Center for Financial Studies (CFS)
Refine
Year of publication
Document Type
- Working Paper (1477)
- Report (77)
- Part of Periodical (58)
- Article (18)
- Conference Proceeding (3)
- Periodical (3)
- Book (1)
- Doctoral Thesis (1)
Is part of the Bibliography
- no (1638)
Keywords
- Deutschland (54)
- Geldpolitik (54)
- USA (45)
- monetary policy (41)
- Europäische Union (30)
- Monetary Policy (27)
- Schätzung (24)
- Währungsunion (22)
- Bank (21)
- Venture Capital (21)
Institute
- Center for Financial Studies (CFS) (1638)
- Wirtschaftswissenschaften (1153)
- Sustainable Architecture for Finance in Europe (SAFE) (785)
- House of Finance (HoF) (722)
- Institute for Monetary and Financial Stability (IMFS) (111)
- Rechtswissenschaft (49)
- Foundation of Law and Finance (42)
- Institute for Law and Finance (ILF) (8)
- Frankfurt MathFinance Institute (FMFI) (3)
- E-Finance Lab e.V. (1)
The German financial market is often characterized as a bank-based system with strong bank-customer relationships. The corresponding notion of a housebank is closely related to the theoretical idea of relationship lending. It is the objective of this paper to provide a direct comparison between housebanks and "normal" banks as to their credit policy. Therefore, we analyze a new data set, representing a random sample of borrowers drawn from the credit portfolios of five leading German banks over a period of five years. We use credit-file data rather than industry survey data and, thus, focus the analysis on information that is directly related to actual credit decisions. In particular, we use bank-internal borrower rating data to evaluate borrower quality, and the bank's own assessment of its housebank status to control for information-intensive relationships.
This paper reviews the factors that will determine the shape of financial markets under EMU. It argues that financial markets will not be unified by the introduction of the euro. National central banks have a vested interest in preserving local idiosyncracies (e.g. the Wechsels in Germany) and they might be allowed to do so by promoting the use of so-called tier two assets under the common monetary policy. Moreover, a host of national regulations (prudential and fiscal) will make assets expressed in euro imperfect substitutes across borders. Prudential control will also continue to be handled differently from country to country. In the long run these national idiosyncracies cannot survive competitive pressures in the euro area. The year 1999 will thus see the beginning of a process of unification of financial markets that will be irresistible in the long run, but might still take some time to complete.
Es werden verschiedene Methoden zur Messung der Risikoeinstellung einzelner Individuen vorgestellt und kritisch diskutiert. Berücksichtigt werden unter anderem Selbsteinschätzungen und experimentell orientierte Verfahren. Die Zusammenstellung wendet sich insbesondere an Wissenschaftler und Praktiker, die nach anwendbaren Verfahren zur Risikoeinstellungsmessung suchen.
Ein Value-at-Risk-Limit wird als DM-Betrag gekennzeichnet, der von den tatsächlichen Handelsverlusten innerhalb einer bestimmten Zeitdauer nur mit geringer Wahrscheinlichkeit überschritten werden darf. Da der Bankvorstand i.d.R. Jahres-Value-at-Risk-Limite beschließt, im Handelsbereich die Geschäfte aber für einen kurzfristigen - unterstellt wird ein eintägiger - Planungshorizont abgeschlossen werden, ist zu klären, wie Jahres-Limite in Tages-Limite umgerechnet und während des Jahres realisierte Gewinne und Verluste auf die Limite angerechnet werden können. Auf der Grundlage des Umrechnungsverfahrens nach der Quadratwurzel-T-Formel lassen sich drei Verfahren für die Ermittlung des Tages-Limits unterscheiden: 1. Realisierte Gewinne und Verluste werden nicht angerechnet (starres Limit). 2. Bei Verlusteintritt vermindert sich das Tages-Limit für die Restperiode, realisierte Gewinne machen Kürzungen rückgängig (Verlustbegrenzungslimit). 3. Tages-Limite werden um Gewinne und Verluste angepaßt, wodurch eine Erweiterung des Handlungsspielraumes möglich ist (dynamisches Limit). Die drei Limite werden in einem Simulationsmodell gegeneinander abgewogen, wobei unterstellt wird, ein Händler handle nur eine einzige Aktie und antizipiere in 55% der Fälle die Kursrichtung. Die Simulationsergebnisse sind bei den unterstellten Renditeprozessen (geometrische Brownsche Bewegung und reale Renditen von 77 deutschen Aktien für die Zeit vom 01.01.1974 bis 31.12.1995) weitgehend identisch. Das dynamische Limit produziert deutlich höhere durchschnittliche Ergebnisse als das starre Limit und das Verlustbegrenzungslimit. Überschreitungen des Jahres-Limits treten nur beim starren Verfahren auf, die Häufigkeit ist allerdings wesentlich geringer als die zulässige Wahrscheinlichkeit von 1 %.
In this paper we analyze the relation between fund performance and market share. Using three performance measures we first establish that significant differences in the risk-adjusted returns of the funds in the sample exist. Thus, investors may react to past fund performance when making their investment decisions. We estimated a model relating past performance to changes in market share and found that past performance has a significant positive effect on market share. The results of a specification test indicate that investors react to risk-adjusted returns rather than to raw returns. This suggests that investors may be more sophisticated than is often assumed.
From the mid-seventies on, the central banks of most major industrial countries switched to monetary targeting. The Bundesbank was the first central bank to take this step, making the switch at the end of 1974. This changeover to monetary targeting was due to the difficulties which the Bundesbank - like other central banks - was facing in pursuing its original strategy, and whichcame to a head in the early seventies, when inflation escalated. A second factor was the collapse of the Bretton Woods system of fixed exchange rates, which created the necessary scope for national monetary targeting. Finally, the advance of monetarist ideas fostered the explicit turn towards monetary targets, although the Bundesbank did not implement these in a mechanistic way. Whereas the Bundesbank has adhered to its policy of monetary targeting up to the present, nowadays monetary targeting plays only a minor role worldwide. Many central banks have switched to the strategy of direct inflation targeting. Others favour a more discretionary approach or a policy which is geared to the exchange rate. In the academic debate, monetary targeting is often presented as an outdated approach which has long since lost its basis of stable money demand. These findings give riseto a number of questions: Has monetary targeting actually become outdated? Which role is played by the concrete design of this strategy, and, against this background, how easily can it be transferred to European monetary union? This paper aims to answer these questions, drawing on the particular experience which the Bundesbank has gained of monetary targeting. It seems appropriate to discuss monetary targeting by using a specific example, since this notion is not very precise. This applies, for example, to the money definition used, the way the target is derived, the stringency applied in pursuing the target and the monetary management procedure.
In this speech (given at the CFSresearch conference on the Implementation of Price Stability held at the Bundesbank Frankfurt am Main, 10. - 12. Sept 1998), John Vickers discusses theoretical and practical issues relating to inflation targeting as used in the United Kingdom doing the past six years. After outlining the role of the Bank s Monetary Policy Committee, he considers the Committee s task from a theoretical perspective, beforediscussing the concept and measurement of domestically generated inflation.
Credit Unions are cooperative financial institutions specializing in the basic financial needs of certain groups of consumers. A distinguishing feature of credit unions is the legal requirement that members share a common bond. This organizing principle recently became the focus of national attention as the Supreme Court and the U.S. Congress took opposite sides in a controversy regarding the number of common bonds that could co-exist within the membership of a single credit union. Despite its importance, little research has been done into how common bonds affect how credit unions actually operate. We frame the issues with a simple theoretical model of credit-union formation and consolidation. To provide intuition into the flexibility of multiple-group credit unions in serving members, we simulate the model and present some comparative-static results. We then apply a semi-parametric empirical model to a large dataset drawn from federally chartered occupational credit unions in 1996 to investigate the effects of common bonds. Our results suggest that credit unions with multiple common bonds have higher participation rates than credit unions that are otherwise similar but whose membership shares a single common bond.