Refine
Year of publication
- 2012 (73) (remove)
Document Type
- Report (34)
- Working Paper (16)
- Book (7)
- Part of Periodical (7)
- Article (6)
- Doctoral Thesis (3)
Has Fulltext
- yes (73) (remove)
Is part of the Bibliography
- no (73) (remove)
Keywords
- forecasting (5)
- model uncertainty (5)
- DSGE models (4)
- monetary policy (4)
- Greenbook (3)
- Social Interaction (3)
- complexity (3)
- density forecasts (3)
- forecast combination (3)
- real-time data (3)
- Contagion (2)
- ECB (2)
- European Monetary Union (2)
- Europäische Währungsunion (2)
- Herding (2)
- Ordoliberalism (2)
- Word-of-Mouth (2)
- contagion (2)
- fiscal policy (2)
- leverage (2)
- macroeconomic models (2)
- model comparison (2)
- networks (2)
- policy rules (2)
- politische Union (2)
- tatonnement (2)
- (De-)stabilisation (1)
- Analyst Behaviour (1)
- Anlageentscheidung (1)
- Asset Pricing (1)
- Aufsichtsratsvergütung (1)
- Bank Financing (1)
- Bankenaufsicht (1)
- Banking Stability (1)
- Banking stability (1)
- Banks (1)
- Basel III (1)
- Bayesian VAR (1)
- Bellman Equations (1)
- Central Bank (1)
- Chancen- und Risikoberichterstattung (1)
- Complexity (1)
- Consumer Credit (1)
- Consumption-investment Problems (1)
- Corporate Governance (1)
- DSGE Model (1)
- Deutscher Corporate Governance Kodex (1)
- EFSF (1)
- ESM (1)
- Eurobonds (1)
- Federal Reserve (1)
- Finance (1)
- Financial Crisis (1)
- Financial Distress (1)
- Financial Markets (1)
- Financial distress (1)
- Finanzstabilitätsgesetz (1)
- Finanztransaktionssteuer (1)
- Fiscal Consolidation (1)
- Fiscal Policy (1)
- Geldpolitik (1)
- German Neoliberalism (1)
- Geschäftsbank (1)
- Going-private Decisions (1)
- Government Debt (1)
- Government Deficit (1)
- Homo culturalis (1)
- Homo oeconomicus (1)
- Household Debt (1)
- Household Finance (1)
- Inflationssteuerung (1)
- Informal Loans (1)
- Interbank Market (1)
- Interbankgeschäft (1)
- Keynesian models (1)
- Kreditmarkt (1)
- Liikanen Report (1)
- Management Commentary (1)
- Markov Processes (1)
- Model Uncertainty (1)
- Monetary Policy (1)
- Monetary macroeconomics (1)
- Mortgages (1)
- Mutual Fund Managers (1)
- New Keynesian models (1)
- New Neoclassical synthesis (1)
- Notenbank (1)
- Patents/patent laws (1)
- Prüfungsausschuss (1)
- Rendite (1)
- Risikomaße (1)
- Robust Simple Rules (1)
- Social Interactions (1)
- Social Market Economy (1)
- Sovereign debt (1)
- Sovereign default (1)
- Strategieberichterstattung (1)
- Systemic risk (1)
- TARGET balances (1)
- Tail Risk (1)
- Tail risk (1)
- Utility Maximization (1)
- VC-backed IPOs (1)
- Walter Eucken (1)
- Wertpapierberatung (1)
- Zentralbank (1)
- Zentralbanken (1)
- active shareholders (1)
- bail-in bonds (1)
- bailout (1)
- bank resolution (1)
- business cycles (1)
- capital regulation (1)
- capital structure (1)
- central bank governor (1)
- central bank independence (1)
- compensation (1)
- conditional forecasts (1)
- control by Court of Auditors (1)
- corporate restructuring (1)
- cycle flows (1)
- cyclical liabilities (1)
- dynamic stochastic general equilibrium models (1)
- expectations (1)
- extreme value theory (1)
- financial crisis (1)
- financial institutions (1)
- financial models (1)
- financing policy (1)
- fiscal responsibility (1)
- hedge funds (1)
- implied correlation (1)
- inflation (1)
- inflation persistence (1)
- institutional design (1)
- interbank network (1)
- leveraged buyouts (1)
- makroprudenzielle Regulierung (1)
- makroökonomische Konjunkturforschung (1)
- managerial incentives (1)
- marked to market (1)
- marked to market. (1)
- monetary and fiscal policy (1)
- monetäre Makroökonomik (1)
- mood (1)
- new fiscal compact (1)
- nineteenth century patent controversy (1)
- operational performance (1)
- option-implied distribution (1)
- policy evaluation (1)
- policy robustness (1)
- portfolio optimization (1)
- predictability (1)
- private equity (1)
- quantile regression (1)
- quantile regressions (1)
- rational expectations (1)
- risk (1)
- risk spillovers (1)
- robust policy (1)
- robust simple rules (1)
- robustness (1)
- seasonal affective disorder (SAD) (1)
- sovereign debt crisis (1)
- state-dependent sensitivity value-at-risk (SDSVaR) (1)
- stock market (1)
- structural breaks (1)
- tail measure (1)
- trading behavior (1)
- variance risk premium (1)
- vektorautoregressive Modelle (1)
- weather (1)
Institute
- Wirtschaftswissenschaften (73) (remove)
This paper studies constrained portfolio problems that may involve constraints on the probability or the expected size of a shortfall of wealth or consumption. Our first contribution is that we solve the problems by dynamic programming, which is in contrast to the existing literature that applies the martingale method. More precisely, we construct the non-separable value function by formalizing the optimal constrained terminal wealth to be a (conjectured) contingent claim on the optimal non-constrained terminal wealth. This is relevant by itself, but also opens up the opportunity to derive new solutions to constrained problems. As a second contribution, we thus derive new results for non-strict constraints on the shortfall of inter¬mediate wealth and/or consumption.
The complexity resulting from intertwined uncertainties regarding model misspecification and mismeasurement of the state of the economy defines the monetary policy landscape. Using the euro area as laboratory this paper explores the design of robust policy guides aiming to maintain stability in the economy while recognizing this complexity. We document substantial output gap mismeasurement and make use of a new model data base to capture the evolution of model specification. A simple interest rate rule is employed to interpret ECB policy since 1999. An evaluation of alternative policy rules across 11 models of the euro area confirms the fragility of policy analysis optimized for any specific model and shows the merits of model averaging in policy design. Interestingly, a simple difference rule with the same coefficients on inflation and output growth as the one used to interpret ECB policy is quite robust as long as it responds to current outcomes of these variables.
We develop a dynamic network model with heterogenous banks which undertake optimizing portfolio decisions subject to liquidity and capital constraints and trade in the interbank market whose equilibrium is governed by a tatonnement process. Due to the micro-funded structure of the decisional process as well as the iterative dynamic adjustment taking place in the market, the links in the network structures are endogenous and evolve dynamically. We use the model to assess the diffusion of systemic risk (measured as default probability), the contribution of each bank to it as well as the evolution of the network in response to financial shocks and across different prudential policy regimes.
In the aftermath of the global financial crisis, the state of macroeconomic modeling and the use of macroeconomic models in policy analysis has come under heavy criticism. Macroeconomists in academia and policy institutions have been blamed for relying too much on a particular class of macroeconomic models. This paper proposes a comparative approach to macroeconomic policy analysis that is open to competing modeling paradigms. Macroeconomic model comparison projects have helped produce some very influential insights such as the Taylor rule. However, they have been infrequent and costly, because they require the input of many teams of researchers and multiple meetings to obtain a limited set of comparative findings. This paper provides a new approach that enables individual researchers to conduct model comparisons easily, frequently, at low cost and on a large scale. Using this approach a model archive is built that includes many well-known empirically estimated models that may be used for quantitative analysis of monetary and fiscal stabilization policies. A computational platform is created that allows straightforward comparisons of models’ implications. Its application is illustrated by comparing different monetary and fiscal policies across selected models. Researchers can easily include new models in the data base and compare the effects of novel extensions to established benchmarks thereby fostering a comparative instead of insular approach to model development.
We introduce a new measure of systemic risk, the change in the conditional joint probability of default, which assesses the effects of the interdependence in the financial system on the general default risk of sovereign debtors. We apply our measure to examine the fragility of the European financial system during the ongoing sovereign debt crisis. Our analysis documents an increase in systemic risk contributions in the euro area during the post-Lehman global recession and especially after the beginning of the euro area sovereign debt crisis. We also find a considerable potential for cascade effects from small to large euro area sovereigns. When we investigate the effect of sovereign default on the European Union banking system, we find that bigger banks, banks with riskier activities, with poor asset quality, and funding and liquidity constraints tend to be more vulnerable to a sovereign default. Surprisingly, an increase in leverage does not seem to influence systemic vulnerability.
We outline a procedure for consistent estimation of marginal and joint default risk in the euro area financial system. We interpret the latter risk as the intrinsic financial system fragility and derive several systemic fragility indicators for euro area banks and sovereigns, based on CDS prices. Our analysis documents that although the fragility of the euro area banking system had started to deteriorate before Lehman Brothers' file for bankruptcy, investors did not expect the crisis to affect euro area sovereigns' solvency until September 2008. Since then, and especially after November 2009, joint sovereign default risk has outpaced the rise of systemic risk within the banking system.
We develop a dynamic network model with heterogenous banks which undertake optimizing portfolio decisions subject to liquidity and capital constraints and trade in the interbank market whose equilibrium is governed by a tatonnement process. Due to the micro-funded structure of the decisional process as well as the iterative dynamic adjustment taking place in the market, the links in the network structures are endogenous and evolve dynamically. We use the model to assess the diffusion of systemic risk, the contribution of each bank to it as well as the evolution of the network in response to financial shocks and across different prudential policy regimes.