SAFE working paper
https://safe-frankfurt.de/de/publikationen/working-papers.html
Refine
Year of publication
Document Type
- Working Paper (429) (remove)
Language
- English (429)
Has Fulltext
- yes (429)
Is part of the Bibliography
- no (429)
Keywords
- Liquidity (9)
- COVID-19 (8)
- General Equilibrium (7)
- welfare (7)
- Asset Pricing (6)
- ambiguity (6)
- climate change (6)
- competition (6)
- liquidity (6)
- Contagion (5)
- ESG (5)
- Household Finance (5)
- Portfolio choice (5)
- asset pricing (5)
- banking (5)
- human capital (5)
- systemic risk (5)
- Basel III (4)
- Business Cycle (4)
- Corporate Social Responsibility (4)
- Covid-19 (4)
- Credit Risk (4)
- Financial Crisis (4)
- Labor income risk (4)
- Systemic Risk (4)
- bail-in (4)
- financial crisis (4)
- household finance (4)
- leverage (4)
- peer effects (4)
- private equity (4)
- prudential supervision (4)
- regulatory arbitrage (4)
- social security (4)
- Artificial Intelligence (3)
- Asset Allocation (3)
- Banking Regulation (3)
- Banking Union (3)
- China (3)
- Corporate Bonds (3)
- Entrepreneurship (3)
- Financial Crises (3)
- Financial Stability (3)
- Fragmentation (3)
- Granger Causality (3)
- Health shocks (3)
- High-Frequency Trading (3)
- Household finance (3)
- Inside Debt (3)
- Interconnectedness (3)
- Liquidity Provision (3)
- Machine learning (3)
- Monetary Policy (3)
- Price Efficiency (3)
- Recursive Preferences (3)
- Retail investors (3)
- Single Supervisory Mechanism (3)
- Solvency II (3)
- Sustainable Finance (3)
- Sustainable Investments (3)
- Systemic risk (3)
- Unconventional Monetary Policy (3)
- aggregate risk (3)
- bank regulation (3)
- banking union (3)
- banks (3)
- capital regulation (3)
- capital structure (3)
- contagion (3)
- cooperation (3)
- corporate governance (3)
- credit supply (3)
- discrimination (3)
- financial literacy (3)
- habit formation (3)
- idiosyncratic risk (3)
- incentives (3)
- incomplete markets (3)
- inequality (3)
- laboratory experiments (3)
- leveraged buyouts (3)
- market discipline (3)
- monetary policy (3)
- political economy (3)
- recursive utility (3)
- regulation (3)
- retirement income (3)
- shadow banking (3)
- social interactions (3)
- social preferences (3)
- stochastic volatility (3)
- trading behavior (3)
- volatility (3)
- 401(k) plan (2)
- Asset pricing (2)
- Bailout (2)
- Banks (2)
- Bayesian inference (2)
- Board of Directors (2)
- Bond Markets (2)
- CDS (2)
- Choquet expected utility (2)
- Circuit Breaker (2)
- Collateral Policy (2)
- Compensation Structure (2)
- Competition (2)
- Consumption (2)
- Corporate Debt Structure (2)
- Corporate Governance (2)
- Credit Spread (2)
- Dark Trading (2)
- Disposition Effect (2)
- ECB (2)
- ESG Rating Agencies (2)
- ETFs (2)
- Economic and Monetary Union (2)
- Eligibility premium (2)
- Empirical Asset Pricing (2)
- Endogenous Growth (2)
- Endogenous growth (2)
- Equity Premium (2)
- European Banking Union (2)
- European Central Bank (2)
- Expected Returns (2)
- Experiment (2)
- FinTech (2)
- Financial Institutions (2)
- Financial literacy (2)
- Fund Flows (2)
- German reunification (2)
- Germany (2)
- Hawkes processes (2)
- Heterogeneous innovation (2)
- High-Frequency Traders (HFTs) (2)
- Homeownership (2)
- India (2)
- Inequality (2)
- Insurance (2)
- Interest Rate Guarantees (2)
- International Finance (2)
- Jumps (2)
- Learning (2)
- Life Insurance (2)
- Long-run Risk (2)
- Market Fragmentation (2)
- Market Liquidity (2)
- Market Microstructure (2)
- Market Quality (2)
- Mortality risk (2)
- OTC markets (2)
- P2P lending (2)
- Parameter Elicitation (2)
- Price Discovery (2)
- Product Market Competition (2)
- R&D (2)
- Real Effects (2)
- Regulation (2)
- Retail Investor (2)
- Risk Attitudes (2)
- Risk Preferences (2)
- Risk-Taking (2)
- Self-control (2)
- Social Networks (2)
- Sovereign Risk (2)
- Stochastic mortality risk (2)
- Term Structure of Interest Rates (2)
- Term life insurance (2)
- Time Inconsistency (2)
- Time Preferences (2)
- Volatility (2)
- Volatility Interruption (2)
- active shareholders (2)
- annuity (2)
- austerity (2)
- bailout (2)
- bank resolution (2)
- bank runs (2)
- borrowing constraints (2)
- bubbles (2)
- compensation (2)
- confidence (2)
- consumer credit (2)
- consumption (2)
- consumption hump (2)
- consumption-portfolio choice (2)
- credit funds (2)
- credit risk (2)
- crowdfunding (2)
- crowding out (2)
- crowdinvesting (2)
- debt sustainability (2)
- delayed retirement (2)
- dynamic portfolio choice (2)
- equity premium (2)
- euro area (2)
- executive compensation (2)
- financial advice (2)
- financial regulation (2)
- financial stability (2)
- financing decisions (2)
- financing policy (2)
- fintech (2)
- fiscal policy (2)
- fiscal reaction function (2)
- general equilibrium (2)
- global banks (2)
- green finance (2)
- growth (2)
- heterogeneous agents (2)
- household debt (2)
- individual investor (2)
- individual investors (2)
- inflation (2)
- institutional investors (2)
- insurance (2)
- interbank networks (2)
- investment (2)
- investment decisions (2)
- investments (2)
- jumps (2)
- lifetime income (2)
- liquidity provision (2)
- liquidity risk (2)
- longevity risk (2)
- managerial incentives (2)
- matching (2)
- money (2)
- monitoring (2)
- net zero transition (2)
- newly founded firms (2)
- non-bank financial intermediation (2)
- optimal investment (2)
- panel VAR (2)
- pension (2)
- pension reform (2)
- persistence (2)
- population aging (2)
- portfolio choice (2)
- predictability (2)
- principles-based regulation (2)
- professional networks (2)
- recapitalization (2)
- repeated games (2)
- retirement age (2)
- return predictability (2)
- risk taking (2)
- risk-taking (2)
- saving (2)
- securities regulation (2)
- social media (2)
- social norms (2)
- sovereign risk (2)
- stochastic differential utility (2)
- stock market participation (2)
- sustainability (2)
- syndicated loans (2)
- taxes (2)
- transmission (2)
- uncertainty (2)
- unconventional monetary policy (2)
- welfare loss (2)
- 13F filings (1)
- 2-Sector Model (1)
- AI borrower classification (1)
- AI enabled credit scoring (1)
- Adverse Selection (1)
- Age (1)
- Algorithmic Discrimination (1)
- Algorithmic transparency (1)
- Amortization payments (1)
- AnaCredit (1)
- Anchoring (1)
- Angel (1)
- Annual General Meeting (1)
- Annuity (1)
- Anonymity (1)
- Anticipated Inflation (1)
- Apache Spark (1)
- Asset Allocation, Contagion (1)
- Asset Liquidation (1)
- Asset Prices (1)
- Asset allocation (1)
- Asymmetric Information (1)
- Asymmetric Tax Regimes (1)
- Austerity Measures (1)
- Bank Bailout (1)
- Bank Capital (1)
- Bank Corporate Governance (1)
- Bank Credit (1)
- Bank Defaults (1)
- Bank Lending (1)
- Bank Recapitalization (1)
- Bank Resolution (1)
- Bank affiliation (1)
- Banking Stability (1)
- Banking Supervision (1)
- Banking stability (1)
- Bargaining (1)
- Basel regulation (1)
- Batch Learning (1)
- Bayesian learning (1)
- Behavioral Measurement (1)
- Belief Formation (1)
- Belief up-dating (1)
- Beliefs (1)
- Big Data (1)
- Big Five (1)
- Big Five Personality (1)
- Big Three (1)
- Big data (1)
- Bitcoin (1)
- Board Appointments (1)
- Bond risk premia (1)
- Broker (1)
- Bubbles (1)
- Bunching (1)
- Business Subsidies (1)
- C corporations (1)
- CAPM (1)
- COVID-19 Pandemic (1)
- COVID-19 news (1)
- Capital Purchase Program (1)
- Car Loans (1)
- Carbon Taxation (1)
- Carbon abatement (1)
- Causal Machine Learning (1)
- Central Banking (1)
- Central Clearing (1)
- Central Counterparty Clearing House (CCP) (1)
- Centrality (1)
- Choice under Risk (1)
- Citation Network Analysis (1)
- Climate Change (1)
- Climate change (1)
- Climate change economics (1)
- Clustering (1)
- Co-residence (1)
- CoCo Bond (1)
- CoCo bonds (1)
- Coco bonds (1)
- Cognition (1)
- Collateral (1)
- Collateral Constraint (1)
- Colocation (1)
- Commodities (1)
- Comovements (1)
- Confirmatory Bias (1)
- Connectivity (1)
- Consumer credit (1)
- Consumer financial protection (1)
- Consumption hump (1)
- Consumption-portfolio choice (1)
- Contagion Risk (1)
- Contingent Convertible Capital (1)
- Contract terms (1)
- Coronavirus (1)
- Corporate Distress (1)
- Corporate Groups (1)
- Corporate Name Change (1)
- Corporate concentration (1)
- Corporate financing (1)
- Counterparty Risk (1)
- Creative destruction (1)
- Credit Default Swap (CDS) (1)
- Credit lines (1)
- Creditor Protection (1)
- Cross-Predictability (1)
- Cross-Section of Returns (1)
- Cryptocurrencies (1)
- Cultural Influences on Economic Behavior (1)
- Cumulative prospect theory (1)
- Customer data sharing (1)
- DCC-GARCH (1)
- DSGE models (1)
- Dark Pools (1)
- Data access (1)
- Data portability (1)
- Database linking (1)
- Default (1)
- Delaunay Interpolation (1)
- Democratic Legitimacy (1)
- Demographic Change (1)
- Depreciation (1)
- Derivatives (1)
- Designated Market Makers (DMMs) Market Making (1)
- DiD (1)
- Dictionary (1)
- Different Beliefs (1)
- Digital footprints (1)
- Digitalized Markets (1)
- Disclosure (1)
- Discount Rates (1)
- Discourse (1)
- Disintegration (1)
- Distributed Computing (1)
- Dividend Payments (1)
- Dividend Policy (1)
- Dividends (1)
- Double Volume Caps (1)
- Durable consumption (1)
- Duration of Civil Proceedings (1)
- Dynamic Models (1)
- Dynamic Networks (1)
- Dynamic and Reliable Regulation (1)
- Dynamic inconsistency (1)
- E.U. Corporate Law (1)
- ESG Investing (1)
- ESG ratings (1)
- ESM (1)
- EU (1)
- EU countries (1)
- EU industrial production (1)
- Econometrics (1)
- Economics (1)
- Education Subsidy (1)
- Efficiency Wages (1)
- Emissions (1)
- Endogenous Asset Market Participation (1)
- Endogenous gridpoints Method (1)
- Energy Efficiency (1)
- Energy Performance Certificate (1)
- Energy efficiency (1)
- Enriched Digital Footprint (1)
- Entity matching (1)
- Entity resolution (1)
- Entrepreneurial Finance (1)
- Environmental, social, and governance factors (ESG) (1)
- Epstein-Zin preferences (1)
- Equilibrium Thinking (1)
- Equity options (1)
- Ethics (1)
- Euro-zone Government Bonds (1)
- European Banking Authority (1)
- European Banking Authority (EBA) (1)
- European Capital Markets Union (1)
- European Central Bank (ECB) (1)
- European Commission (1)
- European Investment Bank (1)
- European Market Infrastructure Regulation (EMIR) (1)
- European Stability Mechanism (1)
- European Systemic Risk Board (1)
- European debt crisis (1)
- European integration (1)
- Eurosystem collateral eligibility (1)
- Excess sensitivity (1)
- Execution Cost (1)
- Executive Compensation (1)
- Executive Remuneration (1)
- Expectation Error (1)
- Expectation Formation (1)
- Expectation formation (1)
- Expectations (1)
- Expectation–Maximisation (1)
- Expected credit losses (1)
- Experience (1)
- Experimental Asset Markets (1)
- Experimental Economics (1)
- Experimental Finance (1)
- Explainable machine learning (1)
- Externalities (1)
- Extracurricular Activities (1)
- Extrapolation (1)
- FBSDE (1)
- Fair value accounting (1)
- Family dynamics (1)
- Feedback (1)
- Field Experiment (1)
- Filtering (1)
- Finance and Employment (1)
- Financial Advice (1)
- Financial Constraints (1)
- Financial Distress (1)
- Financial Education (1)
- Financial Frictions (1)
- Financial Literacy (1)
- Financial Market Cycles (1)
- Financial Markets (1)
- Financial Networks (1)
- Financial crisis (1)
- Financial distress (1)
- Financial education (1)
- Financial stability (1)
- Financing Conditions (1)
- Financing Constraints (1)
- Financing Costs (1)
- Fintech (1)
- Firm Investment (1)
- Firm valuation (1)
- Firm-bank relationship (1)
- Firms (1)
- Fiscal Capacity (1)
- Fiscal Crisis (1)
- Fiscal Policy (1)
- Fiscal Stabilization (1)
- Fiscal policy (1)
- Fiscal theory of the price level (1)
- Fixed Income (1)
- Fixed-Income (1)
- Flash Crash (1)
- Flight-to-safety (1)
- Formalism (1)
- Formative experiences (1)
- Forward-looking models (1)
- Frictions (1)
- G-SIB (1)
- GDP growth (1)
- GFSY (1)
- GMM Estimation (1)
- Gambling (1)
- Game Theory (1)
- Gender Differences (1)
- General Equilibrium Asset Pricing (1)
- Generations (1)
- German corporate governance (1)
- Germany Inc. (1)
- Gig-economy (1)
- Gini (1)
- Global Temperature (1)
- Governance (1)
- Government (1)
- Government debt (1)
- Granger causality (1)
- Green Nudging (1)
- Green Quantitative Easing (1)
- Greenwashing (1)
- Group Interesterest (1)
- Habit-formation (1)
- Hazard estimation (1)
- Health expenses (1)
- Health jumps (1)
- Heterogeneous Agents (1)
- Heterogeneous Firms (1)
- Heterogeneous Preferences (1)
- Heterogeneous agents (1)
- Hidden State (1)
- High Frequency Data (1)
- High-Frequency Trading (HFT) (1)
- High-frequency event study (1)
- Higher Moments of Return (1)
- Home ownership (1)
- Homestead exemptions (1)
- Homophily (1)
- Hong test (1)
- House prices (1)
- Household Portfolios (1)
- Household Wealth (1)
- Household saving (1)
- Hybrid Markets (1)
- IV approach (1)
- Identification (1)
- Idiosyncratic Risk (1)
- Idiosyncratic volatility puzzle (1)
- Immediacy (1)
- Implicit Guarantees (1)
- Implied volatility (1)
- Impulse-response (1)
- Incentives (1)
- Income and Wealth Inequality (1)
- Incomplete Markets (1)
- Incomplete markets (1)
- Incubator (1)
- Incurred loss model (1)
- Individual Investors (1)
- Individual investors (1)
- Industry Classification (1)
- Inflation (1)
- Inflation Beliefs (1)
- Information Acquisition (1)
- Information Frictions (1)
- Information Production (1)
- Information Treatment (1)
- Information processing (1)
- Infrastructure (1)
- Innovation (1)
- Institution formation (1)
- Institutional Investor (1)
- Institutional Investors’ Ownership (1)
- Insurance Activities (1)
- Insurance Companies (1)
- Integrated Assessment Model (1)
- Interbank Markets (1)
- Interdealer Brokerage (1)
- Interest Rate Risk (1)
- Intermediated work (1)
- International finance (1)
- International relationships (1)
- Investment Styles (1)
- Investment attitudes (1)
- Investment funds (1)
- Investment-Specific Shocks (1)
- Investor behavior (1)
- Investor education (1)
- Investor sentiment (1)
- Investors Heterogeneity (1)
- Job Match Quality (1)
- LBO spillovers (1)
- LBOs (1)
- LSTM neural networks (1)
- Labor Hoarding (1)
- Labor Income Risk (1)
- Labor Markets (1)
- Law Enforcement (1)
- Leading indicator (1)
- Lending (1)
- Leverage (1)
- Leveraged buyouts (1)
- Life Events (1)
- Life Insurance Surrender (1)
- Life Insurers (1)
- Life course transitions (1)
- Life-Cycle Model (1)
- Life-cycle hypothesis (1)
- Limits to Arbitrage (1)
- Liquidity Coinsurance (1)
- Liquidity Risk (1)
- Liquidity Shock (1)
- Liquidity premium (1)
- Liquidity provider incentives (1)
- Liquidity provision (1)
- Living Wills (1)
- Loan loss accounting (1)
- Locus of control (1)
- Long-Run Risk (1)
- Long-run risk (1)
- Loss Sharing (1)
- Loss-aversion (1)
- Lottery stocks (1)
- Low-emission vehicles (1)
- MREL (1)
- MTS Bond Market (1)
- Machine Learning (1)
- Macroeconomics (1)
- Macroprudential policy (1)
- Margin (1)
- Marginal Propensity to Consume (1)
- Market (in)completeness (1)
- Market Design (1)
- Market Discipline (1)
- Market Fragility (1)
- Market Structure (1)
- Market efficiency (1)
- Market fragmentation (1)
- Marketplace lending (1)
- Maximum Likelihood (1)
- Mental models (1)
- Meritocracy (1)
- MiFID II (1)
- Minority Shareholder Protection (1)
- Mitigation (1)
- Model Selection (1)
- Model-based regulation (1)
- Monetary Policy Surprises (1)
- Money Market (1)
- Moral Hazar (1)
- Morality (1)
- Mortgage design (1)
- Mortgage supply (1)
- Mortgages (1)
- Multi-Layer Network (1)
- Multi-level marketing (1)
- Multilayer networks (1)
- Multitasking (1)
- Mundellian trilemma (1)
- Mutual Funds (1)
- Mutual funds (1)
- Mutually Exciting Processes (1)
- Mutually exciting processes (1)
- NLP (1)
- Narrative Approach (1)
- Net-zero transition (1)
- Network Combination (1)
- Network Communities (1)
- Network theory (1)
- Networks (1)
- Nominal Rigidities (1)
- Non-bank lead arrangers (1)
- Nonlinear Filtering (1)
- Nonlinear solution methods (1)
- Numerical Solution (1)
- OTC Markets (1)
- OTC derivatives (1)
- Obfuscation (1)
- Oil (1)
- Oil market (1)
- On-the-Job Search (1)
- Online Poker (1)
- Open banking (1)
- Opening Auction (1)
- Opening Call Auction (1)
- Optimal Regulation (1)
- Optimal monetary policy (1)
- Optimism (1)
- Over-Confidence (1)
- Overlapping Generations (1)
- Overlapping generations (1)
- Pandemic (1)
- Partial Information (1)
- Paycheck Protection Program (1)
- Paycheck Sensitivity (1)
- Pecuniary Externality (1)
- Peer effects (1)
- Peers (1)
- Persistent and Transitory Income Shocks (1)
- Personal Finance (1)
- Personal bankruptcy (1)
- Personality traits (1)
- Petroleum-based Economies (1)
- Pivotality (1)
- Planning (1)
- Policy Effects (1)
- Pollution (1)
- Portfolio Choice (1)
- Portfolio Management (1)
- Portfolio Rebalancing (1)
- Portfolio allocation (1)
- Pre-Opening (1)
- Precautionary Saving (1)
- Preference Stability (1)
- Preference for early resolution of uncertainty (1)
- Preference survey module (1)
- Price Competition (1)
- Price Pressures (1)
- Private equity (1)
- Probability Weighting Function (1)
- Product returns (1)
- Production (1)
- Production Economy (1)
- Program Evaluation (1)
- Progressive Taxation (1)
- Proprietary Trading (1)
- Prosociality (1)
- Prospect Theory (1)
- Prudential filter (1)
- Public Goods (1)
- Public financial news (1)
- Public-Private Partnerships (1)
- Quantile Causality (1)
- Quantitative Easing (1)
- Quantitative easing (1)
- R&D Investment (1)
- R&D expenses (1)
- Rational Inattention (1)
- Real options (1)
- Realization Utility (1)
- Record resolution (1)
- Recursive Utility (1)
- Redemptions (1)
- Referrals (1)
- Related Party Transactions (1)
- Repeated Games (1)
- Repeated Principal-Agent Model (1)
- Repo Specialness (1)
- Reputation (1)
- Resolution Planning (1)
- Responsible investment (1)
- Restructuring (1)
- Return predictability (1)
- Risk Assessment (1)
- Risk Aversion (1)
- Risk Measurement (1)
- Risk Pooling (1)
- Risk Premium (1)
- Risk taking (1)
- Rubin Causal Model (1)
- S corporations (1)
- S&P 500 (1)
- SIFI (1)
- SME Trading (1)
- SRB (1)
- SRF (1)
- Saving puzzles (1)
- Say on Pay (1)
- Screening (1)
- Search Frictions (1)
- Securities Market Regulation (1)
- Securitization (1)
- Segmentation (1)
- Self-Control (1)
- Self-exciting Processes (1)
- Selling Behavior (1)
- Sentiment Analysis (1)
- Shareholder Letters (1)
- Shareholder Rights Directive (1)
- Short-run Risk (1)
- Signaling (1)
- Similarity (1)
- Similarity encoding (1)
- Sin Stocks (1)
- Single Resolution Mechanism (1)
- Skewness (1)
- Slow-Moving Capital (1)
- Small Business (1)
- Social Security (1)
- Social Security claiming (1)
- Social Security claiming age (1)
- Social media (1)
- Social networks (1)
- Socially responsible investing (1)
- Sociology of Finance (1)
- Sovereign (1)
- Sovereign Bonds (1)
- Sovereign credit risk (1)
- Sovereign debt (1)
- Sovereign default (1)
- Sovereign risk (1)
- Sparsity (1)
- Spatial autoregressive model (1)
- Speculation (1)
- Spike–and–Slab prior (1)
- Stages (1)
- Stay-Home (1)
- Stochastic Search Variable Selection (1)
- Stochastic volatility (1)
- Stock Market (1)
- Stock Market Participation (1)
- Stock Markets (1)
- Stock market (1)
- Stock market wealth (1)
- Stockholding (1)
- Stress Test (1)
- Structural Bank Reform (1)
- Structured retail products (1)
- Subjective Survival Beliefs (1)
- Subjective expectations (1)
- Supervision (1)
- Survey Data (1)
- Systematic Risk (1)
- Systemic events (1)
- Systemically Important Financial Institutions (1)
- TARP (1)
- TIPS (1)
- TIPS–Treasury puzzle (1)
- TLAC (1)
- Tail Risk (1)
- Tail risk (1)
- Tax Cuts and Jobs Act (1)
- Tax Multiplier (1)
- Taxation of Capital (1)
- Taylor rule (1)
- Technology Adoption (1)
- Technology Park (1)
- Technology spillover (1)
- Textual Analysis (1)
- The Community Reinvestment Act (1)
- Time-varying networks (1)
- Tobin tax (1)
- Too-Big-To-Fail (1)
- Top Income Taxation (1)
- Toxic Emissions (1)
- Trading (1)
- Trading volume (1)
- Transaction Data (1)
- Transaction costs (1)
- Transitional Dynamics (1)
- Transparency (1)
- Tree-based models (1)
- Trust (1)
- Trust Game (1)
- Tunneling (1)
- Turning points (1)
- Twitter (1)
- Uncertainty (1)
- Unconventional Monetary policy (1)
- Utility Functions (1)
- Utility Theory (1)
- Utilization (1)
- VAR estimation (1)
- VaR (1)
- Value-at-risk (1)
- Variance Risk Premium (1)
- Venture Capital (1)
- Venue Choice (1)
- WHO alerts (1)
- Wage Rigidity (1)
- Wage rigidity (1)
- Weak Instruments (1)
- Wealth shocks (1)
- Welfare Costs (1)
- WpHG (1)
- XAI (1)
- Zombie Lending (1)
- adaptation (1)
- adviser (1)
- age (1)
- age limits (1)
- agency (1)
- agglomeration (1)
- allocation bias (1)
- ambiguity premium (1)
- angel finance (1)
- anomalies (1)
- asset markets (1)
- asset prices (1)
- asset purchases (1)
- asset-backed securities (1)
- assetbacked securities (1)
- asymmetric shocks (1)
- attention (1)
- attitudes towards inequality (1)
- auction format (1)
- average treatment effect (1)
- backward stochastic differential equation (1)
- bailouts (1)
- balance of payments (1)
- bank (1)
- bank capital ratios (1)
- bank integration (1)
- bank lending (1)
- bank performance (1)
- bank stability (1)
- banking networks (1)
- banking regulation (1)
- behavioral economics (1)
- belief effect (1)
- belief estimation (1)
- belief formation (1)
- belief updates (1)
- belief updating (1)
- beliefs (1)
- benchmarks (1)
- betting (1)
- bid-ask spread (1)
- bidder surplus (1)
- big data (1)
- biometric risks (1)
- booms (1)
- bounded rationality (1)
- brown-spinning (1)
- bureaucrats' incentives (1)
- call auctions (1)
- capacity utilization (1)
- capital maintenance (1)
- capital markets (1)
- capital ratios (1)
- caps (1)
- cash-in-advance (1)
- catastrophic events (1)
- catastrophic risk (1)
- central bank policy (1)
- central counter parties (1)
- centralisation (1)
- centrality metrics (1)
- cheating (1)
- client involvement (1)
- climate behavior (1)
- climate policies (1)
- climate risk (1)
- coinvestment (1)
- collateral reuse (1)
- collective action clauses (1)
- commercial banks (1)
- common ownership (1)
- communication (1)
- compensation design (1)
- competitive equilibrium (1)
- competitiveness (1)
- compliance behavior (1)
- conditionality (1)
- confirmatory biases (1)
- conflict of laws (1)
- connected industries (1)
- construction procurement (1)
- consumer education (1)
- consumer protection (1)
- consumption commitments (1)
- consumption expenditure (1)
- consumption smoothing (1)
- consumption-based models (1)
- consumption-portfolio decisions (1)
- contest (1)
- contingent capital (1)
- continuous limit order book (1)
- contract law (1)
- conventional monetary policy (1)
- convergence (1)
- coordination (1)
- corporate bonds (1)
- corporate deposits (1)
- corporate finance (1)
- corporate governance codes (1)
- corporate income tax (1)
- corporate restructuring (1)
- corporate savings (1)
- corporate taxation (1)
- counterfactual analysis (1)
- counterfactual thinking (1)
- credence goods (1)
- credit default swap (1)
- credit rationing (1)
- credit scoring (1)
- credit scoring methodology (1)
- credit scoring regulation (1)
- cross-border insolvency (1)
- cross-section of expected stock returns (1)
- cross-section of stock return (1)
- cross-section of stock returns (1)
- crowdlending (1)
- crowdsponsoring (1)
- current account (1)
- cycle flows (1)
- cyclical liabilities (1)
- dash-for-cash (1)
- debt consolidation (1)
- debt cost (1)
- decentralization theorem (1)
- default (1)
- deleveraging (1)
- democracy (1)
- demographic change (1)
- deposit insurance (1)
- deregulation (1)
- designated market makers (1)
- dictator game (1)
- die game milk (1)
- differences of opinion (1)
- digital planning tool (1)
- disaster risk (1)
- discourse analysis (1)
- discretionary lending (1)
- distress (1)
- distributional consequences of monetary policy (1)
- divestments (1)
- dividends (1)
- dollar funding (1)
- duration of civil proceedings (1)
- duration of pay (1)
- dynamic correlation (1)
- dynamic inconsistency (1)
- dynamic model (1)
- early retirement (1)
- economic governance (1)
- economic preferences (1)
- economic rationality (1)
- economies of scale (1)
- education (1)
- educational intervention (1)
- elections (1)
- electricity (1)
- emissions trading system (ETS) (1)
- employees (1)
- employer-employee level dataset (1)
- endogenous information acquisition (1)
- endogenous risk (1)
- energy (1)
- energy crisis (1)
- entrepreneurial spawning (1)
- entrepreneurship (1)
- equity (1)
- equity cost (1)
- equity market integration (1)
- erm structure of interest rates (1)
- event study (1)
- exit (1)
- exit strategies (1)
- experiences (1)
- experimental asset markets (1)
- experimental economics (1)
- externalities (1)
- extreme value theory (1)
- factor timing (1)
- fairness (1)
- familiarity (1)
- federal transfers (1)
- fiduciary (1)
- field study (1)
- filtering (1)
- finance (1)
- finance and employment (1)
- finance wage premium (1)
- financial constraints (1)
- financial contracts (1)
- financial disasters (1)
- financial fragility (1)
- financial frictions (1)
- financial institutions (1)
- financial literacy determinants (1)
- financial market (1)
- financial markets (1)
- financial privacy (1)
- financial retrenchment (1)
- financial risk-taking (1)
- financial solidarity (1)
- financial spillover (1)
- financing (1)
- financing constraint (1)
- fire sales (1)
- firm growth (1)
- first-price auctions (1)
- fiscal adjustment (1)
- fiscal austerity (1)
- fiscal decentralization (1)
- fiscal federalism (1)
- fiscal multipliers (1)
- fiscal solidarity (1)
- fiscal stress (1)
- fiscal union (1)
- fixed point approach (1)
- flash crashes (1)
- flexible-hour contracts (1)
- foreign portfolio investment (1)
- fragmentation (1)
- free dividend fallacy (1)
- frequent batch auctions (1)
- funding dry-ups (1)
- game perceptions (1)
- gender wage gap (1)
- genetics (1)
- geographic expansion (1)
- global preference survey (1)
- goal orientation (1)
- government bonds (1)
- green financing (1)
- group identity (1)
- group law (1)
- group size (1)
- habit (1)
- health (1)
- hedge funds (1)
- hedging (1)
- hedging errors (1)
- heterogeneity (1)
- heterogeneous beliefs (1)
- heterogeneous monetary policy response (1)
- heterogeneous wage rigidity (1)
- high consumption volatility (1)
- high-frequency data (1)
- high-frequency traders (HFTs) (1)
- high-frequency trading (1)
- holdout litigation (1)
- household finance (1)
- households (1)
- housing (1)
- housing expenditure share (1)
- ideational shift (1)
- identification (1)
- idle time (1)
- impatience (1)
- implied correlation (1)
- implied volatility (1)
- impulse analysis (1)
- incentive pay (1)
- income dependent inflation (1)
- incomplete information (1)
- independent private values (1)
- index funds (1)
- individual retirement account (1)
- industrial organization (1)
- inference (1)
- inflation swaps (1)
- informal loans (1)
- informal markets (1)
- information demand (1)
- information flow (1)
- information processing (1)
- informativeness principle (1)
- input-output (1)
- insurance industry (1)
- interbank market (1)
- interbank markets (1)
- interbank network (1)
- interconnections (1)
- interdependent preferences (1)
- interest rate risk (1)
- intergenerational persistence (1)
- internal capital markets (1)
- internal ratings (1)
- international diversification benefits (1)
- international taxation (1)
- inverse probability weighting (1)
- investment behavior (1)
- investment biases (1)
- investment forum (1)
- investment guarantee (1)
- investment mistakes (1)
- investor behavior (1)
- investor protection (1)
- investor sentiment (1)
- isk premiums (1)
- jump risk (1)
- jumps in aggregate consumption (1)
- jumps in the longrun growth rate (1)
- labelling (1)
- labels (1)
- labor demand (1)
- labor hoarding (1)
- labor income (1)
- labor market (1)
- labor mobility (1)
- labor supply (1)
- laboratory experiment (1)
- labour economics (1)
- labour market policies (1)
- large language models (1)
- latency arbitrage (1)
- law and finance (1)
- law enforcement (1)
- learning strategy (1)
- leisure (1)
- lending (1)
- level and slope of implied volatility smile (1)
- life cycle model (1)
- life expectancy (1)
- life-cycle (1)
- life-cycle behavior (1)
- life-cycle household decisions (1)
- life-cycle hypothesis (1)
- life-cycle utility maximization (1)
- lifecycle (1)
- likelihood insensitivity (1)
- limited arbitrage (1)
- liquid assets (1)
- liquidity premium (1)
- loan officer (1)
- loan origination (1)
- local projection (1)
- local projections (1)
- locally non-diversifiable risk (1)
- location decisions (1)
- long-run growth (1)
- long-run risk (1)
- longevity (1)
- losses (1)
- lottery-type assets (1)
- lump sum (1)
- macro-prudential policy (1)
- macro-prudential supervision (1)
- macroprudential regulation (1)
- macroprudential supervision (1)
- management compensation (1)
- mandatory disclosure (1)
- marginal propensity to consume (1)
- market design (1)
- market enforcement (1)
- market infrastructure (1)
- market making (1)
- market microstructure (1)
- market price (1)
- market-based (1)
- maturity (1)
- measure of ambiguity (1)
- media polarization (1)
- mergers and acquisitions (1)
- microdata (1)
- microfoundations (1)
- microprudential supervision (1)
- misperception (1)
- mnimum distribution requirements (1)
- monetary policy surprise (1)
- monetary policy surprise shocks (1)
- monetary transmission (1)
- monetary transmission mechanism (1)
- money in the utility function (1)
- money market funds (1)
- mood (1)
- moral hazard (1)
- moral values (1)
- mortgages (1)
- motivated beliefs (1)
- motivated reasoning (1)
- motivation for honesty (1)
- multi-unit auctions (1)
- multiple point of entry (1)
- multiplex networks (1)
- national interest (1)
- natural disasters (1)
- natural experiment (1)
- natural gas (1)
- natural rate (1)
- neoinstitutionalism (1)
- net-zero arbitrage (1)
- net-zero plans and targets (1)
- network (1)
- network analysis (1)
- network formation (1)
- network model (1)
- networks (1)
- non-Bayesian updates (1)
- non-linear VAR (1)
- non-performing assets (1)
- online borrowing (1)
- open economy (1)
- operational performance (1)
- opinion (1)
- optimal stopping (1)
- optimum currency area (1)
- option prices (1)
- option-implied distribution (1)
- otc derivatives markets (1)
- outgroup derogation (1)
- output fluctuations (1)
- overlapping generations (1)
- ownership concentration (1)
- ownership disclosure (1)
- pandemics (1)
- panel data (1)
- parameter uncertainty (1)
- pari passu clauses (1)
- participation (1)
- passive investors (1)
- patents (1)
- paycheck frequency (1)
- payment systems (1)
- pensions (1)
- personality traits (1)
- pessimism (1)
- pharmaceutical industry (1)
- placebo technique (1)
- polarization (1)
- policy (1)
- policy reform (1)
- political behavior (1)
- political economy of bureaucracy (1)
- political polarization (1)
- pooling equilibrium (1)
- portfolio allocation (1)
- portfolio management (1)
- portfolio optimization (1)
- precautionary recapitalization (1)
- pricing (1)
- principal components (1)
- principal-agent models (1)
- private benefits of control (1)
- private companies (1)
- private markets (1)
- private sector involvement (1)
- probability of default (1)
- profit weights (1)
- propensity score (1)
- prudential regulation (1)
- public debt (1)
- public markets (1)
- quantile regression (1)
- rank feedback (1)
- real estate lending (1)
- recent economic crisis (1)
- recursive preferences (1)
- redistribution (1)
- regression adjustment (1)
- regression discontinuity design (1)
- regulatory capture (1)
- rehypothecation (1)
- related party transactions (1)
- relationship lending (1)
- relative performance evaluation (1)
- relative performance feedback (1)
- renting vs. owning home (1)
- replication (1)
- repo market (1)
- reporting (1)
- resiliency (1)
- responsibility (1)
- responsible lending (1)
- retained earnings (1)
- retirement (1)
- retirement expectations (1)
- retirement planning (1)
- return expectations (1)
- reverse mortgage (1)
- risk (1)
- risk management (1)
- risk preference (1)
- risk spillovers (1)
- risk-taking incentives (1)
- safe assets (1)
- salience (1)
- saving behavior (1)
- saving puzzles (1)
- say-on-pay (1)
- school closures (1)
- screening (1)
- seasonal affective disorder (SAD) (1)
- secrecy (1)
- secular stagnation (1)
- securities lending (1)
- self-control (1)
- sentiment (1)
- separating equilibrium (1)
- severance pay caps (1)
- shareholder wealth (1)
- shocks (1)
- short-sale constraints (1)
- single point of entry (1)
- skill-biased technological change (1)
- slumps (1)
- small and medium enterprises (1)
- sniping (1)
- social (1)
- social centralization (1)
- social dilemma (1)
- social dilemmas (1)
- social identity (1)
- social networks (1)
- socialist education (1)
- socially responsible consumers (1)
- soft information (1)
- soft law (1)
- solution methods (1)
- solvency shocks (1)
- sophistication (1)
- source dependence (1)
- sovereign bonds (1)
- sovereign debt litigation (1)
- sovereign debt restructuring (1)
- sovereign debt standstill (1)
- spillover effects (1)
- spillovers (1)
- spread premium (1)
- sset pricing (1)
- stable convergence (1)
- stakeholder (1)
- staleness (1)
- state dependency (1)
- state-dependent sensitivity value-at-risk (SDSVaR) (1)
- state-owned enterprises (1)
- statistical discrimination (1)
- stochastic control (1)
- stock demand (1)
- stock market (1)
- stock market crisis (1)
- stock market investment (1)
- stock market volatility (1)
- stock return expectations (1)
- stockholding (1)
- strategic interaction of regulators (1)
- structured finance (1)
- supervisory board (1)
- survey experiments (1)
- sustainability disclosures (1)
- sustainable finance (1)
- systematic risk (1)
- systemic importance (1)
- systemic risk, too-interconnected-to-fail (1)
- tail measure (1)
- tax (1)
- tax competition (1)
- tax cut (1)
- tax haven (1)
- tax havens (1)
- tax information exchange (1)
- tax information exchange agreements (1)
- tax intervention (1)
- taxing rights (1)
- taxonomies (1)
- temperature shocks (1)
- term premia (1)
- threshold vector auto-regressive models (1)
- time dependency (1)
- time series momentum (1)
- topic modelling (1)
- trading (1)
- trading activity (1)
- trading strategies (1)
- transactions (1)
- transition risk (1)
- treasury auctions (1)
- trend chasing (1)
- trust (1)
- trust driven expectations (1)
- trust evolutionary games (1)
- trust game (1)
- tunneling (1)
- twin study (1)
- tâtonnement (1)
- unemployment (1)
- utility functions (1)
- validation (1)
- valuation discount (1)
- valuation ratios (1)
- variable annuity (1)
- variance risk premium (1)
- venture capital (1)
- vertical fiscal imbalances (1)
- volatility of volatility (1)
- vulture creditors (1)
- wage hump (1)
- wealth (1)
- weather (1)
- welfare costs (1)
- wholesale shocks (1)
- worker-firm panels (1)
- workforce (1)
- yield spreads (1)
- zero returns (1)
- fiscal multipliers (1)
- fiscal policy (1)
- ΔCoVaR (1)
- financial literacy (1)
Institute
- Wirtschaftswissenschaften (428)
- Center for Financial Studies (CFS) (409)
- House of Finance (HoF) (408)
- Sustainable Architecture for Finance in Europe (SAFE) (397)
- Rechtswissenschaft (8)
- Institute for Law and Finance (ILF) (7)
- Foundation of Law and Finance (6)
- Frankfurt MathFinance Institute (FMFI) (3)
- E-Finance Lab e.V. (1)
- Exzellenzcluster Die Herausbildung normativer Ordnungen (1)
46
This paper makes a conceptual contribution to the effect of monetary policy on financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary policy interventions on systemic risk. Banks choose their portfolio, including their borrowing and lending decisions on the interbank market, to maximize profit subject to regulatory constraints in an asset-liability framework. Systemic risk arises in the form of multiple bank defaults driven by common shock exposure on asset markets, direct contagion via the interbank market, and firesale spirals. The central bank injects or withdraws liquidity on the interbank markets to achieve its desired interest rate target. A tension arises between the beneficial effects of stabilized interest rates and increased loan volume and the detrimental effects of higher risk taking incentives. We find that central bank supply of liquidity quite generally increases systemic risk.
45
Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in interbank markets (coinsurance), or by using flexible financing instruments, such as bank capital (risk-sharing). We use a simple model to show that undiversifiable liquidity risk, i.e. the liquidity risk that banks are unable to coinsure on interbank markets, represents an important risk factor affecting their capital structures. Banks facing higher undiversifiable liquidity risk hold more capital. We posit that empirically banks that are more exposed to undiversifiable liquidity risk are less active on interbank markets. Therefore, we test for the existence of a negative relationship between bank capital and interbank market activity and find support in a large sample of U.S. commercial banks.
44
I analyze a critical illness insurance in a consumption-investment model over the life cycle. I solve a model with stochastic mortality risk and health shock risk numerically. These shocks are interpreted as critical illness and can negatively affect the expected remaining lifetime, the health expenses, and the income. In order to hedge the health expense effect of a shock, the agent has the possibility to contract a critical illness insurance. My results highlight that the critical illness insurance is strongly desired by the agents. With an insurance profit of 20%, nearly all agents contract the insurance in the working stage of the life cycle and more than 50% of the agents contract the insurance during retirement. With an insurance profit of 200%, still nearly all working agents contract the insurance, whereas there is little demand in the retirement stage.
43
I numerically solve realistically calibrated life cycle consumption-investment problems in continuous time featuring stochastic mortality risk driven by jumps, unspanned labor income as well as short-sale and liquidity constraints and a simple insurance. I compare models with deterministic and stochastic hazard rate of death to a model without mortality risk. Mortality risk has only minor effects on the optimal controls early in the life cycle but it becomes crucial in later years. A diffusive component in the hazard rate of death has no significant impact, whereas a jump component is desired by the agent and influences optimal controls and wealth evolution. The insurance is used to ensure optimal bequest such that there is no accidental bequest. In the absence of the insurance, the biggest part of bequest is accidental.
42
We explore the sources of household balance sheet adjustment following the collapse of the housing market in 2006. First, we use microdata from the Federal Reserve Board’s Senior Loan Officer Opinion Survey to document that banks cumulatively tightened consumer lending standards more in counties that experienced a house price boom in the mid-2000s than in non-boom counties. We then use the idea that renters, unlike homeowners, did not experience an adverse wealth shock when the housing market collapsed to examine the relative importance of two explanations for the observed deleveraging and the sluggish pickup in consumption after 2008. First, households may have optimally adjusted to lower wealth by reducing their demand for debt and implicitly, their demand for consumption. Alternatively, banks may have been more reluctant to lend in areas with pronounced real estate declines. Our evidence is consistent with the second explanation. Renters with low risk scores, compared to homeowners in the same markets, reduced their levels of nonmortgage debt and credit card debt more in counties where house prices fell more. The contrast suggests that the observed reductions in aggregate borrowing were more driven by cutbacks in the provision of credit than by a demand-based response to lower housing wealth.
41
In this paper, we study the effect of proportional transaction costs on consumption-portfolio decisions and asset prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks, one of which incurs the transaction cost. Our model has multiple investors with stochastic labor income, heterogeneous beliefs, and heterogeneous Epstein-Zin-Weil utility functions. The transaction cost gives rise to endogenous variations in liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion. We have three main findings. One, costs for trading a stock lead to a substantial reduction in the trading volume of that stock, but have only a small effect on the trading volume of the other stock and the bond. Two, even in the presence of stochastic labor income and heterogeneous beliefs, transaction costs have only a small effect on the consumption decisions of investors, and hence, on equity risk premia and the liquidity premium. Three, the effects of transaction costs on quantities such as the liquidity premium are overestimated in partial equilibrium relative to general equilibrium.
40 [Ver. juni 2015]
This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term life insurance that can only be revised at significant costs, which makes insurance decisions sticky. Furthermore, a revision is only possible as long as the insured person is healthy. A second important feature of our model is that the labor income of the wage earner is unspanned. We document that the combination of unspanned labor income and the stickiness of insurance decisions reduces the long-term insurance demand significantly. This is because an income shock induces the need to reduce the insurance coverage, since premia become less affordable. Since such a reduction is costly and families anticipate these potential costs, they buy less protection at all ages. In particular, young families stay away from long-term life insurance markets altogether. Our results are robust to adding short-term life insurance, annuities and health insurance.
40
This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy term life insurance with realistic features. In particular, the available contracts are long term so that decisions are sticky and can only be revised at significant costs. Furthermore, a revision is only possible as long as the insured person is healthy. A second important and realistic feature of our model is that the labor income of
the wage earner is unspanned. We document that the combination of unspanned labor income and the stickiness of insurance decisions reduces the insurance demand significantly. This is because an income shock induces the need to reduce the insurance coverage, since premia become less affordable. Since such a reduction is costly and families anticipate these potential costs, they buy less protection at all ages. In particular, young families stay away from life insurance markets altogether.
39
Banks' financial distress, lending supply and consumption expenditure : [version december 2013]
(2014)
The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures. Specifically, we show that households whose banks were more exposed to funding shocks report significantly lower levels of non-mortgage liabilities compared to a matched sample of households. The reduced access to credit, however, does not result in lower levels of consumption. Instead, we show that households compensate by drawing down liquid assets. Only households without the ability to draw on liquid assets reduce consumption. The results are consistent with consumption smoothing in the face of a temporary adverse lending supply shock. The results contrast with recent evidence on the real effects of finance on firms' investment, where even temporary adverse credit supply shocks are associated with significant real effects.
38
This paper tests whether an increase in insured deposits causes banks to become more risky. We use variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance coverage from $100,000 to $250,000 per depositor and bank. For some banks, the amount of insured deposits increased significantly; for others, it was a minor change. Our analysis shows that the more affected banks increase their investments in risky commercial real estate loans and become more risky relative to unaffected banks following the change. This effect is most distinct for affected banks that are low capitalized.