komparatistische Tagung an der Universität des Saarlandes 30.09. bis 01.10.2013.
Die narrativen Entwicklungen im seriellen Erzählen internationaler Fernsehproduktionen standen im Mittelpunkt der zweitägigen Konferenz an der Universität des Saarlandes (Campus Saarbrücken), die von Solange Landau, Jonas Nesselhauf und Markus Schleich organisiert wurde. Die 24 Vorträge ließen sich allgemein drei Fragekomplexen zuordnen: In verschiedenen Ansätzen wurde der Begriff des "Quality-TV" hinterfragt, reflektiert und neu bestimmt; daneben wurden unterschiedliche Formen der Rezeption sowie der Zuschauerbindung und -interaktion vorgestellt und analysiert. Der Schwerpunkt lag jedoch, ja bereits titelgebend, auf der 'Narration' der Fernsehserie: Sowohl im komparatistischen Vergleich verschiedener Serien, als auch anhand der Poetik einer einzelnen Produktion untersuchten die Referenten die Erscheinungsformen und die Möglichkeiten des Erzählens in Serie(n).