Refine
Year of publication
- 2017 (163) (remove)
Document Type
- Part of Periodical (93)
- Working Paper (65)
- Article (3)
- Report (2)
Has Fulltext
- yes (163)
Is part of the Bibliography
- no (163)
Keywords
- Financial Institutions (40)
- Banking Supervision (22)
- Banking Resolution (20)
- BRRD (19)
- Banking Regulation (18)
- Household Finance (15)
- SSM (15)
- Bail-in (14)
- Banking Union (14)
- Capital Markets Union (14)
- Financial Markets (14)
- Macro Finance (14)
- EIOPA (11)
- TLAC (11)
- ECB (10)
- Financial Literacy (9)
- MREL (9)
- Bank Restructuring (8)
- EBA (8)
- ESMA (8)
- Financial Stability (8)
- Saving (8)
- ABS (7)
- Bank Lending (7)
- Fintech (6)
- Monetary Policy (6)
- Private Investment (6)
- Quantitative Easing (6)
- Dodd-Frank Act (5)
- Pension (5)
- Pension Insurance (5)
- Clearing (4)
- Corporate Finance (4)
- Demography (4)
- Derivatives (4)
- Investor Protection (4)
- Low Interest Rates (4)
- National Competent Authorities (4)
- Savings Banks (4)
- Social System (4)
- Systemic Risk (4)
- bail-in (4)
- financial stability (4)
- EGC (3)
- SRM (3)
- Tax (3)
- Asset pricing (2)
- Building Societies (2)
- Corporate Governance (2)
- Crowdfunding (2)
- Culture (2)
- Endogenous growth (2)
- Euro (2)
- Financial Resilience (2)
- G-SIB (2)
- Guidelines (2)
- Heterogeneous innovation (2)
- Insurance (2)
- Internal Controls (2)
- Lebensversicherung (2)
- Life Insurance (2)
- MiFID II (2)
- Monetary Union (2)
- Principle of Proportionality (2)
- Rating Agencies (2)
- Regulation (2)
- Risk Management (2)
- Solvency (2)
- Tax Havens (2)
- Trading (2)
- Venture Capital (2)
- asset pricing (2)
- bank resolution (2)
- banking regulation (2)
- banking supervision (2)
- consumption-portfolio choice (2)
- financial crisis (2)
- global banks (2)
- market discipline (2)
- money in the utility function (2)
- stochastic control (2)
- stock demand (2)
- systemic risk (2)
- transmission (2)
- 401(k) plan (1)
- Adverse Selection (1)
- Annuities (1)
- Asset Prices (1)
- Asymmetric Tax Regimes (1)
- Auftrittsverbot (1)
- BVerfG (1)
- Board of Directors (1)
- CAPM (1)
- CDS (1)
- Creative destruction (1)
- Decomposition methods (1)
- Democratic Legitimacy (1)
- Digitalisierung (1)
- Digitalization (1)
- ECJ (1)
- EU banks (1)
- EU economic and financial services legislation (1)
- Economic and Monetary Union (1)
- Economics of Information (1)
- Epstein-Zin preferences (1)
- European Central Bank (1)
- European Insurance Union (1)
- European Insurance and Occupational Pensions Authority (1)
- European Supervisory Authorities (1)
- Expectation Error (1)
- Expectation Formation (1)
- Experience (1)
- Extrapolation (1)
- Financial Crises (1)
- Financial stability (1)
- Firm Investment (1)
- Fiscal policy (1)
- Fokker-Planck equation (1)
- Freibetrag (1)
- Gender Differences (1)
- Gender gap (1)
- German cooperative banks (1)
- German retirement system (1)
- German savings banks (1)
- Global Temperature (1)
- Government (1)
- Granger Causality (1)
- Grunderwerbsteuer (1)
- Grundsatz der Verhältnismäßigkeit (1)
- High-Frequency Traders (HFTs) (1)
- Horizontal sex segregation (1)
- IFRS 9 (1)
- Inclusive Finance (1)
- Insurance Companies (1)
- Insurance Supervision (1)
- Interest Rate Risk (1)
- International finance (1)
- Interne Kontrollen (1)
- Kalman Filter (1)
- Kultur (1)
- Labor Hoarding (1)
- Landeskreditbank Baden-Württemberg (1)
- Lapse Risk (1)
- Learning (1)
- Lebensversicherung Rückkauf (1)
- Life Insurance Surrender (1)
- Liquidity Provision (1)
- Liquidity premium (1)
- Microfinance (1)
- Motherhood penalty (1)
- Multi-Layer Network (1)
- NCAs (1)
- Network Combination (1)
- New Keynesian DSGE (1)
- OMT (1)
- ORSA (1)
- Opening Auction (1)
- Own Self Risk Assessment (1)
- Parameter Uncertainty (1)
- Persistence (1)
- Price Discovery (1)
- Price Uncertainty (1)
- Privacy (1)
- Proprietary Trading (1)
- Quantile Causality (1)
- R&D (1)
- R&D Investment (1)
- Real Effects (1)
- Real Estate (1)
- Recep Tayyip Erdoğan (1)
- Referral to the ECJ (1)
- Reformvorschläge (1)
- Regulierung (1)
- Replication (1)
- Risikomanagement (1)
- STS (simple, transparent, and standardized securitizations) (1)
- Screening (1)
- Share Deals (1)
- Single Supervisory Mechanism (1)
- Social Networks (1)
- Social Security claiming age (1)
- Solvabilitätsrichtlinien (1)
- Souveränität (1)
- Steuergestaltung (1)
- Stornorisiko (1)
- TIPS (1)
- TIPS–Treasury puzzle (1)
- Technology Adoption (1)
- Technology spillover (1)
- Time Inconsistency (1)
- Tontines (1)
- Transparency Aversion (1)
- Transparenz Aversion (1)
- Trust Game (1)
- US top-wealth shares (1)
- Versammlungsfreiheit (1)
- Versicherungen (1)
- Vorstand (1)
- Wage Rigidity (1)
- Welfare Costs (1)
- Zinsrisiko (1)
- adaptation (1)
- annuity (1)
- asset prices (1)
- bailout (1)
- bank integration (1)
- bank performance (1)
- bank sanctions (1)
- bank stability (1)
- banking and treasury functions (1)
- banking resolution (1)
- banking separation (1)
- banks (1)
- capital (1)
- capital injection to banks (1)
- capital taxation (1)
- commercial banks (1)
- cooperation (1)
- corporate governance (1)
- credit constraints (1)
- cross-border insolvency (1)
- crowdfunding (1)
- crowdinvesting (1)
- debt relief to households (1)
- delayed retirement (1)
- duration of civil proceedings (1)
- dynamic portfolio choice (1)
- early retirement (1)
- euro crisis (1)
- finance and employment (1)
- financial constraints (1)
- financial frictions (1)
- financial institutions (1)
- financial markets regulation (1)
- financial resilience (1)
- financing constraint (1)
- financing decisions (1)
- fintech (1)
- fiscal policy transmission (1)
- forecasting (1)
- general equilibrium (1)
- german banking system (1)
- german banks (1)
- growth (1)
- heterogeneous agents (1)
- heterogeneous expectations (1)
- housing debt crisis (1)
- inflation swaps (1)
- insurance (1)
- interconnections (1)
- interdependent preferences (1)
- internal capital markets (1)
- investment decisions (1)
- investor protection (1)
- jump risk (1)
- law enforcement (1)
- level and slope of implied volatility smile (1)
- leverage (1)
- lifetime income (1)
- liquidity (1)
- liquidity risk (1)
- long-run growth (1)
- macrofinancial linkages (1)
- macroprudential franework (1)
- macroprudential policy transmission (1)
- market infrastructure (1)
- mnimum distribution requirements (1)
- model comparison (1)
- model uncertainty (1)
- monetary penalties (1)
- monetary policy (1)
- monetary policy transmission (1)
- natural disasters (1)
- network (1)
- newly founded firms (1)
- non-performing assets (1)
- nonlinearity (1)
- pension (1)
- pensions (1)
- portfolio choice (1)
- precautionary recapitalization (1)
- private sector involvement (1)
- prohibition of proprietary trading (1)
- provisioning rules (1)
- regulation (1)
- repeated games (1)
- retention (1)
- retirement income (1)
- robust monetary policy (1)
- saving (1)
- shocks (1)
- social centralization (1)
- social dilemmas (1)
- social security (1)
- social security claiming (1)
- solvency shocks (1)
- stochastic volatility (1)
- structured finance (1)
- systematic risk (1)
- tax (1)
- temperature shocks (1)
- trend inflation (1)
- unemployment (1)
- volatility (1)
- wealth inequality (1)
- welfare costs (1)
- wholesale shocks (1)
- zero lower bound (1)
Institute
- Sustainable Architecture for Finance in Europe (SAFE) (163) (remove)
I propose a dynamic stochastic general equilibrium model in which the leverage of borrowers as well as banks and housing finance play a crucial role in the model dynamics. The model is used to evaluate the relative effectiveness of a policy to inject capital into banks versus a policy to relieve households of mortgage debt. In normal times, when the economy is near the steady state and policy rates are set according to a Taylor-type rule, capital injections to banks are more effective in stimulating the economy in the long-run. However, in the middle of a housing debt crisis, when households are highly leveraged, the short-run output effects of the debt relief are more substantial. When the zero lower bound (ZLB) is additionally considered, the debt relief policy can be much more powerful in boosting the economy both in the short-run and in the longrun. Moreover, the output effects of the debt relief become increasingly larger, the longer the ZLB is binding.
This paper studies the long-run effects of credit market disruptions on real firm outcomes and how these effects depend on nominal wage rigidities at the firm level. I trace out the long-run investment and growth trajectories of firms which are more adversely affected by a transitory shock to aggregate credit supply. Affected firms exhibit a temporary investment gap for two years following the shock, resulting in a persistent accumulated growth gap. I show that affected firms with a higher degree of wage rigidity exhibit a steeper drop in investment and grow more slowly than affected firms with more flexible wages.
A tontine provides a mortality driven, age-increasing payout structure through the pooling of mortality. Because a tontine does not entail any guarantees, the payout structure of a tontine is determined by the pooling of individual characteristics of tontinists. Therefore, the surrender decision of single tontinists directly affects the remaining members' payouts. Nevertheless, the opportunity to surrender is crucial to the success of a tontine from a regulatory as well as a policyholder perspective. Therefore, this paper derives the fair surrender value of a tontine, first on the basis of expected values, and then incorporates the increasing payout volatility to determine an equitable surrender value. Results show that the surrender decision requires a discount on the fair surrender value as security for the remaining members. The discount intensifies in decreasing tontine size and increasing risk aversion. However, tontinists are less willing to surrender for decreasing tontine size and increasing risk aversion, creating a natural protection against tontine runs stemming from short-term liquidity shocks. Furthermore we argue that a surrender decision based on private information requires a discount on the fair surrender value as well.
Expectations on others
(2017)
Stimmzettel als Denkzettel
(2017)
New provisioning rules introduced by IFRS 9 are expected to reduce the procyclicality of provisioning. Heterogeneity among banks in the procyclicality of provisioning may not only reflect the formal accounting rules, but also variation in discretionary provisioning policies. This paper presents empirical evidence on the heterogeneity of provisioning procyclicality among significant banks that are directly supervised by the ECB. In particular, this paper finds that provisioning is relatively procyclical at banks that have i) high loans-to-assets ratios, ii) high shares of non-interest income in total operating income, iii) low capitalization rates, and iv) low total assets. Supervisory guidance provided to banks on how to implement IFRS 9 has mostly been of a qualitative nature, and may prove inadequate to prevent an undesirably wide future variation in provisioning among EU banks.
This paper was provided at the request of the Committee on Economic and Monetary Affairs of the European Parliament and commissioned and drafted under the responsibility of the Economic Governance Support Unit (EGOV) of the European Parliament. It was originally published on the European Parliament’s webpage.
This paper analyzes the bail-in tool under the Bank Recovery and Resolution Directive (BRRD) and predicts that it will not reach its policy objective. To make this argument, this paper first describes the policy rationale that calls for mandatory private sector involvement (PSI). From this analysis, the key features for an effective bail-in tool can be derived.
These insights serve as the background to make the case that the European resolution framework is likely ineffective in establishing adequate market discipline through risk-reflecting prices for bank capital. The main reason for this lies in the avoidable embeddedness of the BRRD’s bail-in tool in the much broader resolution process, which entails ample discretion of the authorities also in forcing private sector involvement. Moreover, the idea that nearly all positions on the liability side of a bank’s balance sheet should be subjected to bail-in is misguided. Instead, a concentration of PSI in instruments that fall under the minimum requirements for own funds and eligible liabilities (MREL) is preferable.
Finally, this paper synthesized the prior analysis by putting forward an alternative regulatory approach that seeks to disentangle private sector involvement as a precondition for effective bank-resolution as much as possible form the resolution process as such.
Why MREL won’t help much
(2017)