Refine
Year of publication
Document Type
- Report (141) (remove)
Has Fulltext
- yes (141) (remove)
Is part of the Bibliography
- no (141) (remove)
Keywords
- Europäische Währungsunion (6)
- duration models (5)
- financial transaction data (5)
- time series models (5)
- Geldpolitik (4)
- Ordoliberalism (4)
- Walter Eucken (4)
- Contagion (3)
- Deutschland (3)
- Event Study (3)
Institute
- Wirtschaftswissenschaften (141) (remove)
We study the dispersion of debt maturities across time, which we call "granularity of corporate debt,'' using a model in which a firm's inability to roll over expiring debt causes inefficiencies, such as costly asset sales or underinvestment. Since multiple small asset sales are less costly than a single large one, firms diversify debt rollovers across maturity dates. We construct granularity measures using data on corporate bond issuers for the 1991-2012 period and establish a number of novel findings. First, there is substantial variation in granularity in that we observe both very concentrated and highly dispersed maturity structures. Second, observed variation in granularity supports the model's predictions, i.e. maturities are more dispersed for larger and more mature firms, for firms with better investment oppo
In the aftermath of the global financial crisis and great recession, many countries face substantial deficits and growing debts. In the United States, federal government outlays as a ratio to GDP rose substantially from about 19.5 percent before the crisis to over 24 percent after the crisis. In this paper we consider a fiscal consolidation strategy that brings the budget to balance by gradually reducing this spending ratio over time to the level that prevailed prior to the crisis. A crucial issue is the impact of such a consolidation strategy on the economy. We use structural macroeconomic models to estimate this impact. We consider two types of dynamic stochastic general equilibrium models: a neoclassical growth model and more complicated models with price and wage rigidities and adjustment costs. We separate out the impact of reductions in government purchases and transfers, and we allow for a reduction in both distortionary taxes and government debt relative to the baseline of no consolidation. According to the initial model simulations GDP rises in the short run upon announcement and implementation of this fiscal consolidation strategy and remains higher than the baseline in the long run.
Hackethal and Schmidt (2003) criticize a large body of literature on the financing of corporate sectors in different countries that questions some of the distinctions conventionally drawn between financial systems. Their criticism is directed against the use of net flows of finance and they propose alternative measures based on gross flows which they claim re-establish conventional distinctions. This paper argues that their criticism is invalid and that their alternative measures are misleading. There are real issues raised by the use of aggregate data but they are not the ones discussed in Hackethal and Schmidt’s paper. JEL Classification: G30
Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios towards home equity. Using US household data from the Survey of Income and Program Participation for the period 1996-2006, we find that especially households with low net worth maintain a larger share of their wealth as home equity if a larger homestead exemption applies. This home equity bias is also more pronounced if the household head is in poor health, increasing the chance of bankruptcy on account of unpaid medical bills. The bias is further stronger for households with mortgage finance, shorter house tenures, and younger household heads, which taken together reflect households that face more financial uncertainty.
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.
Elektronische (digitale) Zeitschriften spielen seit mehreren Jahren eine zunehmend wichtigere Rolle in der Informationsversorgung von Wissenschaft und Forschung. Während jedoch die Nutzungsformen sich so gut wie vollständig an den Standards des www mit all seinen Vorzügen orientieren, sind die Preisbildungsmechanismen noch stark an der Welt der gedruckten Zeitschriften orientiert. Sie unterliegen allerdings zur Zeit einem erheblichen Wandel, ohne dass erkennbar wäre, welche Preisstrukturen zukünftig den Markt bestimmen werden. Das seit November 2001 laufende DFG-Projekt "Perspektiven für den Bezug elektronischer Informationsressourcen in der Bundesrepublik Deutschland" hat sich zum Ziel gesetzt, die Marktsituation für elektronische Informationsversorgung im hochschulischen Bereich zu analysieren und davon ausgehend Perspektiven abzuleiten. In einer ersten Phase sollen zunächst die Nutzungsgewohnheiten seitens der Wissenschaftler und Studierenden untersucht werden. Die Ergebnisse werden in der vorliegenden Arbeit exemplarisch aufgezeigt, eine detaillierte Nutzungsanalyse wird zu einem späteren Zeitpunkt veröffentlicht.
Eine bedeutende Stelle der betrieblichen Funktionen nimmt die Beschaffung der Ware am Markt ein. Die Organisation des Beschaffungswesens ist dabei integraler Bestandteil der Unternehmensstrategie und führung. Die Beschaffung im engeren Sinne umfasst dabei den Einkauf von Anlagegütern, Roh-, Hilfs- und Betriebsstoffen, Fertigwaren sowie von Dienstleistungen (z. B. Transportleistungen) und Rechten (z. B. Lizenzen aus Patenten). Die Beschaffung ist neben der Produktions- und Absatzfunktion einer der Hauptbereiche betrieblicher Planung und Leistungserstellung [Bichler/Krohn 2001]. Die Hauptaufgabe des Einkaufs im Industrieunternehmen besteht in der Beschaffung von Materialen und Teilen nach den von den zuständigen Fachabteilungen vorgegebenen Qualitätsvorschriften, zu günstigen Konditionen und zum richtigen Zeitpunkt, wodurch die termingerechte Produktion sicher gestellt werden kann. Eine weiterführende Aufgabe des Einkaufs besteht in einer Analyse des Beschaffungsmarktes sowie in der Aufbereitung und Weitergabe von Informationen an den Vertrieb. Es sind die Hersteller auf dem Markt zu suchen und zu katalogisieren, welche die entsprechenden Materialien in gleich bleibender Qualität und zu günstigen Preisen liefern können [Bichler/Krohn 2001]. Die Organisation des Einkaufsprozesses stellt einen bedeutenden Problemfokus für die Unternehmensleitung dar. Gegenstand dieser Untersuchung ist die Fragestellung, wie sich Einkaufgenossenschaften im Bibliothekswesen optimal bilden sollen. Die Frage der Optimalität muss dazu zunächst präzisiert werden und wird vor dem Hintergrund verschiedener Zielsetzungen näher diskutiert. Einkaufsgenossenschaften und verbünde finden sich in der Praxis immer häufiger und stellen probate Mittel dar, die Kosten für den Bezug von nötigen Betriebsmaterialen nachhaltig zu senken. Im Sektor der wissenschaftlichen Informationsversorgung können seit einigen Jahren im Bereich der elektronischen Informationsressourcen ebenfalls Einkaufsverbünde in Form von Bibliothekskonsortien beobachtet werden. Ziel dieser Genossenschaften ist es, gemeinsam Lizenzen für elektronische Informationen zu erwerben. Die derzeitige Bezugspraxis zeigt, dass Konsortien überwiegend regional ausgerichtet sind und weniger auf thematischer Ebene agieren. Auch die Größe sowie Nachfragestruktur und intensität finden weitestgehend noch keine Beachtung. Diese Arbeit untersucht Vor- und Nachteile von Einkaufgenossenschaften und diskutiert verschiedene Entscheidungsmodelle zur Bestimmung einer optimalen Konsortialstruktur vor dem Hintergrund der derzeitig gegebenen Marktstrukturen im Sektor der wissenschaftlichen Informationsversorgung.
This paper presents a theory that explains why it is beneficial for banks to engage in circular lending activities on the interbank market. Using a simple network structure, it shows that if there is a non-zero bailout probability, banks can significantly increase the expected repayment of uninsured creditors by entering into cyclical liabilities on the interbank market before investing in loan portfolios. Therefore, banks are better able to attract funds from uninsured creditors. Our results show that implicit government guarantees incentivize banks to have large interbank exposures, to be highly interconnected, and to invest in highly correlated, risky portfolios. This can serve as an explanation for the observed high interconnectedness between banks and their investment behavior in the run-up to the subprime mortgage crisis.
Empirical evidence suggests that even those firms presumably most in need of monitoring-intensive financing (young, small, and innovative firms) have a multitude of bank lenders, where one may be special in the sense of relationship lending. However, theory does not tell us a lot about the economic rationale for relationship lending in the context of multiple bank financing. To fill this gap, we analyze the optimal debt structure in a model that allows for multiple but asymmetric bank financing. The optimal debt structure balances the risk of lender coordination failure from multiple lending and the bargaining power of a pivotal relationship bank. We show that firms with low expected cash-flows or low interim liquidation values of assets prefer asymmetric financing, while firms with high expected cash-flow or high interim liquidation values of assets tend to finance without a relationship bank.
Collateral, default risk, and relationship lending : an empirical study on financial contracting
(1999)
This paper provides further insights into the nature of relationship lending by analyzing the link between relationship lending, borrower quality and collateral as a key variable in loan contract design. We used a unique data set based on the examination of credit files of five leading German banks, thus relying on information actually used in the process of bank credit decision-making and contract design. In particular, bank internal borrower ratings serve to evaluate borrower quality, and the bank's own assessment of its housebank status serves to identify information-intensive relationships. Additionally, we used data on workout activities for borrowers facing financial distress. We found no significant correlation between ex ante borrower quality and the incidence or degree of collateralization. Our results indicate that the use of collateral in loan contract design is mainly driven by aspects of relationship lending and renegotiations. We found that relationship lenders or housebanks do require more collateral from their debtors, thereby increasing the borrower's lock-in and strengthening the banks' bargaining power in future renegotiation situations. This result is strongly supported by our analysis of the correlation between ex post risk, collateral and relationship lending since housebanks do more frequently engage in workout activities for distressed borrowers, and collateralization increases workout probability.
The paper analyzes the mutual influence of the capital structure and the investment decision of a bank, as well as the incentive effects of the bank executives compensation schemes on these decisions. In case the government implicitly or explicitly insures deposits and/or the banks debt, banks are incentivized to invest in risky assets and to have a high leverage. Capital regulation could potentially solve this excessive risk taking problem. However, this is only possible if the regulator can observe and properly measure the investment risks of the bank, which was called into question during the 2008-09 financial crisis. Hence, we propose a regulatory approach that is also able to implement the first best risk taking levels by the bank, but does not require the regulator to know the investment risk of the bank. The regulatory approach involves the implementation of capital requirements, which are made contingent on the management compensation.
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.
Traditional New Keynesian models prescribe that optimal monetary policy should aim at price stability. In the absence of a labor market frictions, the monetary authority faces no unemployment/inflation trade-off. I study the design of optimal monetary policy in a framework with sticky prices and matching frictions in the labor market. Optimal policy features deviations from price stability in response to both productivity and government expenditure shocks. When the Hosios 1990 condition is not met, search externalities make the flexible price allocation unfeasible. Optimal deviations from price stability increase with workers’ bargaining power, as firms´ incentives to post vacancies fall and unemployment fluctuates above the Pareto efficient one.
In the event of a Greek exit from the Eurozone, the stronger members of the monetary union, especially Germany, face at least two risks: First, the debt of the Greek National Bank vis-à-vis the Eurosystem of central banks will most likely be lost. Secondly, the large flow of capital from Greece and other periphery countries to Germany will accelerate inflation.
Wir halten das bisher in Deutschland und anderen Ländern praktizierte Krisenmanagement für ordnungspolitisch inakzeptabel. Die aktuelle Notlage 2007 und 2008, verbunden mit einem enormen Überraschungsmoment, ließ möglicherweise keine andere Wahl, als die betroffenen Banken unbürokratisch zu retten - aber nun ist es Zeit, grundlegende Lehren aus den Rettungsaktionen zu ziehen.
Over-allotment arrangements are nowadays part of almost any initial public offering. The underwriting banks borrow stocks from the previous shareholders to issue more than the initially announced number of shares. This is combined with the option to cover this short position at the issue price. We present empirical evidence on the value of these arrangements to the underwriters of initial public offerings on the Neuer Markt. The over-allotment arrangement is regarded as a portfolio of a long call option and a short position in a forward contract on the stock, which is different from other approaches presented in the literature.
Given the economically substantial values for these option-like claims we try to identify benefits to previous shareholders or new investors when the company is using this instrument in the process of going public. Although we carefully control for potential endogeneity problems, we find virtually no evidence for a reduction in underpricing for firms using over-allotment arrangements. Furthermore, we do not find evidence for more pronounced price stabilization activities or better aftermarket performance for firms granting an over-allotment arrangement to the underwriting banks.
Evaluating the quality of credit portfolio risk models is an important question for both banks and regulators. Lopez and Saidenberg (2000) suggest cross-sectional resampling techniques in order to make efficient use of available data and to produce measures of forecast accuracy. We first show that their proposal disregards crosssectional dependence in simulated subportfolios, which renders standard statistical inference invalid. We proceed by suggesting another evaluation methodology which draws on the concept of likelihood ratio tests. Specifically, we compare the predictive quality of alternative models by comparing the probabilities that observed data have been generated by these models. The distribution of the test statistic can be derived through Monte Carlo simulation. To exploit differences in cross-sectional predictions of alternative models, the test can be based on a linear combination of subportfolio statistics. In the construction of the test, the weight of a subportfolio depends on the difference in the loss distributions which alternative models predict for this particular portfolio. This makes efficient use of the data, and reduces computational burden. Monte Carlo simulations suggest that the power of the tests is satisfactory.
JEL classification: G2; G28; C52
With ubiquitous use of digital camera devices, especially in mobile phones, privacy is no longer threatened by governments and companies only. The new technology creates a new threat by ordinary people, who now have the means to take and distribute pictures of one’s face at no risk and little cost in any situation in public and private spaces. Fast distribution via web based photo albums, online communities and web pages expose an individual’s private life to the public in unpreceeded ways. Social and legal measures are increasingly taken to deal with this problem. In practice however, they lack efficiency, as they are hard to enforce in practice. In this paper, we discuss a supportive infrastructure aiming for the distribution channel; as soon as the picture is publicly available, the exposed individual has a chance to find it and take proper action.
Does BPO pay off at the firm-level? Although there are several studies which analyze the potential benefits of BPO, there is a virtual absence of research papers on BPO outcomes. Based on an analysis of 137 Business process outsourcing (BPO) ventures at 254 German banks in a period between 1994 and 2005, we found that the outsourcer's financial performance in terms of profitability and cost efficiency was increased significantly compared to industry peers without BPO. The increase stems not from workforce reductions but rather from increased employee productivity. Further, we show how BPO governance ensures BPO success: individually negotiated outsourcing contracts help to improve cost efficiency and profitability measures. Relational governance based on trust has only positive effects on profitability. Keywords: Business Process Outsourcing, firm performance, firm characteristics, banking, German banks, governance JEL Classifications: G21, L14, L21, L24
At the upcoming G20 meetings the issue what can be done to avoid a repetition of the current deep financial crisis will again be debated. Much attention and criticism will be directed to central banks. That is unavoidable: central banks must never again permit the development of financial imbalances that are large enough to lead to the collapse of major parts of the financial system when they unwind. In the future, policy makers must “lean against the wind” and tighten financial conditions if they perceive that imbalances are forming, even if there is little hard data to rely on. And they must be mindful that the costs of acting too late can dwarf those of acting too early.