Center for Financial Studies (CFS)
Refine
Year of publication
Document Type
- Working Paper (1471)
- Report (77)
- Part of Periodical (58)
- Article (18)
- Conference Proceeding (3)
- Periodical (3)
- Book (1)
- Doctoral Thesis (1)
Is part of the Bibliography
- no (1632)
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)
- Risikokapital (20)
- Inflation (19)
- Liquidity (18)
- Haushalt (17)
- household finance (17)
- Corporate Governance (16)
- Banking Union (14)
- ECB (14)
- ESG (14)
- Financial Crisis (14)
- Going Public (14)
- Household Finance (14)
- Kreditmarkt (14)
- corporate governance (14)
- regulation (14)
- systemic risk (14)
- Aktienmarkt (13)
- Kreditrisiko (13)
- asset pricing (13)
- COVID-19 (12)
- Volatilität (12)
- liquidity (12)
- European Central Bank (11)
- Regulation (11)
- fiscal policy (11)
- insurance (11)
- Consumption (10)
- financial literacy (10)
- oil price (10)
- Asset Pricing (9)
- Contagion (9)
- Covid-19 (9)
- EMU (9)
- GARCH-Prozess (9)
- Inflation Targeting (9)
- Market Microstructure (9)
- Prognose (9)
- Regulierung (9)
- Sparen (9)
- bail-in (9)
- banking (9)
- competition (9)
- financial crisis (9)
- financial stability (9)
- inflation (9)
- Competition (8)
- Europäische Zentralbank (8)
- Financial Literacy (8)
- Fiscal Policy (8)
- Germany (8)
- Insurance (8)
- Kapitalertrag (8)
- Neuer Markt (8)
- Quantitative Easing (8)
- Solvency II (8)
- Stockholding (8)
- Transparency (8)
- Value at Risk (8)
- Wettbewerb (8)
- contagion (8)
- portfolio choice (8)
- regulatory arbitrage (8)
- welfare (8)
- Bankenaufsicht (7)
- Banks (7)
- Börsenkurs (7)
- Börsenzulassung (7)
- Disclosure (7)
- Finanzkrise (7)
- GARCH (7)
- General Equilibrium (7)
- Großbritannien (7)
- Precautionary Saving (7)
- Sustainable Finance (7)
- Systemic Risk (7)
- Wechselkurs (7)
- Wertpapieremission (7)
- banks (7)
- capital regulation (7)
- euro area (7)
- finance (7)
- forward guidance (7)
- leverage (7)
- real-time data (7)
- shadow banking (7)
- Bankenunion (6)
- Banking (6)
- Banking Regulation (6)
- Deflation (6)
- Emerging Market (6)
- Euro Area (6)
- Europäische Währungsunion (6)
- Financial Stability (6)
- Household finance (6)
- Kapitalgewinn (6)
- Kapitalmarkt (6)
- Klein- und Mittelbetrieb (6)
- Kredit (6)
- Kreditwesen (6)
- Learning (6)
- Machine Learning (6)
- Portfolio Choice (6)
- Portfolio Selection (6)
- Portfoliomanagement (6)
- Preisbildung (6)
- Private Equity (6)
- Schwellenländer (6)
- Uncertainty (6)
- Underpricing (6)
- Wirtschafts- und Währungsunion (6)
- ambiguity (6)
- banking regulation (6)
- climate change (6)
- consumption (6)
- financial regulation (6)
- interest rates (6)
- market discipline (6)
- model uncertainty (6)
- monetary policy rules (6)
- relationship lending (6)
- social security (6)
- venture capital (6)
- volatility (6)
- wealth inequality (6)
- Bankkredit (5)
- Basel III (5)
- Bayesian inference (5)
- Buffer Stock Saving (5)
- Business Cycle (5)
- Business Cycles (5)
- Capital Markets Union (5)
- Climate Change (5)
- DSGE (5)
- Derivat, Wertpapier (5)
- EZB (5)
- Einkommen (5)
- Event Study (5)
- Federal Reserve (5)
- Financial Regulation (5)
- Green Finance (5)
- Investmentfonds (5)
- Japan (5)
- Kapitalanlage (5)
- Liquidität (5)
- Market Efficiency (5)
- Mergers and Acquisitions (5)
- Mitgliedsstaaten (5)
- Model Uncertainty (5)
- Neuer Markt <Börse> (5)
- New Economy (5)
- Progressive Taxation (5)
- Risikomanagement (5)
- Ruhestand (5)
- Sustainability (5)
- Wirtschaftswachstum (5)
- Zinsfuß (5)
- annuity (5)
- asymmetric information (5)
- bank lending (5)
- bank resolution (5)
- banking union (5)
- credit risk (5)
- credit risk management (5)
- expectations (5)
- habit formation (5)
- human capital (5)
- law and finance (5)
- liquidity risk (5)
- liquidity trap (5)
- peer effects (5)
- pension (5)
- political economy (5)
- private equity (5)
- prudential supervision (5)
- public debt (5)
- risk-taking (5)
- saving (5)
- social interactions (5)
- sovereign risk (5)
- stockholding (5)
- term structure (5)
- transparency (5)
- uncertainty (5)
- zero lower bound (5)
- Öffentliche Ausgaben (5)
- 401(k) plan (4)
- Arbeitslosigkeit (4)
- Artificial Intelligence (4)
- Asset Allocation (4)
- Asymmetrische Information (4)
- BRRD (4)
- Bail-in (4)
- Bank Resolution (4)
- Bayesian Estimation (4)
- Brexit (4)
- Central Banking (4)
- China (4)
- Corporate Social Responsibility (4)
- Credit Ratings (4)
- Credit Risk (4)
- DSGE models (4)
- Darlehen (4)
- Disposition Effect (4)
- Entrepreneurship (4)
- Equity Premium (4)
- Erwartung (4)
- European Monetary Union (4)
- Financial Crises (4)
- Financial Institutions (4)
- Financial Markets (4)
- Financial crisis (4)
- Financial stability (4)
- Finanzplanung (4)
- Finanzwirtschaft (4)
- Fiskalpolitik (4)
- Fragmentation (4)
- High-Frequency Trading (4)
- Homeownership (4)
- Household Portfolios (4)
- IPO (4)
- Incomplete Markets (4)
- Inequality (4)
- Initial Public Offerings (4)
- Innovation (4)
- Integration (4)
- Investor Sentiment (4)
- Italien (4)
- Kanada (4)
- Kapitalmarkteffizienz (4)
- Konjunktur (4)
- Kreditsicherung (4)
- Kreditwürdigkeit (4)
- MiFID II (4)
- Monetary Union (4)
- Moral Hazard (4)
- Numerical accuracy (4)
- OTC markets (4)
- Portfolio choice (4)
- Prediction (4)
- Price Discovery (4)
- Privater Verbrauch (4)
- Rating (4)
- Restrukturierung (4)
- Risikoverteilung (4)
- Risk (4)
- Solution methods (4)
- Sovereign Risk (4)
- Sustainable Investments (4)
- Unconventional Monetary Policy (4)
- Unemployment (4)
- Unternehmenskooperation (4)
- Unternehmenssanierung (4)
- Value-at-Risk (4)
- Verbraucherpreis (4)
- Vertrag (4)
- Volatility (4)
- Wirecard (4)
- Xetra-Handelssystem (4)
- Zinsstruktur (4)
- Zinsstrukturtheorie (4)
- bailout (4)
- bank regulation (4)
- banking supervision (4)
- capital requirements (4)
- capital structure (4)
- collateral (4)
- debt sustainability (4)
- euro (4)
- exchange rates (4)
- financial intermediation (4)
- forecasting (4)
- globalization (4)
- goods market integration (4)
- growth (4)
- household debt (4)
- idiosyncratic risk (4)
- incomplete markets (4)
- inequality (4)
- inflation targeting (4)
- investment (4)
- investment decisions (4)
- law of one price (4)
- learning (4)
- leveraged buyouts (4)
- machine learning (4)
- makroprudenzielle Regulierung (4)
- model comparison (4)
- money (4)
- money creation (4)
- moral hazard (4)
- nominal rigidities (4)
- non-bank financial intermediation (4)
- policy rules (4)
- portfolio allocation (4)
- predictability (4)
- price discovery (4)
- price stability (4)
- purchasing power parity (4)
- rational expectations (4)
- realized volatility (4)
- relative price volatility (4)
- risk premium (4)
- structural reforms (4)
- systemisches Risiko (4)
- unemployment (4)
- Abnehmer (3)
- Adverse Selection (3)
- Aging (3)
- Aktienanlage (3)
- Aktienbörse (3)
- Algorithmic Trading (3)
- Altersversorgung (3)
- Arbeitsmarkt (3)
- Arbeitsproduktivität (3)
- Asset pricing (3)
- Asset-Backed Security (3)
- Aufsichtsratsvergütung (3)
- Auslandskredit (3)
- Bank regulation (3)
- Basler Eigenkapitalvereinbarung , 2001 (3)
- Beschaffungsmarketing (3)
- Beziehungsmanagement (3)
- Blockchain (3)
- Bundesbank (3)
- Börsenhändler (3)
- CDS (3)
- Capital-Asset-Pricing-Modell (3)
- Central Bank Communication (3)
- Climate change (3)
- Cointegration (3)
- Consumer Credit (3)
- Corporate Bonds (3)
- Credit Cards (3)
- Credit Spread (3)
- Debt-equity swap (3)
- Debt-nature swap (3)
- Deutsche Börse (3)
- Deutscher Corporate Governance Kodex (3)
- EDIS (3)
- ESM (3)
- ETFs (3)
- Economic and Monetary Union (3)
- Eurosystem (3)
- Expectations (3)
- FOMC (3)
- Fair value accounting (3)
- Fair-Value-Bewertung (3)
- FinTech (3)
- Financial Education (3)
- Financial Knowledge (3)
- Finanzierungstheorie (3)
- Finanzstabilität (3)
- Fiscal Multiplier (3)
- Fiscal Stimulus (3)
- G-7-Staaten (3)
- Geduld (3)
- Generally Accepted Accounting Principles (3)
- Gewinn (3)
- Gleichgewicht (3)
- Gläubiger (3)
- Governance (3)
- Government Spending (3)
- Granger Causality (3)
- Greece (3)
- Green bonds (3)
- Greenium (3)
- Growth (3)
- Heterogeneous Agents (3)
- High-Frequency Data (3)
- IFRS 9 (3)
- Inside Debt (3)
- Interconnectedness (3)
- Kalman filter (3)
- Kenntnis (3)
- Kleingewerbe (3)
- Konjunkturzyklus (3)
- Konsumentenkredit (3)
- Kreditkarte (3)
- Kreditsicherheit (3)
- Krisenmanagement (3)
- Labor Market (3)
- Labor income risk (3)
- Law and Finance (3)
- Lieferung (3)
- Limited Commitment (3)
- Limited Partnership (3)
- Liquidity Provision (3)
- Liquidity Risk (3)
- Länderrating (3)
- Länderrisiko (3)
- MREL (3)
- Machine learning (3)
- Market Structure (3)
- Monetary Policy Rules (3)
- Neokeynesianismus (3)
- Neural Networks (3)
- New Keynesian Model (3)
- Nominalzins (3)
- OECD (3)
- Optimal Monetary Policy (3)
- Pensions (3)
- Performance (3)
- Portfolio allocation (3)
- Preispolitik (3)
- Preisstarrheit (3)
- Price Efficiency (3)
- Prüfungsausschuss (3)
- R&D (3)
- Recursive Preferences (3)
- Reform (3)
- Rentenmarkt (3)
- Retail investors (3)
- Retirement (3)
- Return Predictability (3)
- Risiko (3)
- Risk Aversion (3)
- Risk Management (3)
- Risk Sharing (3)
- Robustness (3)
- Saving (3)
- Schock <Wirtschaft> (3)
- Schulden (3)
- Schuldverschreibung (3)
- Single Supervisory Mechanism (3)
- Social Security (3)
- Sovereign Debt (3)
- Sovereign debt (3)
- Staatsanleihe (3)
- Standardisierung (3)
- Sticky Prices (3)
- Systemic risk (3)
- TLAC (3)
- Textual Analysis (3)
- Trading (3)
- Transmissionsmechanismus (3)
- Transparenz (3)
- Trust (3)
- Umschuldung (3)
- Universalbank (3)
- Unternehmen (3)
- Unternehmenszusammenschluss (3)
- VAR (3)
- Venture capital (3)
- Verbrauch (3)
- Verbraucherpreisindex (3)
- Versicherungsmarkt (3)
- Vertrauen (3)
- Wage Rigidity (3)
- Wertpapiermarkt (3)
- Wirtschaftspolitik (3)
- Wohlfahrtseffekt (3)
- Wohlstand (3)
- Währungskrise (3)
- Zerobond (3)
- Zertifizierung (3)
- Zinsertragskurve (3)
- active shareholders (3)
- aggregate risk (3)
- asset purchases (3)
- bank runs (3)
- banking separation proposals (3)
- beliefs (3)
- bid-ask spread (3)
- big data (3)
- blockchain (3)
- border effects (3)
- business cycle (3)
- capital markets (3)
- central bank independence (3)
- commitment (3)
- confidence (3)
- consumption-portfolio choice (3)
- cooperation (3)
- corporate finance (3)
- corporate rating (3)
- credit constraints (3)
- crowding out (3)
- crude oil (3)
- currency crisis (3)
- discretion (3)
- discrimination (3)
- distress (3)
- downside risk (3)
- entrepreneurship (3)
- equity premium (3)
- financial distress (3)
- financial frictions (3)
- financial innovation (3)
- fintech (3)
- fiscal reaction function (3)
- gasoline price (3)
- hedging (3)
- housebanks (3)
- housing (3)
- implied volatility (3)
- incentives (3)
- insider trading (3)
- investor protection (3)
- jumps (3)
- laboratory experiments (3)
- limited attention (3)
- limits to arbitrage (3)
- loan contract design (3)
- longevity risk (3)
- monetary transmission mechanism (3)
- money market funds (3)
- monitoring (3)
- mortgages (3)
- networks (3)
- panel VAR (3)
- pension reform (3)
- persistence (3)
- proprietary trading (3)
- public policy (3)
- quantitative easing (3)
- recursive utility (3)
- regime-switching (3)
- retirement (3)
- retirement age (3)
- retirement income (3)
- risk aversion (3)
- risk taking (3)
- social preferences (3)
- spatial data (3)
- sticky prices (3)
- stochastic differential utility (3)
- stochastic volatility (3)
- sustainability (3)
- sustainable finance (3)
- systematic risk (3)
- taxes (3)
- trading behavior (3)
- unconventional monetary policy (3)
- wealth (3)
- workouts (3)
- yield curve (3)
- zero interest rate bound (3)
- Öffentliche Ordnung (3)
- ABS (2)
- AI borrower classification (2)
- AI enabled credit scoring (2)
- ARCH-Prozess (2)
- Abnormal Returns (2)
- Accounting for Banks (2)
- Active investors (2)
- Adaptive Erwartung (2)
- Adverse Selection Risk (2)
- Aggregate outcomes (2)
- Aktienkurs (2)
- Aktionär (2)
- Alternative investments (2)
- Anchoring (2)
- Anlegerschutz (2)
- Anleihe (2)
- Annual General Meeting (2)
- Anreiz (2)
- Antitrust (2)
- Asset Prices (2)
- Asset Quality Review (2)
- Asset Securitisation (2)
- Asymmetric Information (2)
- Auditing (2)
- Auftragsabwicklung (2)
- Bank Capitalization (2)
- Bank Lending (2)
- Bank Simulation (2)
- Bankbilanz (2)
- Bankenabwicklung (2)
- Bankensektor (2)
- Banking Stability (2)
- Banking crisis (2)
- Bankruptcy (2)
- Bargaining (2)
- Basle 2 (2)
- Basle Committee (2)
- Basler Eigenkapitalvereinbarung <1988> (2)
- Basler Eigenkapitalvereinbarung, 2001 (2)
- Basler Eigenkapitalvereinbarung, 2010 (2)
- Bayes-Entscheidungstheorie (2)
- Bayesian estimation (2)
- Bayesian learning (2)
- Beliefs (2)
- Big Data (2)
- Biodiversity (2)
- Bitcoin (2)
- Board of Directors (2)
- Bond Markets (2)
- Brent (2)
- Bundesanleihe (2)
- Business Sentiment (2)
- Business lending (2)
- Börse (2)
- Börsenmakler (2)
- CAPM (2)
- CBDC (2)
- CLO (2)
- Call-Option (2)
- Capital Markets (2)
- Car Loans (2)
- Central Counterparties (2)
- Choquet expected utility (2)
- Circuit Breaker (2)
- Coco bonds (2)
- Cognition (2)
- Collateral (2)
- Collateral Constraint (2)
- Collateral Policy (2)
- Commerzbank (2)
- Commodities (2)
- Compensation (2)
- Compensation Structure (2)
- Complexity (2)
- Conditional Volatility (2)
- Consumer Welfare (2)
- Consumption Dynamics (2)
- Contract Design (2)
- Core Inflation (2)
- Coronavirus (2)
- Corporate Debt Structure (2)
- Counterparty Risk (2)
- Covid pandemic (2)
- Credit (2)
- Credit Rating Agencies (2)
- Crowding-out (2)
- Cumulative prospect theory (2)
- Current Account (2)
- DCC-GARCH (2)
- DSGE Model (2)
- Dark Trading (2)
- Deductible Insurance (2)
- Default (2)
- Delegated portfolio management (2)
- Density Forecasting (2)
- Deposit Insurance (2)
- Desinvestition (2)
- Deutsche Bank (2)
- Digitalisierung (2)
- Disaggregated Prices (2)
- Disinflation (2)
- Distress (2)
- Dodd-Frank Act (2)
- Downside Risk (2)
- Drei-Säulen-System (2)
- Dynamic Duration Models (2)
- Dynamisches Gleichgewicht (2)
- ECB Monetary Policy (2)
- EMIR (2)
- ESG Rating Agencies (2)
- EU economic and financial services legislation (2)
- Economic Governance (2)
- Effektenbank (2)
- Eigenkapitalgrundsätze (2)
- Einkommensteuer (2)
- Electronic Commerce (2)
- Eligibility premium (2)
- Emissionsgeschäft (2)
- Emissionskurs (2)
- Empirical Asset Pricing (2)
- Endogenous Growth (2)
- Endogenous growth (2)
- Enforcement (2)
- Entrepreneurial Finance (2)
- Entry and exit (2)
- Entscheidung bei Unsicherheit (2)
- Entwicklungsländer (2)
- Environmental (2)
- Environmental policy (2)
- Equity Crowdfunding (2)
- Euro (2)
- Euro area (2)
- Euromarkt (2)
- Europarecht (2)
- European Banking Union (2)
- European Commission (2)
- European Supervisory Architecture (2)
- European integration (2)
- Eurozone (2)
- Excess Zeros (2)
- Exchange Rates (2)
- Executive Compensation (2)
- Exotic options (2)
- Expectation Formation (2)
- Expected Returns (2)
- Expected credit losses (2)
- Experiment (2)
- FBSDE (2)
- Fair Value Accounting (2)
- FinTechs (2)
- Finance (2)
- Financial Advice (2)
- Financial Distress (2)
- Financial Education Programs (2)
- Financial Expert (2)
- Financial Instruments (2)
- Financial Reporting (2)
- Financial literacy (2)
- Finanzierung (2)
- Finanzintermediäre (2)
- Finanztransaktionssteuer (2)
- Firmenkundengeschäft (2)
- Firmenwert (2)
- Fiscal Consolidation (2)
- Fiscal Union (2)
- Fiskalunion (2)
- Flotation Costs (2)
- Forbearance (2)
- Forecasting (2)
- Freibetrag (2)
- Fremdfinanzierung (2)
- Fund Flows (2)
- Funds (2)
- Fusion (2)
- G-SIB (2)
- G-SIFIs (2)
- Geldmarkt (2)
- Geldmenge (2)
- Geldmengensteuerung (2)
- General-to-specific Methodology (2)
- German banks (2)
- German financial system (2)
- German reunification (2)
- Geschichte 1997-2000 (2)
- Geschichte 2002 (2)
- Geschichte 2007-2010 (2)
- Glaubwürdigkeit (2)
- Globalization (2)
- Government Debt (2)
- Great Recession (2)
- Greek economic crisis (2)
- Green Bonds (2)
- Greenwashing (2)
- Griechenland (2)
- Grunderwerbsteuer (2)
- Handel (2)
- Hausbank (2)
- Hawkes processes (2)
- Health (2)
- Health shocks (2)
- Hedge Accounting (2)
- Hedging (2)
- Herd Behavior (2)
- Heterogeneous innovation (2)
- Hidden Liquidity (2)
- High Frequency Data (2)
- High Frequency Trading (2)
- High-Frequency Traders (HFTs) (2)
- High-frequency Data (2)
- Hold-up (2)
- Home ownership (2)
- Homestead exemptions (2)
- House prices (2)
- Household-Size Economies (2)
- Housing (2)
- Housing Wealth (2)
- Human Capital (2)
- IAS (2)
- Iceberg Orders (2)
- Idiosyncratic Risk (2)
- Income and Wealth Inequality (2)
- Incomplete markets (2)
- India (2)
- Inflation Convergence (2)
- Inflationsrate (2)
- Informationsökonomie (2)
- Infrastructure (2)
- Insider Trading (2)
- Institutioneller Anleger (2)
- Insurance Companies (2)
- Interest Rate Guarantees (2)
- Intermediary (2)
- International Accounting Standard 39 (2)
- International Finance (2)
- Internationale Kapitalbewegung (2)
- Internationaler Konjunkturzusammenhang (2)
- Internationaler Kreditmarkt (2)
- Investmentsparen (2)
- Investor Protection (2)
- Investor behavior (2)
- Investor protection (2)
- Ireland (2)
- Jumps (2)
- Kapitalmobilität (2)
- Kassamarkt (2)
- Keynessche Theorie (2)
- Kointegration (2)
- Kongress (2)
- Konsol (2)
- Kosten (2)
- Kreditgeschäft (2)
- Kreditgewährung (2)
- Kreditpolitik (2)
- Kurtosis (2)
- Lebenshaltungskosten (2)
- Lebensversicherungen (2)
- Leistungsbilanz (2)
- Lender of Last Resort (2)
- Lending (2)
- Life Insurance (2)
- Life-Cycle Model (2)
- Liikanen-Kommission (2)
- Limit Order Book (2)
- Limit Order Market (2)
- Limit Order Markets (2)
- Limited Enforcement (2)
- Linear Aggregation (2)
- Liquidity Coinsurance (2)
- Liquidity Constraints (2)
- Liquidity Trap (2)
- Liquiditätspräferenztheorie (2)
- Loan Securitisation (2)
- Loan loss accounting (2)
- Loans (2)
- Lock-up (2)
- Long-Run Performance (2)
- Long-run Risk (2)
- Lottery stocks (2)
- Low-income Countries (2)
- Macroeconomic Announcements (2)
- Macroeconomic Modelling (2)
- Makroökonomie (2)
- Makroökonomisches Modell (2)
- Mark-to-Market (2)
- Mark-to-market (2)
- Market Design (2)
- Market Fragmentation (2)
- Market Quality (2)
- Marketplace lending (2)
- Marktanteil (2)
- Markteffizienz (2)
- Marktrisiko (2)
- Merger (2)
- Messung (2)
- MiFIR (2)
- Microstructure (2)
- Minimax (2)
- Monetary policy rules (2)
- Monetary policy transmission (2)
- Money (2)
- Mortgages (2)
- Multiplicative Error Model (2)
- Multivariate GARCH (2)
- Multivariate Probit (2)
- Nachhaltigkeit (2)
- Networks (2)
- New Keynesian (2)
- New-Keynesian Model (2)
- Nominal GDP Growth (2)
- Non-performing Loans (2)
- Notenbank (2)
- OMT (2)
- Open Banking Platform Germany (2)
- Optimal Taxation (2)
- Optimal policy (2)
- Optimism (2)
- Optionsgeschäft (2)
- Optionshandel (2)
- Optionsmarkt (2)
- Optionspreistheorie (2)
- Output Gap (2)
- Over-Allotment Option (2)
- Ownership Structure (2)
- P2P lending (2)
- PCAOB (2)
- Parameter Elicitation (2)
- Patents (2)
- Permanent Income Hypothesis (2)
- Personal bankruptcy (2)
- Phillips Curve (2)
- Phillips-Kurve (2)
- Policy Rules (2)
- Policy Under Uncertainty (2)
- Political Union (2)
- Politische Union (2)
- Portfolio Optimization (2)
- Portugal (2)
- Predictive Likelihood (2)
- Preisindex der Lebenshaltung (2)
- Price Impact of Trades (2)
- Principal Agent (2)
- Private equity (2)
- Procyclicality (2)
- Product Market Competition (2)
- Product Market Deregulation (2)
- Productivity (2)
- Prognoseverfahren (2)
- Prospect Theory (2)
- Prudential oversight (2)
- Put-Option (2)
- Quantitative easing (2)
- Quantity Theory (2)
- Ratingagenturen (2)
- Rational Expectations (2)
- Real Effects (2)
- Real-time Data (2)
- Realer-Konjunkturzyklus-Theorie (2)
- Reallocation (2)
- Reformvorschläge (2)
- Regelbindung (2)
- Regional Diversity (2)
- Rentenreform (2)
- Reputation (2)
- Resolution (2)
- Retail Investor (2)
- Retirement Planning (2)
- Rezession (2)
- Risikoprämie (2)
- Risk Premium (2)
- Risk Transfer (2)
- Risk-Taking (2)
- SFDR (2)
- SRM (2)
- SWIFT (2)
- Sanctions (2)
- Schuldenbremse (2)
- Schuldenkrise (2)
- Schweiz (2)
- Scrum (2)
- Securitization (2)
- Selection (2)
- Self-control (2)
- Self-fulfilling Prophecy (2)
- Semiparametric Specification Test (2)
- Share Deals (2)
- Sicherheit (2)
- Sign Restrictions (2)
- Simulated Maximum Likelihood (2)
- Single Resolution Mechanism (2)
- Skewness (2)
- Social Insurance (2)
- Social Networks (2)
- Spanien (2)
- Speculation (2)
- Spread Decomposition Models (2)
- Staatsschuldenkrise (2)
- Standortfaktor (2)
- Steuergestaltung (2)
- Stochastic Volatility (2)
- Stochastic mortality risk (2)
- Stock Market (2)
- Stock Market Participation (2)
- Stone-Geary preferences (2)
- Stress Test (2)
- Structured Finance (2)
- Supply Chain (2)
- Survey Indicator (2)
- Survey Method (2)
- Sustainable Investing (2)
- Syndicated loans (2)
- Systematic Risk (2)
- Systemisches Risiko (2)
- TIPS (2)
- Tagesgeschäft (2)
- Tail Risk (2)
- Taxonomy (2)
- Taylor Rule (2)
- Taylor Rules (2)
- Term Structure of Interest Rates (2)
- Termingeschäft (2)
- Theorie (2)
- Top Income Taxation (2)
- Trading Intensity (2)
- Transfer Learning (2)
- Transition risk (2)
- Twitter (2)
- US GAAP (2)
- Unbewegliche Sache (2)
- Underwriter Fee (2)
- Unternehmensgründung (2)
- VaR (2)
- Value-at-risk (2)
- Variance Decomposition (2)
- Vektor-autoregressives Modell (2)
- Verbraucher (2)
- Volatility Interruption (2)
- WTI (2)
- Wealth (2)
- Welfare (2)
- Welthandel (2)
- Wertpapierhandelssystem (2)
- Wertpapierportefeuille (2)
- Wettbewerbsfreiheit (2)
- Wettbewerbsfähigkeit (2)
- Wirtschaftskrise (2)
- Wohneigentum (2)
- Zeitreihenanalyse (2)
- Zentralbank (2)
- Zentralbanken (2)
- Zentraler Kontrahent (2)
- Zero Lower Bound (2)
- Zins (2)
- Zinsen (2)
- Zwangsanleihe (2)
- advertising (2)
- announcements (2)
- anomalies (2)
- art (2)
- art market (2)
- asset valuation (2)
- attention (2)
- auctions (2)
- austerity (2)
- bank capital (2)
- bank competition (2)
- bank deposits (2)
- bank risk (2)
- banking separation (2)
- behavioral finance (2)
- bond markets (2)
- borrowing constraints (2)
- bubbles (2)
- business equity (2)
- capital (2)
- central bank (2)
- central bank communication (2)
- central banking (2)
- central banks (2)
- compensation (2)
- compensation design (2)
- complexity (2)
- computer vision (2)
- consumer credit (2)
- consumption hump (2)
- continuation vote (2)
- contract design (2)
- coordination (2)
- core (2)
- corn (2)
- corporate bond market (2)
- corporate restructuring (2)
- cost of capital (2)
- credibility (2)
- credit funds (2)
- credit scoring methodology (2)
- credit scoring regulation (2)
- credit supply (2)
- crises (2)
- crisis (2)
- crowdfunding (2)
- crowdinvesting (2)
- cryptocurrencies (2)
- cycle flows (2)
- cyclical liabilities (2)
- debt consolidation (2)
- debt maturity (2)
- debt restructuring (2)
- default (2)
- deflation (2)
- delayed claiming (2)
- delayed retirement (2)
- density forecasting (2)
- derivatives (2)
- disaster risk (2)
- discount (2)
- distress prediction (2)
- diversification (2)
- dynamic portfolio choice (2)
- early retirement (2)
- economic and monetary union (2)
- education (2)
- elasticity of intertemporal substitution (2)
- electricity (2)
- emergency liquidity assistance (ELA) (2)
- equity options (2)
- event study (2)
- exchange rate (2)
- executive compensation (2)
- exit strategies (2)
- expectation formation (2)
- experimental economics (2)
- experts (2)
- factor model (2)
- financial advice (2)
- financial institutions (2)
- financial markets (2)
- financial privacy (2)
- financial services (2)
- financial sophistication (2)
- financial system (2)
- financing decisions (2)
- financing policy (2)
- firm heterogeneity (2)
- forecast combination (2)
- futures (2)
- gasoline (2)
- general equilibrium (2)
- global banks (2)
- global real activity (2)
- government bonds (2)
- green finance (2)
- hedge funds (2)
- heterogeneous agents (2)
- high-frequency data (2)
- historical statistics (2)
- household portfolio (2)
- household portfolios (2)
- household survey (2)
- household-portfolio shares (2)
- identification (2)
- implied volatility skew (2)
- impulse response (2)
- individual investor (2)
- individual investors (2)
- inflation target (2)
- information aggregation (2)
- innovation (2)
- institutional investors (2)
- institutions (2)
- interbank network (2)
- interbank networks (2)
- international financial integration (2)
- investments (2)
- joint inference (2)
- labor supply (2)
- laboratory experiment (2)
- life cycle saving (2)
- lifetime income (2)
- limit order book (2)
- liquidity provision (2)
- loanable funds (2)
- long-run risk (2)
- long-term lending (2)
- longevity (2)
- loss function (2)
- macro-prudential supervision (2)
- macroeconomic modelling (2)
- macroeconomic models (2)
- macroprudential supervision (2)
- managerial incentives (2)
- manipulation (2)
- marginal propensity to consume (2)
- market efficiency (2)
- market supervision (2)
- monetary policy rule (2)
- monetary policy transmission (2)
- monetary transmission (2)
- money markets (2)
- mutual funds (2)
- nachrangiges Fremdkapital (2)
- natural experiment (2)
- natural gas (2)
- newly founded firms (2)
- news (2)
- nonlinear optimal policy (2)
- oil inventories (2)
- oil market (2)
- operational performance (2)
- optimal investment (2)
- option prices (2)
- pandemics (2)
- pass-through (2)
- payout policy (2)
- pensions (2)
- policy under uncertainty (2)
- politische Union (2)
- population aging (2)
- principal-agent models (2)
- principles-based regulation (2)
- private information (2)
- productivity (2)
- professional networks (2)
- prohibition of proprietary trading (2)
- property rights (2)
- quantity theory (2)
- real estate lending (2)
- real exchange rate (2)
- recapitalization (2)
- recession (2)
- recovery (2)
- redistribution (2)
- refugees (2)
- renegotiation (2)
- repurchases (2)
- responsible lending (2)
- return predictability (2)
- risk (2)
- risk management (2)
- risk premia (2)
- risk transfer (2)
- safe assets (2)
- screening (2)
- securities regulation (2)
- seigniorage (2)
- sentiment (2)
- shareholder activism (2)
- shareholder recovery (2)
- shipping (2)
- signaling (2)
- simulated method of moments (2)
- skewness (2)
- social dilemmas (2)
- social media (2)
- social norms (2)
- sovereign debt crisis (2)
- sovereign exposures (2)
- speed bump (2)
- spillover effects (2)
- spot market power (2)
- stakeholders (2)
- statistical discrimination (2)
- stock market (2)
- stock market participation (2)
- stock returns (2)
- structural VAR (2)
- structured finance (2)
- subsistence consumption (2)
- supervisory arbitrage (2)
- supervisory board (2)
- surveillance (2)
- syndicated loans (2)
- systemic risk charge (2)
- tatonnement (2)
- taxation (2)
- too big to fail (2)
- too-big-to-fail (2)
- total loss absorbing capacity (TLAC) (2)
- tragedy of the commons (2)
- transmission (2)
- two-asset portfolio (2)
- unconventional oil (2)
- wealth distribution (2)
- welfare loss (2)
- fiscal policy (2)
- Älterer Mensch (2)
- Österreich (2)
- "Event Study" (1)
- "magnet effect" (1)
- 2-Sector Model (1)
- ARCH-Modell (1)
- ARMA (1)
- Abgabe (1)
- Abhängigkeit (1)
- Absatzweg (1)
- Abwanderung-Widerspruch-Theorie (1)
- Abwicklung (1)
- Abwicklungsinstrumente (1)
- Academic faculties (1)
- Accounting (1)
- Accounting for Financial Instruments in the Banking Industry: Conclusions from a Simulation Model (1)
- Accounting regulation (1)
- Accounting research (1)
- Acquisitions (1)
- Activism (1)
- Activist Hedge Fund (1)
- Adaptation (1)
- Adverse Selection Costs (1)
- Affordability crisis (1)
- Age (1)
- Agency Theory (1)
- Agency costs (1)
- Aggregate Fluctuations (1)
- Agile Methods (1)
- Agile methods (1)
- Aktie (1)
- Aktienanalyse (1)
- Aktienbewertung (1)
- Aktienportefeuille (1)
- Algorithmic Discrimination (1)
- Algorithmic transparency (1)
- Allgemeines Gleichgewicht (1)
- Allgemeines Gleichgewichtsmodell (1)
- Allocation (1)
- Allocative Effciency (1)
- Alternative Investments (1)
- Altersstruktur (1)
- Amortization payments (1)
- Amtsperiode (1)
- AnaCredit (1)
- Angebot (1)
- Angel (1)
- Anlageentscheidung (1)
- Anlagepolitik (1)
- Anlageverhalten (1)
- Anleihemärkte (1)
- Annuity (1)
- Anonymity (1)
- Anreizsystem (1)
- Anteilseigner (1)
- Anticipated Inflation (1)
- Anticipatory Feeling (1)
- Apache Spark (1)
- Appraisal rights (1)
- Arbeitsloser (1)
- Arbeitsmarktflexibilisierung (1)
- Arbeitsmarkttheorie (1)
- Arbitrage (1)
- Arm’s Length Debt (1)
- Art (1)
- Art Index (1)
- Art Market (1)
- Art investment (1)
- Art market (1)
- Art price index (1)
- Artificial Intelligence; (1)
- Asset Allocation, Contagion (1)
- Asset Liquidation (1)
- Asset Location (1)
- Asset Management Companies (1)
- Asset Market (1)
- Asset Price Bubbles (1)
- Asset Price Cycles (1)
- Asset Purchase Programme (1)
- Asset Return (1)
- Asset Side Market Discipline (1)
- Asset allocation (1)
- Asset prices (1)
- Asymmetric Tax Regimes (1)
- Asymmetries (1)
- Asymmetry (1)
- Asynchronous Trading (1)
- Auction (1)
- Auctions (1)
- Audit fees (1)
- Audit partner tenure (1)
- Audit quality (1)
- Auditor rotation (1)
- Ausbreitung (1)
- Ausgaben (1)
- Auslandsanleihe (1)
- Auslandsschulden (1)
- Austerity Measures (1)
- Automation (1)
- Autoregressiver Prozess (1)
- Außenhandel (1)
- Außenwirtschaft (1)
- Außenwirtschaftliches Gleichgewicht (1)
- Außerbilanzielles Geschäft (1)
- Außerbörslicher Wertpapierhandel (1)
- BCBS (1)
- BVerfG (1)
- BaFin (1)
- Backward error (1)
- Bafin (1)
- Bail-in Anleihen (1)
- Bailin (1)
- Bank Accounting (1)
- Bank Acquisition (1)
- Bank Bailout (1)
- Bank Capital (1)
- Bank Capital Structure (1)
- Bank Corporate Governance (1)
- Bank Credit (1)
- Bank Defaults (1)
- Bank Deregulation (1)
- Bank Incentives (1)
- Bank Lending Conditions (1)
- Bank Pool (1)
- Bank Recapitalization (1)
- Bank Recovery and Resolution Directive (BRRD) (1)
- Bank Regulation (1)
- Bank Supervision (1)
- Bank affiliation (1)
- Bank loan terms (1)
- Bank of Japan (1)
- Bank's Balance Sheets (1)
- Bankberatung (1)
- Banken (1)
- Bankenabgabe (1)
- Bankenhospital (1)
- Bankeninsolvenz (1)
- Bankenliquidität (1)
- Bankenwettbewerb (1)
- Banker's pay (1)
- Banking Competition (1)
- Banking Crisis (1)
- Banking Supervision (1)
- Banking union (1)
- Bankrecht (1)
- Bankrott (1)
- Bargaining Power (1)
- Basel II (1)
- Basel II Accord (1)
- Basel regulation (1)
- Basisdemokratie (1)
- Batch Learning (1)
- Bayes-Verfahren (1)
- Bayesian analysis (1)
- Bayesian time-varying parameter estimation (1)
- Befragungsanalyse (1)
- Behandlungskapazität (1)
- Behavioral Finance (1)
- Beitragsgarantien (1)
- Belief Formation (1)
- Belief up-dating (1)
- Bellman Equations (1)
- Beschränkung (1)
- Beschäftigungstheorie (1)
- Beschäftigungswirkung (1)
- Beta (1)
- Betafaktor (1)
- Beteiligungsfinanzierung (1)
- Betrieb (1)
- Betriebsgröße (1)
- Bevölkerungsentwicklung (1)
- Bewertungsreserven (1)
- Bewertungsreserven, (1)
- Bewertungsstetigkeit (1)
- Bezüge im Bankensektor (1)
- Bias (1)
- Bias in medical research (1)
- Bid-Ask Spread (1)
- Big Five (1)
- Big data (1)
- Bilanz (1)
- Bilanzierungsgrundsätze (1)
- Bilanzklarheitsgrundsatz (1)
- Bilanzkontinuität (1)
- Bilanzrecht (1)
- Bilateral Trade Flows (1)
- Biotech Firms (1)
- Blankoverkauf (1)
- Blocked Realized Kernel (1)
- Blocking (1)
- Board Appointments (1)
- Board Oversight (1)
- Bond Market (1)
- Bond Ratings (1)
- Bond Spreads (1)
- Bond risk premia (1)
- Boni (1)
- Boom (1)
- Bootstrap (1)
- Borrowing (1)
- Briefkastenfirmen (1)
- Broker (1)
- Brokerage (1)
- Bubbles (1)
- Buchführung (1)
- Buchführungsgrundsätze (1)
- Buffer Stock Model (1)
- Bunching (1)
- Business Subsidies (1)
- Business cycles (1)
- Bust (1)
- Börsenkrach (1)
- Börsenmaklerin (1)
- Börsenwettbewerb (1)
- C corporations (1)
- CBRT (1)
- CCP (1)
- CDS spreads (1)
- CECL (1)
- CEO Speeches (1)
- CMU (1)
- COVID-19 Pandemic (1)
- COVID-19 news (1)
- COVID-19 pandemic (1)
- CRA3 (1)
- CSPP (1)
- CSR (1)
- Call Market (1)
- Call options (1)
- Canada (1)
- Capacity utilization (1)
- Capital Purchase Program (1)
- Capital Taxation (1)
- Capital requirements (1)
- Capitulation (1)
- Carbon Taxation (1)
- Carbon abatement (1)
- Cash (1)
- Cash Flow Risk (1)
- Cash flow effect of monetary policy (1)
- Cashflow (1)
- Cat Bonds (1)
- Causal Machine Learning (1)
- Causal inferences (1)
- Central Bank (1)
- Central Bank Losses (1)
- Central Bank of Cyprus (1)
- Central Banks (1)
- Central Banks and Their Policies (1)
- Central Clearing (1)
- Central Counterparty (1)
- Central Counterparty Clearing House (CCP) (1)
- Central bank liquidity (1)
- Centrality (1)
- Chancen- und Risikoberichterstattung (1)
- Chart-Analyse (1)
- Checkliste (1)
- Childhood (1)
- Chile (1)
- Cholesky decomposition (1)
- Citation Network Analysis (1)
- Classification (1)
- Clearing (1)
- Climate Behavior (1)
- Climate Policies (1)
- Climate change economics (1)
- Climate finance (1)
- Closed-end fund (1)
- Closed-end fund discount (1)
- Closed-end funds (1)
- Closing Price (1)
- Clustering (1)
- Co-residence (1)
- CoCo Bond (1)
- CoCo bonds (1)
- CoCos (1)
- Coalitions (1)
- Cognitive Abilities (1)
- Cohorts (1)
- Collateral constraints (1)
- Collateralized debt obligation (1)
- Collective Action Clause (1)
- College dropout risk (1)
- College premium (1)
- College wage premium (1)
- Colocation (1)
- Commercial banking (1)
- Commitment (1)
- Common Factor (1)
- Common Factor Model (1)
- Common Factor Models (1)
- Common Factor Weights (1)
- Comovements (1)
- Competition Policy (1)
- Competition in Order Flow (1)
- Complementarity (1)
- Complex Financial Instruments (1)
- Comprehensive Assessment (1)
- Concentration (1)
- Condition number (1)
- Conditional Pooling (1)
- Conditional intensity (1)
- Conditional response (1)
- Conditionality (1)
- Confirmatory Bias (1)
- Connectivity (1)
- Consumer Finance (1)
- Consumer confidence (1)
- Consumer credit (1)
- Consumer financial protection (1)
- Consumption Function (1)
- Consumption Inequality (1)
- Consumption Insurance (1)
- Consumption hump (1)
- Consumption-Saving (1)
- Consumption-investment Problems (1)
- Consumption-portfolio choice (1)
- Consumption/Saving Forecast (1)
- Contagion Risk (1)
- Container Trade (1)
- Contestability (1)
- Contingent Commissions (1)
- Contingent Convertible Bonds (1)
- Contingent Convertible Capital (1)
- Continuous-time methodsc (1)
- Contract (1)
- Contract terms (1)
- Contractarian Model of Corporate Law (1)
- Control transfers (1)
- Convertible Securities (1)
- Cooperation (1)
- Coordination (1)
- Coordination Risk (1)
- Copula (1)
- Corona-Steuerhilfegesetz (1)
- Corporate Announcements (1)
- Corporate Distress (1)
- Corporate Financing (1)
- Corporate Groups (1)
- Corporate Name Change (1)
- Corporate Philanthropy (1)
- Corporate Quantitative Easing (1)
- Corporate bonds (1)
- Corporate concentration (1)
- Corporate deposits (1)
- Corporate financing (1)
- Corporate governance (1)
- Corporate law (1)
- Corporate quantitative easing (1)
- Correlated Events (1)
- Costly Capital (1)
- Counterfactual Decompositions (1)
- Counterparty Credit Limits (1)
- Country Comparison (1)
- Country-Specific and Global Shocks (1)
- Covariance Estimation (1)
- Covariance Prediction (1)
- Covenants (1)
- Covid-19 Pandemic (1)
- Covid-19-Crisis (1)
- Creative destruction (1)
- Credibility of Inflation Targets (1)
- Credit Crunch (1)
- Credit Cycles (1)
- Credit Default Swap (CDS) (1)
- Credit Default Swaps (1)
- Credit Risk Transfer (1)
- Credit derivatives (1)
- Credit lines (1)
- Credit rating (1)
- Credit risk (1)
- Credit spreads (1)
- Credit union (1)
- Creditor Protection (1)
- Creditor Rights (1)
- Creditor Rights Protection (1)
- Crime (1)
- Crises Forecasting (1)
- Crisis Management (1)
- Crisis contracts (1)
- Cross-Predictability (1)
- Cross-Section of Returns (1)
- Crowding Out (1)
- Cryptocurrencies (1)
- Cultural Finance (1)
- Cultural Influences on Economic Behavior (1)
- Culture (1)
- Customer Flow (1)
- Customer Protection Rules (1)
- Customer data sharing (1)
- Cycle Portfolio Choice (1)
- Cyprus (1)
- D49 (1)
- DGE Models (1)
- DSGE Models (1)
- DSGE model (1)
- DSGE modelling (1)
- Dark Pools (1)
- Data access (1)
- Data portability (1)
- Database linking (1)
- Dealer Markets (1)
- Debit Cards (1)
- Debt (1)
- Debt Management (1)
- Debt Securities (1)
- Debt and equity financing (1)
- Decision (1)
- Default probability (1)
- Defizitregeln (1)
- Delaunay Interpolation (1)
- Delaware Incorporation (1)
- Demand Analysis (1)
- Democratic Legitimacy (1)
- Demographic Change (1)
- Demographischer Wandel (1)
- Demutualization (1)
- Depreciation (1)
- Depths (1)
- Derivat <Wertpapier> (1)
- Derivatehandel (1)
- Derivatives (1)
- Designated Market Makers (DMMs) Market Making (1)
- Determinacy (1)
- Deutsche Bundesbank (1)
- Deutscher Aktienindex (1)
- Deutsches Rentensystem (1)
- Devisen (1)
- Devisenbörse (1)
- Devisenmarkt (1)
- DiD (1)
- Dictionary (1)
- Dienstleistungsverkehr (1)
- Difference in Difference (1)
- Different Beliefs (1)
- Digital (1)
- Digital art (1)
- Digital footprints (1)
- Digitalized Markets (1)
- Directors' Dealings (1)
- Direktinvestition (1)
- Disappointment (1)
- Disasters (1)
- Disclosure Framework (1)
- Disclosure regulation (1)
- Discount Broker (1)
- Discount Rate Risk (1)
- Discount Rates (1)
- Discourse (1)
- Discretion (1)
- Discretionary Fiscal Policy (1)
- Disintegration (1)
- Diskontsatz (1)
- Distraction (1)
- Distributed Computing (1)
- Distributed Ledger (1)
- Distributed lag (1)
- Distribution (1)
- Distribution of Welfare (1)
- Divergence of Opinion (1)
- Diversification (1)
- Dividend Payments (1)
- Dividend Policy (1)
- Dividendenpolitik (1)
- Dividends (1)
- Double Auction (1)
- Double Volume Caps (1)
- Downside risk (1)
- Downward Nominal Rigidity (1)
- Drag-along rights (1)
- Dual Moral Hazard (1)
- Dual-class shares (1)
- Dunkelziffer (1)
- Durable consumption (1)
- Duration of Civil Proceedings (1)
- Dynamic Capabilities (1)
- Dynamic Factor Model (1)
- Dynamic Models (1)
- Dynamic Networks (1)
- Dynamic Optimization (1)
- Dynamic Representative Consumer (1)
- Dynamic Stochastic General Equilibrium Model (1)
- Dynamic and Reliable Regulation (1)
- Dynamic inconsistency (1)
- Dynamic stochastic general equilibrium model (1)
- Dynamisches Modell (1)
- E.U. Corporate Law (1)
- ECB policy surprise (1)
- ECJ (1)
- EDIC (1)
- EFSF (1)
- EGC (1)
- EIOPA (1)
- ELA (1)
- ESCB (1)
- ESG Investing (1)
- ESG lending (1)
- ESG loans (1)
- ESG ratings (1)
- EU (1)
- EU Bonds (1)
- EU banks (1)
- EU countries (1)
- EU crisis (1)
- EU industrial production (1)
- EU market regulation (1)
- EU-Staaten (1)
- EURONET-DIANE (1)
- Earnings Management (1)
- Econometrics (1)
- Economic Literacy (1)
- Economic Performance (1)
- Economic Recovery (1)
- Economic Reforms (1)
- Economic research (1)
- Economics (1)
- Education (1)
- Education Subsidy (1)
- Effective lower bound (1)
- Effektivinflation (1)
- Effektivverzinsung (1)
- Efficiency Wages (1)
- Efficient Frontier (1)
- Efficient Importance Sampling (1)
- Efficient Return (1)
- Eigenheim (1)
- Eigenkapital (1)
- Einkommensunterschied (1)
- Einlagengeschäft (1)
- Einlagensicherung (1)
- Einlageverträge (1)
- Elasticity (1)
- Electoral Pressure (1)
- Electronic Markets (1)
- Emerging Market Economies (1)
- Emerging Market Emerging Market (1)
- Emerging Markets (1)
- Emissions (1)
- Empirical Contract Theory (1)
- Empirical methods (1)
- Empirische Vertragsanalyse (1)
- Employee commitment (1)
- Employee rights (1)
- Endogeneity (1)
- Endogenous Asset Market Participation (1)
- Endogenous Beliefs (1)
- Endogenous Gridpoints (1)
- Endogenous gridpoints Method (1)
- Energiewende (1)
- Energy Efficiency (1)
- Energy Performance Certificate (1)
- Energy crisis (1)
- Energy efficiency (1)
- Enforcement Delegation (1)
- Enriched Digital Footprint (1)
- Entity matching (1)
- Entity resolution (1)
- Entrepreneurial Activity (1)
- Entrepreneurial finance (1)
- Entropy Measure (1)
- Entry (1)
- Entscheidung (1)
- Entscheidungsregel (1)
- Entscheidungstheorie (1)
- Epidemiologic model (1)
- Epidemiologisches Modell (1)
- Epstein-Zin preferences (1)
- Epstein-Zin-Weil recursive preferences (1)
- Equation of Exchange (1)
- Equilibrium Exchange Rates (1)
- Equilibrium Thinking (1)
- Equity Culture (1)
- Equity Markets (1)
- Equity Options (1)
- Equity Trading (1)
- Equity fund (1)
- Equity options (1)
- Equivalence Scales (1)
- Equivalent Incomes (1)
- Erbschaftsteuer (1)
- Erich Gutenberg (1)
- Ernennungspraxis von Zentralbankern (1)
- Erneuerbare-Energien-Gesetz (1)
- Erwachsener, 50-60 Jahre (1)
- Erwachsener, 50-65 Jahre (1)
- Erwartungsbildung (1)
- Estimation (1)
- Estimation efficiency (1)
- Ethereum (1)
- Ethics (1)
- Euro <Währung> (1)
- Euro Area Regional and Sectoral Inflation (1)
- Euro Area and US (1)
- Euro, Währung (1)
- Euro-zone Government Bonds (1)
- Eurobonds (1)
- Europe (1)
- European Banking Authority (1)
- European Banking Authority (EBA) (1)
- European Banking Authority, Single Supervisory Mechanism (1)
- European Capital Markets Union (1)
- European Central Bank (ECB) (1)
- European Central Bankor (1)
- European Insurance Union (1)
- European Insurance and Occupational Pensions Authority (1)
- European Integration (1)
- European Investment Bank (1)
- European Market Infrastructure Regulation (EMIR) (1)
- European Parliament (1)
- European Stability Mechanism (1)
- European Supervisory Authorities (1)
- European System of Central Banks (1)
- European Systemic Risk Board (1)
- European Union (1)
- European banks (1)
- European debt crisis (1)
- European household portfolios (1)
- European market fragmentation (1)
- European unemployment insurance (1)
- Europäische Währungsunion, Strukturanpassungen, Europäische Integration (1)
- Eurosystem collateral eligibility (1)
- Evidence-based policymaking (1)
- Excess sensitivity (1)
- Excessive risk taking (1)
- Exchange Rate Channel (1)
- Exchange Rate Mechanism (1)
- Exchange Rate Pass-Through (1)
- Exchange rate volatility (1)
- Exchange traded funds (1)
- Execution Cost (1)
- Execution Quality (1)
- Executive Remuneration (1)
- Exit Decisions (1)
- Exit Rights (1)
- Expectation Error (1)
- Expectation formation (1)
- Expectation–Maximisation (1)
- Expected Equity Returns (1)
- Expected shortfall (1)
- Expenditure Survey (1)
- Experience (1)
- Experiences (1)
- Experimental Asset Markets (1)
- Experimental Economics (1)
- Experimental Finance (1)
- Explainable machine learning (1)
- Explosive behavior (1)
- Exponential smoothing (1)
- Externalities (1)
- Extracurricular Activities (1)
- Extrapolation (1)
- Extreme Price Movements (1)
- Extreme value theory (1)
- FDI-intensity (1)
- Factor Model (1)
- Factor Models (1)
- Factor Structure (1)
- Factor-Augmented Vector Autoregression Model (FAVAR) (1)
- Fair value (1)
- Fair-Value Accounting (1)
- Faktorenanalyse (1)
- FamaFrench model (1)
- Family Background (1)
- Family dynamics (1)
- Fat-tails (1)
- Fear of job loss (1)
- Federal Reserve Bank <New York, NY> (1)
- Feedback (1)
- Field Experiment (1)
- Filtering (1)
- Fin Tech (1)
- Finance and Employment (1)
- Financial Assistance (1)
- Financial Constraints (1)
- Financial Contagion (1)
- Financial Crisis 2007/08 (1)
- Financial Decisionmaking (1)
- Financial Development (1)
- Financial Frictions (1)
- Financial Industry (1)
- Financial Information (1)
- Financial Innovation (1)
- Financial Integration (1)
- Financial Market Cycles (1)
- Financial Market Integration (1)
- Financial Market Linkages (1)
- Financial Market Structure (1)
- Financial Markets and the Macroeconomy (1)
- Financial Media (1)
- Financial Networks (1)
- Financial Regulation and Banking (1)
- Financial Risk (1)
- Financial Sophistication (1)
- Financial Supervision (1)
- Financial and Economics Knowledge (1)
- Financial econometrics (1)
- Financial education (1)
- Financial frictions (1)
- Financial institutions (1)
- Financial interests (1)
- Financial intermediation (1)
- Financial market (1)
- Financial openness (1)
- Financing Conditions (1)
- Financing Constraints (1)
- Financing Costs (1)
- Financing Gap (1)
- Finanzanalyse (1)
- Finanzbildung (1)
- Finanzdienstleistung (1)
- Finanzfachkenntnis (1)
- Finanzinnovationen (1)
- Finanzlage (1)
- Finanzmarkt (1)
- Finanzplatz (1)
- Finanzplatzinstitutionen (1)
- Finanzpolitik (1)
- Finanzspekulation (1)
- Finanzstabilitätsgesetz (1)
- Finanzsystem (1)
- Finite Normal Mixtures (1)
- Finland (1)
- Finnland (1)
- Fintech (1)
- Firm Investment (1)
- Firm Prestige (1)
- Firm Value (1)
- Firm valuation (1)
- Firm-bank relationship (1)
- Firm-specific News (1)
- Firma (1)
- Firms (1)
- First Loss Position (1)
- Fiscal Compact (1)
- Fiscal Policies (1)
- Fiscal Solidarity (1)
- Fiscal Stabilization (1)
- Fiscal Stimulus Program (1)
- Fiscal Transparency (1)
- Fiscal policy (1)
- Fiscal stress (1)
- Fiscal theory of the price level (1)
- Fixed-Income (1)
- Flash Crash (1)
- Flat Taxes (1)
- Flight-to-safety (1)
- Fokker-Planck equation (1)
- Fonds (1)
- Forecast Comparison/ Competition (1)
- Forecast Distribution (1)
- Forecasting and Simulation (1)
- Forecasts (1)
- Foreign Assets (1)
- Foreign Exchange Reserves (1)
- Foreign holdings (1)
- Formalism (1)
- Formative experiences (1)
- Forschung (1)
- Forschung und Entwicklung (1)
- Forward Guidance (1)
- Forward error (1)
- Forward-looking models (1)
- Framing Effect (1)
- Framing effects (1)
- Frankfurt am Main (1)
- Frankreich (1)
- Frau (1)
- Fraud (1)
- Free-Riding (1)
- Freiheit (1)
- Fremdkapital (1)
- Frequency Domain (1)
- Frictions (1)
- Friedman-Schwartz's evidence (1)
- Friktionelle Arbeitslosigkeit (1)
- Fund (1)
- Fund family (1)
- Fundamental Value (1)
- Fundamentalanalyse (1)
- Funds of Funds (1)
- Futures Market (1)
- Futures Markets (1)
- G21 (1)
- G24 (1)
- GARCH-Prozes (1)
- GDP growth (1)
- GFSY (1)
- GMM Estimation (1)
- Gains from Trade (1)
- Gains from trade (1)
- Gambling (1)
- Game Theory (1)
- Gamma distribution (1)
- Garantiezins (1)
- Gauß-Funktion (1)
- Gegenwartspreise (1)
- Geld (1)
- Geldangebot (1)
- Geldkurs (1)
- Geldmengenziel (1)
- Geldtheorie (1)
- Gemeinsamer Markt (1)
- Gender (1)
- Gender Differences (1)
- Gender Gap (1)
- Gender Issues (1)
- General Equilibrium Asset Pricing (1)
- Generaldirektor (1)
- Generalized Dynamic Factor Model (1)
- Generationenrente (1)
- Generations (1)
- Geopolitics (1)
- German Banking (1)
- German Corporate Governance System (1)
- German Markets Model Case Act (KapMuG) (1)
- German Reunification (1)
- German constitutional law (1)
- German cooperative banks (1)
- German corporate governance (1)
- German corporate governance codex (1)
- German natural gas market (1)
- German retirement system (1)
- German savings banks (1)
- Germany Inc. (1)
- Geschichte 1866-1879 (1)
- Geschichte 1920-1922 (1)
- Geschichte 1948-2008 (1)
- Geschichte 1965-1979 (1)
- Geschichte 1966-1998 (1)
- Geschichte 1968-1979 (1)
- Geschichte 1970-1989 (1)
- Geschichte 1970-2004 (1)
- Geschichte 1971-2003 (1)
- Geschichte 1978-1997 (1)
- Geschichte 1979-1980 (1)
- Geschichte 1979-1983 (1)
- Geschichte 1983-2004 (1)
- Geschichte 1984-1995 (1)
- Geschichte 1984-1999 (1)
- Geschichte 1984-2005 (1)
- Geschichte 1986-1998 (1)
- Geschichte 1989-2002 (1)
- Geschichte 1990-1999 (1)
- Geschichte 1992-1996 (1)
- Geschichte 1992-1997 (1)
- Geschichte 1993-2003 (1)
- Geschichte 1995 (1)
- Geschichte 1995-1997 (1)
- Geschichte 1995-1998 (1)
- Geschichte 1998 (1)
- Geschichte 1999-2001 (1)
- Geschichte 2000-2002 (1)
- Geschäftsführer (1)
- Geselligkeit (1)
- Gewerbebetrieb (1)
- Gewerbesteuer (1)
- Gig-economy (1)
- Gini (1)
- Gleichgewichtstheorie (1)
- Global Accounting Standards (1)
- Global Economy (1)
- Global Optimization (1)
- Global Temperature (1)
- Global Yield (1)
- Gläubigerschutz (1)
- Going-private Decisions (1)
- Gold Standard (1)
- Government (1)
- Government Deficit (1)
- Government Spending Multipliers (1)
- Government Spending Shocks (1)
- Government debt (1)
- Government spending multiplier (1)
- Graccident (1)
- Granger causality (1)
- Gravity equations (1)
- Great Inflation (1)
- Green Asset Ratio (1)
- Green Nudging (1)
- Green Quantitative Easing (1)
- Green finance (1)
- Grexit (1)
- Group Interesterest (1)
- Group Think (1)
- Grundschuld (1)
- Größe (1)
- Grüne Transformation (1)
- Gutenberg, Erich (1)
- Habit-formation (1)
- Haftungsbeschränkung (1)
- Hamilton filter (1)
- Hamiltonian Monte Carlo (1)
- Handelsgeschäft (1)
- Handelsvolumen (1)
- Haus (1)
- Haushal (1)
- Haushaltsdefizit (1)
- Haushaltskrisenbarometer (1)
- Haushaltspolitik (1)
- Hayek (1)
- Hazard estimation (1)
- Headline (1)
- Health Insurance (1)
- Health expenses (1)
- Health jumps (1)
- Hedge Funds (1)
- Hedge funds (1)
- Helicoptergeld (1)
- Herdenimmunität (1)
- Heterogeneit (1)
- Heterogeneous Beliefs (1)
- Heterogeneous Firms (1)
- Heterogeneous Preferences (1)
- Heterogeneous agents (1)
- Hidden Orders (1)
- Hierarchies (1)
- High-Frequency Trading (HFT) (1)
- High-Level-Forum (1)
- High-frequency event study (1)
- Higher Moments of Return (1)
- Hirshleifer Effect (1)
- Historical Cost (1)
- History & Finance (1)
- History-Dependent Policy (1)
- Hochfrequenzhandel (1)
- Hochzinspolitik (1)
- Home (1)
- Home Bias (1)
- Home Equity (1)
- Homophily (1)
- Hong test (1)
- Horizontal Integration (1)
- House Prices (1)
- Household Consumption (1)
- Household Consumption Data (1)
- Household Debt (1)
- Household Inflation Expectations (1)
- Household Wealth (1)
- Household debt (1)
- Household saving (1)
- Housing Market Cycles (1)
- Housing tenure (1)
- Human capital (1)
- Hurricane Katrina (1)
- Hurrikan (1)
- Hybrid Markets (1)
- Hybrid Trading Systems (1)
- Hyperbolic Distribution (1)
- Hyperinflation (1)
- Hypothekarkredite (1)
- Hypothekengeschäft (1)
- Hysteresis (1)
- I(2) analysis (1)
- IASC New Structure (1)
- IFRS (1)
- IMF (1)
- IMF Program Participation (1)
- IT innovations (1)
- IV (1)
- IV approach (1)
- IV estimation (1)
- Identification (1)
- Idiosyncratic volatility puzzle (1)
- Illiquidity (1)
- Imbalances (1)
- Immaterieller Anlagewert (1)
- Immediacy (1)
- Immigration (1)
- Impact of Changing Stock-Market Regulation and Institution (1)
- Impairments (1)
- Imperfect Competition (1)
- Imperfect Knowledge (1)
- Implicit Insurance Contracts (1)
- Implied Probability Densities (1)
- Implied volatility (1)
- Import (1)
- Impulse Response Function (1)
- Impulse Responses (1)
- Impulse-response (1)
- Incentive (1)
- Incentives (1)
- Inclusive Finance (1)
- Income Inequality (1)
- Incomplete Insurance Contracts (1)
- Incubator (1)
- Incurred loss model (1)
- Indeterminacy (1)
- Index Funds (1)
- Index Model (1)
- Index Trigger (1)
- Index-Futures (1)
- Indexation (1)
- Individual Investors (1)
- Individual investors (1)
- Individuum (1)
- Industrie (1)
- Industriestaaten (1)
- Industry Classification (1)
- Industry Comparison (1)
- Inefficient Forecasts (1)
- Infektionsdynamik (1)
- Inflation Beliefs (1)
- Inflation Expectations (1)
- Inflation Forecasting (1)
- Inflation Inertia (1)
- Inflation Rate (1)
- Inflation convergence (1)
- Inflation targeting (1)
- Inflationsmessung (1)
- Informal Loans (1)
- Information (1)
- Information Acquisition (1)
- Information Frictions (1)
- Information Production (1)
- Information Share (1)
- Information Shares (1)
- Information Theory (1)
- Information Treatment (1)
- Information processing (1)
- Information value (1)
- Informational Volatility (1)
- Informationsaustausch (1)
- Informationsgehalt (1)
- Informationswert (1)
- Initial Public Offering (1)
- Initial Public Offering (IPO) (1)
- Insidergeschäft (1)
- Insiderregeln (1)
- Institution formation (1)
- Institution-building (1)
- Institutional Investor (1)
- Institutional Investors (1)
- Institutional Investors’ Ownership (1)
- Institutional Setting on Underpricing (1)
- Institutional investors (1)
- Insurance Activities (1)
- Insurance Brokers (1)
- Insurance Supervision (1)
- Integrated Assessment Model (1)
- Integrated Risk Management (1)
- Integrität (1)
- Intensity Models (1)
- Interbank Market (1)
- Interbank Markets (1)
- Interdealer Brokerage (1)
- Interest Rate (1)
- Interest Rate Forecasting (1)
- Interest Rate Risk (1)
- Intergenerational Risk Sharing (1)
- Interim Report (1)
- Intermediated work (1)
- Intermediation (1)
- Internal Controls (1)
- Internal borrower rating (1)
- Internalization (1)
- International Accounting Standards (1)
- International Capital Flows (1)
- International Cross-Listings (1)
- International Financial Futures Exchange (1)
- International Financial Futures and Options Exchange (1)
- International Financial Reporting Standards (1)
- International Stock Exchange of the United Kingdom and the Republic of Ireland (1)
- International Transmission Mechanism (1)
- International finance (1)
- International relationships (1)
- Internationale Bank (1)
- Internationale Wettbewerbsfähigkeit (1)
- Internationale Währungspolitik (1)
- Internationaler Terrorismus (1)
- Internationaler Vergleich (1)
- Internationaler Währungsfonds (1)
- Internationales Währungssystem (1)
- Internationalisierung (1)
- Internationalization (1)
- Internes Kontrollsystem (1)
- Intertemporal Choice (1)
- Intra-Day Volatility (1)
- Intraday Trading Process (1)
- Intratemporal Elasticity of Substitution (1)
- Inventory Risk (1)
- Investition (1)
- Investitionsentscheidung (1)
- Investment Banking (1)
- Investment Decisions (1)
- Investment Funds (1)
- Investment Styles (1)
- Investment attitudes (1)
- Investment funds (1)
- Investment-Specific Shocks (1)
- Investments (1)
- Investor (1)
- Investor education (1)
- Investor sentiment (1)
- Investors Heterogeneity (1)
- Job Match Quality (1)
- Justiz (1)
- Justizverwaltung (1)
- Kalman Filter (1)
- Kapitalismus (1)
- Kapitalkonzentration (1)
- Kapitalmarktunion (1)
- Kapitalrenditen (1)
- Katrina (1)
- Kaufentscheidung (1)
- Kaufkraft des Geldes (1)
- Kaufkraftparität (1)
- Kaufkraftvergleich (1)
- Kinderbonus (1)
- Klimawandel (1)
- Konditionenpolitik (1)
- Kongreß (1)
- Konjunkturpolitik (1)
- Konjunkturschwankung (1)
- Konsumgütermarkt (1)
- Kontrolle (1)
- Konzentration <Wirtschaft> (1)
- Korrelation (1)
- Kovarianzanalyse (1)
- Kreditderivat (1)
- Kreditgenossenschaft (1)
- Kreditgenossenschaftlicher Verbund (1)
- Kreditinstitute (1)
- Kreditmanagement (1)
- Kritik (1)
- Kryptowährungen (1)
- Kunstmarkt (1)
- Kursanomalie (1)
- Kursrisiko (1)
- Künstliche Intelligenz (KI) (1)
- LASSO (1)
- LBO spillovers (1)
- LBOs (1)
- LSTM neural networks (1)
- Labor Hoarding (1)
- Labor Income Risk (1)
- Labor Market Deregulation (1)
- Labor Market Frictions (1)
- Labor Markets (1)
- Labor Supply (1)
- Labor market competition (1)
- Labour supply (1)
- Lack of Planning (1)
- Laffer Curve (1)
- Lag (1)
- Lagrange-d'Alembert equation (1)
- Landesbank (1)
- Landeskreditbank Baden-Württemberg (1)
- Langzeitvertrag (1)
- Laplace Distribution (1)
- Laplace-Verteilung (1)
- Latency (1)
- Latent Variables (1)
- Law Enforcement (1)
- Law and economics (1)
- Law and finance (1)
- Lead-lag relationship (1)
- Leading indicator (1)
- Lebenskostenindex (1)
- Lebenszeitverlust (1)
- Legal Institutions (1)
- Leistungslohn (1)
- Leitungsentscheidungen (1)
- Lender of last resort (1)
- Lernen (1)
- Leverage (1)
- Leverage Effect (1)
- Leveraged buyouts (1)
- Libra (1)
- Lieferant (1)
- Life Events (1)
- Life Insurance Surrender (1)
- Life Insurers (1)
- Life course transitions (1)
- Life insurance companies (1)
- Life-cycle hypothesis (1)
- Liikanen Commission (1)
- Liikanen Report (1)
- Limit Order (1)
- Limit Order Book Market (1)
- Limit Order Book Slopes (1)
- Limit Order Books (1)
- Limited partnerships (1)
- Lintner dividend model (1)
- Liquidity Facilities (1)
- Liquidity Premium (1)
- Liquidity Shock (1)
- Liquidity Shocks (1)
- Liquidity premium (1)
- Liquidity provider incentives (1)
- Liquidity provision (1)
- Liquiditätseffekte der Zinspolitik (1)
- Listed Private Equity (1)
- Listing Requirements (1)
- Literacy (1)
- Living Wills (1)
- Livingston Survey (1)
- Loan Losses (1)
- Loan Pricing (1)
- Loan losses (1)
- Loan to income ratio (1)
- Loan to value ratio (1)
- Lobbying (1)
- Locus of control (1)
- Lohnrigidität (1)
- Lohnstarrheit (1)
- Long Term Investment (1)
- Long-Run Risk (1)
- Long-Run Underperformance (1)
- Long-run risk (1)
- Long-term Contracts (1)
- Loss Sharing (1)
- Loss-aversion (1)
- Low-emission vehicles (1)
- Lucas paradox (1)
- MIFID (1)
- MMFs (1)
- MTS Bond Market (1)
- Macroeconomic Forecasting (1)
- Macroeconomic Fundamentals (1)
- Macroeconomic Modeling (1)
- Macroeconomic News (1)
- Macroeconomic News Announcements (1)
- Macroeconomics (1)
- Macroprudential policy (1)
- Male and Female Differences (1)
- Management Commentary (1)
- Managerial rent (1)
- Managing Innovations (1)
- Mandatory Law (1)
- Margin (1)
- Marginal Propensity to Consume (1)
- Mark-to-Market Accounting (1)
- Market (in)completeness (1)
- Market Concentration (1)
- Market Data Sales (1)
- Market Fragility (1)
- Market Integrity (1)
- Market Linkage (1)
- Market Liquidity (1)
- Market Making (1)
- Market Manipulation (1)
- Market Microstructure Noise (1)
- Market Microstructure Theory (1)
- Market Oversight (1)
- Market Power (1)
- Market Reactions (1)
- Market Value (1)
- Market discipline (1)
- Market efficiency (1)
- Market fragmentation (1)
- Market manipulation (1)
- Market microstructure (1)
- Market sentiment (1)
- Market volatility (1)
- Markov Perfect Equilibrium (1)
- Markov Processes (1)
- Markov-Modell (1)
- Markov-switching DSGE (1)
- Markov–Switching (1)
- Marktmacht (1)
- Marktstruktur (1)
- Matching (1)
- Maximum Likelihood (1)
- Maximum likelihood estimation (1)
- Medicare (1)
- Mehrgenerationenmodell (1)
- Mehrproduktbetrieb (1)
- Mehrwertsteuersenkung (1)
- Mensch und Maschine (1)
- Mental models (1)
- Merchandise trade (1)
- Merger Arbitrage (1)
- Meritocracy (1)
- Methode (1)
- Mexiko (1)
- MiFID (1)
- Microfinance (1)
- Microstructure Noise (1)
- Migration (1)
- Mikrostrukturtheorie <Kapitalmarkttheorie> (1)
- Mini-flash crash (1)
- Minimum Reserves (1)
- Minority Shareholder Protection (1)
- Mis-selling (1)
- Mitgliedschaft (1)
- Mitigation (1)
- Mixed-frequency data (1)
- Mixing Frequencies (1)
- Mixture Distributions (1)
- Mobility (1)
- Model Adequacy (1)
- Model Comparison (1)
- Model Selection (1)
- Model evaluation (1)
- Model uncertainty (1)
- Model-based regulation (1)
- Modell (1)
- Models and Applications (1)
- Monetarism (1)
- Monetary (1)
- Monetary Models (1)
- Monetary Policy Surprises (1)
- Monetary Policy Transmission (1)
- Monetary Shocks (1)
- Monetary Targeting (1)
- Monetary policy (1)
- Monetary policy strategy (1)
- Monetary-fiscal interaction (1)
- Money Creation (1)
- Money Market (1)
- Money Market Funds (1)
- Money demand (1)
- Money non neutrality (1)
- Monte Carlo Likelihood (1)
- Monte Carlo Methods (1)
- Monte Carlo integration (1)
- Moral Hazar (1)
- Morality (1)
- Mortality risk (1)
- Mortgage Markets (1)
- Mortgage affordability (1)
- Mortgage design (1)
- Mortgage premia (1)
- Mortgage supply (1)
- Multi-Layer Network (1)
- Multi-Products Firms (1)
- Multi-Step estimation (1)
- Multi-level marketing (1)
- Multilayer networks (1)
- Multiline Insurance (1)
- Multiple Blockholders (1)
- Multiple Equilibria (1)
- Multiple equilibria (1)
- Multiplicative Error Models (1)
- Multitasking (1)
- Multivariate Stable Distribution (1)
- Multivariate time series (1)
- Mundellian trilemma (1)
- Music (1)
- Mutual Funds (1)
- Mutual funds (1)
- Mutually Exciting Processes (1)
- Mutually exciting processes (1)
- Mängelhaftung (1)
- Münzgewinn (1)
- NCAs (1)
- NFT (1)
- NLP (1)
- Nachfrage (1)
- Narrative Approach (1)
- Narrative Identification (1)
- Narrow Banking (1)
- Nasdaq (1)
- Nash Bargaining (1)
- Nash equilibrium (1)
- National Accounting (1)
- Natural Language Processing (1)
- Natural experiments (1)
- Negative home equity (1)
- Nelson-Siegel curve (1)
- Nelson-Siegel model (1)
- Net Foreign Assets (1)
- Net Worth (1)
- Net-zero transition (1)
- Network Combination (1)
- Network Communities (1)
- Network theory (1)
- Neural Network (1)
- Neuseeland (1)
- Neutralität des Geldes (1)
- New Keynesian DSGE (1)
- New Keynesian Models (1)
- New Keynesian macro-epidemic models (1)
- New-Keynesian Models (1)
- News (1)
- News Releases (1)
- News Sentiment (1)
- News and Business Cycles (1)
- News media sentiment (1)
- Next Generation EU (1)
- Nichtlineare Zeitreihenanalyse (1)
- Nichtlineares mathematisches Modell (1)
- Niedrigzinsen (1)
- Niedrigzinsphase (1)
- Niedrigzinsumfeld (1)
- Nominal Rigidities (1)
- Nominal Wage Rigidity (1)
- Non-Display Order (1)
- Non-Fungible Tokens (1)
- Non-bank lead arrangers (1)
- Non-fungible tokens (NFTs) (1)
- Non-governmental Organizations (1)
- Non-linear pricing design (1)
- Nonlinear Bayesian Estimation (1)
- Nonlinear Optimal Policy (1)
- Nonlinear Policy (1)
- Nonlinear solution methods (1)
- Nonlinearity (1)
- Norwegian banking crisis (1)
- Number of Lenders (1)
- Number of lenders (1)
- Numerical Solution (1)
- Nutzenfunktion (1)
- OPEC (1)
- OTC (1)
- OTC Markets (1)
- OTC derivatives (1)
- Obfuscation (1)
- Occasionally Binding Constraint (1)
- Offene Volkswirtschaft (1)
- Offenlegungspflichten (1)
- Oil (1)
- Oil market (1)
- Older Population (1)
- On-the-Job Search (1)
- Online Surveys (1)
- Open Economy (1)
- Open Economy DSGE Models (1)
- Open banking (1)
- Opening Auction (1)
- Opening Call Auction (1)
- Opening Price (1)
- Operational Risk (1)
- Optimal Asset Allocation (1)
- Optimal Industrial Policies (1)
- Optimal Policy (1)
- Optimal Policy Mix (1)
- Optimal Regulation (1)
- Optimierung (1)
- Option (1)
- Option Pricing (1)
- Option-pricing Model (1)
- Options (1)
- Order Entry (1)
- Order Flow (1)
- Order Placement Strategy (1)
- Orderbuch (1)
- Ordnungspolitik (1)
- Original sin (1)
- Osteuropa (1)
- Output Gap Uncertainty (1)
- Output Growth (1)
- Output and Inflation Persistence (1)
- Outright Monetary Transactions (1)
- Over-Confidence (1)
- Overlapping Generations (1)
- Overlapping generations (1)
- Overvaluation Hypothesis (1)
- Own Risk and Solvency Assessment (1)
- Ownership structures (1)
- PPP (1)
- Panama Papers (1)
- Pandemic (1)
- Panel Cointegration (1)
- Panel Data (1)
- Panel Sample Selection Models (1)
- Panelanalyse (1)
- Pareto Inferior (1)
- Pareto-Optimum (1)
- Partial Information (1)
- Patience (1)
- Paul Volcker (1)
- Paycheck Protection Program (1)
- Pecuniary Externality (1)
- Peer Effects (1)
- Peer effects (1)
- Peers (1)
- Pension (1)
- Pension Finance (1)
- Pension system (1)
- Pensions Dashboard (1)
- Perceptions (1)
- Perfect Sequential Equilibrium (1)
- Performance Gap (1)
- Permanent and Transitory Decomposition (1)
- Permanent-Income Hypothesis (1)
- Persistence (1)
- Persistent and Transitory Income Shocks (1)
- Personal Finance (1)
- Personality traits (1)
- Petroleum-based Economies (1)
- Pivotality (1)
- Plaintiff Lawyers (1)
- Planning (1)
- Point-Mass Mixture (1)
- Point-mass Mixture (1)
- Policy Analysis (1)
- Policy Center (1)
- Policy Effects (1)
- Policy measures in the EU (1)
- Political Economy (1)
- Politikgestaltung volkswirtschaftlicher Institutionen (1)
- Politisches Handeln <Motiv> (1)
- Pollution (1)
- Population Aging (1)
- Portfolio (1)
- Portfolio Allocation (1)
- Portfolio Inertia (1)
- Portfolio Insurance (1)
- Portfolio Management (1)
- Portfolio Rebalancing (1)
- Portfolio optimization (1)
- Portfolio-Management (1)
- Portfolios (1)
- Positive semidefiniteness (1)
- Potential Output (1)
- Prag <2008> (1)
- Pre-Opening (1)
- Preference Interaction (1)
- Preference Stability (1)
- Preference Uncertainty (1)
- Preference for early resolution of uncertainty (1)
- Preference survey module (1)
- Preis (1)
- Preisdifferenzierung (1)
- Preisdiskriminierung (1)
- Preisstabilität (1)
- Preisänderung (1)
- Price Competition (1)
- Price Expectations (1)
- Price Formation (1)
- Price Impact (1)
- Price Pressures (1)
- Price Stability (1)
- Price discrimination (1)
- Price elasticity of gasoline demand (1)
- Pricing Determinants (1)
- Pricing bubbles (1)
- Pride (1)
- Principal Component Analysis (1)
- Prior (1)
- Private Altersversorgung (1)
- Private Altersvorsorge (1)
- Private Business (1)
- Private Public Partnership (PPP) (1)
- Private benefits (1)
- Private debt (1)
- Private ordering (1)
- Privater (1)
- Privatization (1)
- Prize Stabilization (1)
- Pro-Rata (1)
- Probability Weighting Function (1)
- Product returns (1)
- Production (1)
- Production Economy (1)
- Production, Saving, Consumption and Investment Forecasting (1)
- Productivity and Growth (1)
- Produktivität (1)
- Professionalisierung der Aufsichtsratstätigkeit (1)
- Program Evaluation (1)
- Propagation mechanism (1)
- Proprietary Trading (1)
- Prosociality (1)
- Prudence (1)
- Prudential filter (1)
- Public Goods (1)
- Public Housing (1)
- Public Policy (1)
- Public Private Partnership (1)
- Public financial news (1)
- Public pension funds (1)
- Public-Private Partnerships (1)
- Publizität (1)
- Publizitätspflicht (1)
- Puffer (1)
- Pump-and-dump schemes (1)
- QE (1)
- Quantile Causality (1)
- Quantile Regression (1)
- Quantitative Lockerung (1)
- Quantitative trade models (1)
- Quantity Equation (1)
- Quantitätstheorie (1)
- Question Framing (1)
- Quid-pro-quo Mechanism (1)
- R&D Collaboration (1)
- R&D Investment (1)
- R&D expenses (1)
- RBC (1)
- RCT (1)
- Raiffeisenbank (1)
- Ramsey planner (1)
- Range-based estimation (1)
- Rating Agencies (1)
- Rating Process (1)
- Ratingagentur (1)
- Rational Inattention (1)
- Rationale Erwartung (1)
- Real Estate (1)
- Real Exchange Rate (1)
- Real GDP (1)
- Real Interest Rates (1)
- Real Wage Rigidities (1)
- Real effects (1)
- Real estate (1)
- Real options (1)
- Real-Time Data (1)
- Realer Wechselkurs (1)
- Realization Utility (1)
- Realized Kernel (1)
- Realized Volatility (1)
- Realzins (1)
- Recht (1)
- Rechtsdurchsetzung (1)
- Rechtsnormen (1)
- Record resolution (1)
- Recursive Least Squares (1)
- Recursive Saddlepoint Method (1)
- Recursive Utility (1)
- Redemptions (1)
- Reference Point (1)
- Referrals (1)
- Regional Entrepreneurship (1)
- Regional Inflation Dynamics (1)
- Regression Discontinuity (1)
- Regret (1)
- Regularization (1)
- Regulation of Financial Institutions (1)
- Regulations (1)
- Regulatory Arbitrage (1)
- Regulatory Capture (1)
- Related Party Transactions (1)
- Relationship Lending (1)
- Relationship banking (1)
- Rendite (1)
- Rent-Seeking (1)
- Rente (1)
- Rentenalter (1)
- Rententransparenz (1)
- Rents (1)
- Reorganization (1)
- Repeated Games (1)
- Repeated Principal-Agent Model (1)
- Repo Markets (1)
- Repo Specialness (1)
- Reporting Standards (1)
- Representative Consumer (1)
- Reproduktionszahlen (1)
- Research and development (1)
- Research design (1)
- Reserve Orders (1)
- Reserve Requirements (1)
- Reserve requirements (1)
- Resiliency (1)
- Resolution Planning (1)
- Resource Acquisition (1)
- Resource Based View (1)
- Responsible investment (1)
- Restructuring (1)
- Restrukturierungsgesetz (1)
- Retail Banking (1)
- Retail Challenge (1)
- Retail gasoline price (1)
- Retirement Accounts (1)
- Retirement Security (1)
- Retirement Seminars (1)
- Retirement and Retirement Policies (1)
- Retirement planning (1)
- Retirement saving (1)
- Return (1)
- Return Risk (1)
- Return predictability (1)
- Returns to experience (1)
- Reversible Jump Markov Chain Monte Carlo (1)
- Revisions (1)
- Revolving Debt (1)
- Riester-Rente (1)
- Risikoanalyse (1)
- Risikoaversion (1)
- Risikomaße (1)
- Risikoverhalten (1)
- Risk Assessment (1)
- Risk Attitudes (1)
- Risk Measurement (1)
- Risk Pooling (1)
- Risk Preferences (1)
- Risk Taking (1)
- Risk sharing (1)
- Risk taking (1)
- Risk-Return Characteristics (1)
- Risk-neutral densities (1)
- Risk-premium (1)
- Risk-taking (1)
- Riskfree Rate (1)
- Risky Decision (1)
- Robust Simple Rules (1)
- Routine Medical Care (1)
- Rubin Causal Model (1)
- Ruhegeld (1)
- Rule-of-Thumb Consumers (1)
- Russia (1)
- Russian Economy (1)
- Russian Sanction (1)
- S corporations (1)
- S&P 500 (1)
- SEC (1)
- SHARE, Projekt (1)
- SIFI (1)
- SME Trading (1)
- SPR (1)
- SRB (1)
- SRF (1)
- SSM (1)
- STAR GARCH (1)
- STS (simple, transparent, and standardized securitizations) (1)
- SVAR (1)
- Saving Behavior (1)
- Saving Decisions (1)
- Saving puzzles (1)
- Savings (1)
- Say on Pay (1)
- Scenario (1)
- Schadensindex (1)
- Schenkungsteuer (1)
- Schuldnerland (1)
- Schweden (1)
- Schätzfunktion (1)
- Schätztheorie (1)
- Screening (1)
- Search Frictions (1)
- Search Model (1)
- Secondary Loan Markets (1)
- Securities Market Regulation (1)
- Securities Regulation (1)
- Securities regulation (1)
- Securitisation (1)
- Segmentation (1)
- Self Control (1)
- Self-Control (1)
- Self-exciting point process (1)
- Selling Behavior (1)
- Selling Decisions (1)
- Semiparametric Model (1)
- Sensitivität (1)
- Sentiment Analysis (1)
- Sequential Policy (1)
- Services Trade (1)
- Settlement (1)
- Settlement Latency (1)
- Severance Pay (1)
- Shadow Banking (1)
- Shannon capacity (1)
- Shapley-Lösung (1)
- Shareholder Letters (1)
- Shareholder Rights Directive (1)
- Shareholder wealth (1)
- Short Selling Constraints (1)
- Short-run Risk (1)
- Short-time work (1)
- Shortfall Risk (1)
- Signaling (1)
- Signaling Game (1)
- Similarity (1)
- Similarity encoding (1)
- Simulation (1)
- Sin Stocks (1)
- Single Banking Market (1)
- Single Resolution Mechanism (SRM) (1)
- Single Supervisy Mechanism (1)
- Skonto (1)
- Slow-Moving Capital (1)
- Small Business (1)
- Small Open Economy Models (1)
- Smoothing (1)
- SoFFin (1)
- Sociability (1)
- Social (1)
- Social Conditioning (1)
- Social Impact (1)
- Social Interactions (1)
- Social Learning (1)
- Social Norms (1)
- Social Policy (1)
- Social Security Reform (1)
- Social Security and Public Pensions (1)
- Social Security claiming (1)
- Social Security claiming age (1)
- Social Security reform (1)
- Social Security solvency (1)
- Social and Governance (ESG) (1)
- Social media (1)
- Social networks (1)
- Socially responsible investing (1)
- Socioeconomic Status (1)
- Sociology of Finance (1)
- Soft Information (1)
- Sovereign (1)
- Sovereign Bond Markets (1)
- Sovereign Bonds (1)
- Sovereign Credit Risk (1)
- Sovereign Debt Restructuring Mechanism (1)
- Sovereign Wealth Funds (1)
- Sovereign credit risk (1)
- Sovereign debt crisis (1)
- Sovereign guarantees (1)
- Sovereign risk (1)
- Sovereign wealth funds (1)
- Sowjetunion (1)
- Sozialausgaben (1)
- Soziale Marktwirtschaft (1)
- Sozialversicherung (1)
- Sparkasse (1)
- Sparse estimation (1)
- Sparsity (1)
- Spatial autoregressive model (1)
- Spectral Decomposition (1)
- Speculative bubbles (1)
- Spende (1)
- Spezifität (1)
- Spike–and–Slab prior (1)
- Spill-over-Effekt (1)
- Spillovers (1)
- Spitzentechnologie (1)
- Staat (1)
- Staatsanleihe Staatsanleihe (1)
- Staatsaufsicht (1)
- Staatsverschuldung (1)
- Stabilisierung (1)
- Stability (1)
- Stability and Growth Pact (1)
- Stabilitäts- und Wachstumspakt (1)
- Stablecoins (1)
- Stages (1)
- Stagnation (1)
- Stakeholder (1)
- Standard Setting (1)
- Standards (1)
- Standortpolitik (1)
- Start-ups (1)
- State-Dependent Pricing (1)
- Stationarity (1)
- Stationary Equilibrium (1)
- Status organizations (1)
- Stay-Home (1)
- Sterling (1)
- Steuergelder (1)
- Steuerhinterziehung (1)
- Steueroasen (1)
- Steuerpolitik (1)
- Steuerprogression (1)
- Steuersatz (1)
- Steuervermeidung (1)
- Sticky Information (1)
- Stochastic Discount Factor (1)
- Stochastic General Equilibrium Model (1)
- Stochastic Growth Model (1)
- Stochastic Search Variable Selection (1)
- Stochastic volatility (1)
- Stochastische dynamische Optimierung (1)
- Stochastischer Prozess (1)
- Stock Exchanges (1)
- Stock Market Dynamic Interactions (1)
- Stock Market Returns (1)
- Stock Markets (1)
- Stock Returns (1)
- Stock Trading (1)
- Stock market (1)
- Stock market wealth (1)
- Strategic Complementarity (1)
- Strategic investors (1)
- Strategieberichterstattung (1)
- Structural Bank Reform (1)
- Structural Change (1)
- Structural VAR (1)
- Structural VAR Approach (1)
- Structural estimation (1)
- Structured retail products (1)
- Struktur (1)
- Strukturanpassungen (1)
- Stückkosten (1)
- Subjective Survival Beliefs (1)
- Subjective expectations (1)
- Subsidization (1)
- Substitutionselastizität (1)
- Success Rates (1)
- Supervision (1)
- Supervisory Achitecture (1)
- Supervisory Relief Measures (1)
- Surveillance (1)
- Survey (1)
- Survey Data (1)
- Survey Methods (1)
- Sustainability-Linked Bonds (1)
- Sustainability-Linked Loans (1)
- Sustainabilty (1)
- Sustainable Finance Disclosure Regulation (1)
- Sustainable finance (1)
- Sustainable finance literacy (1)
- Swap (1)
- Sweden (1)
- Swiss Army Knife (1)
- Sydney Stock Exchange (1)
- Syndicated Loans (1)
- Syndication (1)
- Systemic events (1)
- Systemically Important Financial Institutions (1)
- TARGET balances (1)
- TARGET-Salden (1)
- TARGET2 (1)
- TARP (1)
- TIPS–Treasury puzzle (1)
- TLTRO (1)
- TRACE (1)
- Tageswert (1)
- Takeover speculation (1)
- Target 2 (1)
- Tarifverhandlung (1)
- Tax Cuts (1)
- Tax Cuts and Jobs Act (1)
- Tax Distortions (1)
- Tax Multiplier (1)
- Tax Rebates (1)
- Taxation of Capital (1)
- Taxonomie (1)
- Taxonomy Regulation (1)
- Taylor Regel (1)
- Taylor rule (1)
- Taylor-Regel (1)
- Technische Aktienanalyse (1)
- Technischer Fortschritt (1)
- Technology Adoption (1)
- Technology Park (1)
- Technology Shocks (1)
- Technology spillover (1)
- Temporal aggregation (1)
- Term Structure (1)
- Term Structure Modelling (1)
- Term life insurance (1)
- Terminmarkt (1)
- Terminplanung (1)
- Terms of Trade (1)
- Terrorism (1)
- Testen (1)
- Textual Sentiment (1)
- The Community Reinvestment Act (1)
- Threshold Error Correction (1)
- Tick Size (1)
- Time Inconsistency (1)
- Time Preferences (1)
- Time variation (1)
- Time-Consistency (1)
- Time-varying networks (1)
- Timing (1)
- Tobin tax (1)
- Tone (1)
- Too big to fail (1)
- Too-big-to-fail (1)
- Top 1% (1)
- Topmanager (1)
- Toxic Emissions (1)
- Trade Integration (1)
- Trade sales (1)
- Trade-sale Rights (1)
- Trading volume (1)
- Transaction costs (1)
- Transition (1)
- Transition Financing (1)
- Transitional Dynamics (1)
- Treasury Futures (1)
- Tree-based models (1)
- Trend Growth (1)
- Trennbanken (1)
- Triple Difference Estimator (1)
- Trittbrettfahrerverhalten (1)
- Trust Game (1)
- Trustworthiness (1)
- Tunneling (1)
- Turkey (1)
- Turning points (1)
- Tying (1)
- U.S. Banking Industry (1)
- U.S. oil independence (1)
- UK (1)
- US monetary aggregates (1)
- US top-wealth shares (1)
- US-Dollar (1)
- USA / Board of Governors of the Federal Reserve System (1)
- USA / President (1)
- Ukraine (1)
- Umbrella Policies (1)
- Umfrage (1)
- Unabhängigkeit (1)
- Unconventional Monetary policy (1)
- Under Risk (1)
- Underwriter (1)
- Undiversifiable Earnings Risk (1)
- Unendliches Spiel (1)
- Ungleichheit (1)
- Unit root (1)
- United States (1)
- Universal Banking (1)
- Universal banks (1)
- University governance (1)
- Unobserved Component Models (1)
- Unsichtbarer Handel (1)
- Unterbewertung (1)
- Unternehmensbewertung (1)
- Unternehmensentwicklung (1)
- Unternehmensgröße (1)
- Unternehmenskonzentration (1)
- Up-front fees (1)
- Upper Limit (1)
- Upside Risk (1)
- Utility Functions (1)
- Utility Maximization (1)
- Utility Theory (1)
- Utilization (1)
- VAR Modeling (1)
- VAR estimation (1)
- VC-backed IPOs (1)
- VLCC (1)
- Value creation (1)
- Value premium (1)
- Variance Risk Premium (1)
- Vector Autoregression (1)
- Vektoranalysis (1)
- Venue Choice (1)
- Verdopplungszeit (1)
- Vereinigtes Königreich (1)
- Vergleich (1)
- Verhaltensökonomie (1)
- Verhandlungsspiel (1)
- Verhandlungstheorie (1)
- Verlust (1)
- Verlustrücktrag (1)
- Vermögen (1)
- Vermögenspreise (1)
- Vermögensumverteilung (1)
- Vermögensverteilung (1)
- Versicherung (1)
- Versicherungen (1)
- Versicherungsbetrieb (1)
- Versicherungsnehmer (1)
- Versicherungsschutz (1)
- Versicherungsverein auf Gegenseitigkeit (1)
- Versicherungsvertrag (1)
- Versicherungswirtschaft (1)
- Verteilungsgerechtigkeit (1)
- Vertical Integration (1)
- Vertical R&D (1)
- Vertrag über die Arbeitsweise der EU (AEUV) (1)
- Vertragsschluss (1)
- Volcker Rule (1)
- Volksbank (1)
- Vorstandsvergütung (1)
- Vorstandsvorsitzender (1)
- WHO alerts (1)
- Wachstum (1)
- Wage Setting (1)
- Wage rigidity (1)
- Wagner's Law (1)
- Wagnisfinanzierungsgesellschaft (1)
- Washington <DC, 2008> (1)
- Watchlist (1)
- Weak Instruments (1)
- Wealth Accumulation (1)
- Wealth Decumulation (1)
- Wealth Distribution (1)
- Wealth Effect (1)
- Wealth Holdings (1)
- Wealth Losses (1)
- Wealth Shocks (1)
- Wealth effects (1)
- Wealth shocks (1)
- Wechselkurspolitik (1)
- Welfare Costs (1)
- Weltwirtschaft (1)
- Wertpapieranalyse (1)
- Wertpapieranlage (1)
- Wertpapierberatung (1)
- Wertpapierbörse (1)
- Wertpapiere (1)
- Wertpapierhandel (1)
- Wertpapiermärkte (1)
- Wettbewerbsrecht (1)
- Wettbewerbsstrategie (1)
- Wettervorhersage (1)
- Windfalls (1)
- Wirtschaftliche Stabilität (1)
- Wirtschaftsentwicklung (1)
- Wirtschaftsmodell (1)
- Wirtschaftssektor (1)
- Wirtschaftsverfassung (1)
- Wissen (1)
- Wohlfahrtsstaat (1)
- Wohnungsfinanzierung (1)
- Word Embedding (1)
- World Yield (1)
- WpHG (1)
- Währungspolitik (1)
- Währungsrecht (1)
- Währungsrisiko (1)
- Währungssystem (1)
- Währungswettbewerb (1)
- XAI (1)
- Xetra (1)
- Yen (1)
- Yield Curve (1)
- Yield Curve Risk (1)
- Yield curve (1)
- Yield spread (1)
- Zahlungsbedingungen (1)
- Zahlungsbilanzausgleich (1)
- Zahlungsbilanzungleichgewicht (1)
- Zeit (1)
- Zeitinkonsistenz (1)
- Zeitreihe (1)
- Zentralbankensystem (1)
- Zentralbankgeld (1)
- Zentralbankpolitik (1)
- Zentralnbank (1)
- Zero Bound (1)
- Zero lower bound (1)
- Zinsparität (1)
- Zinspolitik (1)
- Zinsspanne (1)
- Zinsspannenrechnung (1)
- Zinsänderungsrisiko (1)
- Zombie Lending (1)
- Zustandsabhängigkeit (1)
- abnormal returns (1)
- absence of arbitrage (1)
- absolute loss (1)
- accountability (1)
- accounting (1)
- accounting data (1)
- acquisition cost (1)
- adaptation (1)
- adaptive learning (1)
- adviser (1)
- affect heuristic (1)
- affine equilibrium model (1)
- age (1)
- age limits (1)
- agency (1)
- agglomeration (1)
- aggregate uncertainty (1)
- aging (1)
- agriculture (1)
- algorithmic trading (1)
- allocation bias (1)
- allocative efficiency (1)
- ambiguity aversion (1)
- ambiguity premium (1)
- analytic functions (1)
- anchor (1)
- angel finance (1)
- annual general meeting (1)
- annuity puzzle (1)
- anticipation (1)
- art investing (1)
- art investments (1)
- asset management (1)
- asset managers (1)
- asset markets (1)
- asset prices (1)
- asset-backed securities (1)
- assetbacked securities (1)
- asymmetric shocks (1)
- asymmetry (1)
- attitudes towards inequality (1)
- auction (1)
- auction format (1)
- audit industry (1)
- audit partners (1)
- audit quality (1)
- audit quality, (1)
- auditor rotation (1)
- automatic enrollment (1)
- average treatment effect (1)
- background risk (1)
- backtesting (1)
- backward stochastic differential equation (1)
- bail-in bonds (1)
- bailouts (1)
- balance of payments (1)
- balance sheet adjustment (1)
- balance sheet risk (1)
- ban (1)
- bank (1)
- bank accounting (1)
- bank and non-bank financial intermediation (1)
- bank balance-sheet channel (1)
- bank behavior (1)
- bank bonds (1)
- bank capital ratios (1)
- bank capital requirements (1)
- bank default (1)
- bank distress (1)
- bank integration (1)
- bank lending channel (1)
- bank loans (1)
- bank performance (1)
- bank relationship (1)
- bank resolution regimes (1)
- bank seserves (1)
- bank stability (1)
- banking and treasury functions (1)
- banking networks (1)
- banking resolution (1)
- banking supervision, (1)
- banking system liquidity (1)
- banking systems (1)
- banknotes (1)
- bankruptcy (1)
- banks’ funding costs (1)
- behavioral economics (1)
- behavioral inattention (1)
- behavioral macroeconomics (1)
- belief effect (1)
- belief estimation (1)
- belief formation (1)
- belief updates (1)
- belief updating (1)
- benchmarks (1)
- betrayal aversion (1)
- betting (1)
- bi-power variation (1)
- biased assimilation (1)
- biased beliefs (1)
- biases (1)
- bidder surplus (1)
- bilateral investment treaties (1)
- biofuel (1)
- biofuels (1)
- biometric risks (1)
- bitcoin (1)
- bond auctions (1)
- bond market liquidity (1)
- bond ownership (1)
- bond returns (1)
- bonds (1)
- booms (1)
- bootstrap (1)
- borrowing (1)
- bounded rationality (1)
- bracket creep (1)
- brown-spinning (1)
- buffer-stock models of saving (1)
- bunker fuel (1)
- bureaucrats' incentives (1)
- business cycles (1)
- business owners wealth (1)
- calendar effects (1)
- call auctions (1)
- capacity constraints (1)
- capacity utilization (1)
- capital adequacy (1)
- capital flows (1)
- capital gains tax (1)
- capital injection to banks (1)
- capital maintenance (1)
- capital ratios (1)
- capital re-cycling (1)
- capital taxation (1)
- capital taxes (1)
- capital-labor ratio (1)
- caps (1)
- career concerns (1)
- career development (1)
- careers (1)
- cartel damages (1)
- cash equity markets (1)
- cash flow effects of interest rate policy (1)
- cash flow sensitivity (1)
- cash holdings (1)
- catastrophe bond (1)
- catastrophic events (1)
- catastrophic risk (1)
- causal inferences (1)
- central bank accountability (1)
- central bank governance (1)
- central bank governor (1)
- central bank information effect (1)
- central bank mandates (1)
- central bank policy (1)
- central counter parties (1)
- central counterparties (1)
- centralisation (1)
- centrality metrics (1)
- certification (1)
- cheating (1)
- childcare (1)
- choice overload (1)
- client involvement (1)
- climate (1)
- climate behavior (1)
- climate policies (1)
- climate risk (1)
- climate-related disclosures (1)
- closed-end funds (1)
- coal (1)
- cognitive abilities (1)
- cognitive load (1)
- cognitive sophistication (1)
- cointegrated systems (1)
- cointegration (1)
- coinvestment (1)
- collateral reuse (1)
- collective action clauses (1)
- collective litigation (1)
- combined forecasting (1)
- commercial banks (1)
- commodities (1)
- commodity (1)
- common bond (1)
- common factor models (1)
- communication (1)
- comparability (1)
- competition between exchanges (1)
- competitive equilibrium (1)
- competitive insurance market (1)
- competitiveness (1)
- complementarity (1)
- compliance behavior (1)
- comprehensive assessment (1)
- computer visionbiases (1)
- conditional CAPM (1)
- conditional volatility (1)
- conditionality (1)
- confirmatory biases (1)
- conflict of laws (1)
- connected industries (1)
- conspicuous consumption (1)
- constrained efficiency (1)
- construction procurement (1)
- consumer education (1)
- consumer loans (1)
- consumer prices (1)
- consumer protection (1)
- consumption commitments (1)
- consumption dynamics (1)
- consumption heterogeneity (1)
- consumption-based models (1)
- consumption-portfolio decisions (1)
- container (1)
- content analysis (1)
- contest (1)
- contingent capital (1)
- continuous limit order book (1)
- contract addition (1)
- contract econometrics (1)
- contract law (1)
- contract theory (1)
- contractual liability (1)
- contrarian trading (1)
- control by Court of Auditors (1)
- controlled diffusion (1)
- controlled diffusions and jump processes (1)
- conventional monetary policy (1)
- convergence (1)
- conÖrmation bias (1)
- coordination risk (1)
- copula (1)
- corporate bonds (1)
- corporate control (1)
- corporate credit risk (1)
- corporate deposits (1)
- corporate governance codes (1)
- corporate income tax (1)
- corporate savings (1)
- corporate social responsibility (1)
- corporate taxation (1)
- corporate taxes (1)
- correlation (1)
- cost of carry model (1)
- cost-benefit analysis (1)
- counterfactual analysis (1)
- counterfactual decompositions (1)
- counterfactual thinking (1)
- covariance (1)
- crack spread (1)
- credence goods (1)
- credit access (1)
- credit card debt (1)
- credit channel (1)
- credit default swap (1)
- credit derivatives (1)
- credit losses (1)
- credit management (1)
- credit market competition (1)
- credit misallocation (1)
- credit ratings (1)
- credit rationing (1)
- credit risk transfer (1)
- credit scoring (1)
- credit volume (1)
- credit-file data set (1)
- creditors runs (1)
- crop prices (1)
- cross-border insolvency (1)
- cross-border institutions (1)
- cross-border political access (1)
- cross-equation restrictions of rational expectations (1)
- cross-section (1)
- cross-section of expected stock returns (1)
- cross-section of stock return (1)
- cross-section of stock returns (1)
- cross-subsidy (1)
- cross‐country analysis (1)
- crowdlending (1)
- crowdsponsoring (1)
- cryptocurrency (1)
- culture (1)
- currencies (1)
- currency board (1)
- currency competition (1)
- current account (1)
- dark trading (1)
- dash-for-cash (1)
- debt issuance (1)
- debt relief to households (1)
- debt structure (1)
- decentralization theorem (1)
- decision theory (1)
- default effect (1)
- default investment (1)
- deleveraging (1)
- demand curve (1)
- demand elasticities (1)
- democracy (1)
- demographic change (1)
- demographic trends (1)
- demographischer Wandel (1)
- deposit insurance (1)
- deposits (1)
- deregulation (1)
- derivates market (1)
- designated market makers (1)
- dictator game (1)
- die game milk (1)
- diesel (1)
- differences of opinion (1)
- differential games (1)
- diffusion of norms (1)
- digital money (1)
- digital planning tool (1)
- digitalization (1)
- directors (1)
- disaggregated prices (1)
- disaggregation (1)
- disagreement (1)
- disclosure (1)
- discourse analysis (1)
- discretionary lending (1)
- disinflation (1)
- disintermediation (1)
- distance (1)
- distributed ledger technology (1)
- distribution channel (1)
- distributional consequences of monetary policy (1)
- divergence of opinion (1)
- diversity (1)
- divestments (1)
- dividend policy (1)
- dividends (1)
- dollar (1)
- dollar funding (1)
- doubling time (1)
- dual systems (1)
- duration of civil proceedings (1)
- duration of pay (1)
- dynamic correlation (1)
- dynamic factor models (1)
- dynamic inconsistency (1)
- dynamic model (1)
- dynamic panel GMM estimation (1)
- dynamic panel sata models (1)
- dynamic spillovers (1)
- earnings management (1)
- economic fluctuations (1)
- economic governance (1)
- economic growth (1)
- economic policy (1)
- economic policy uncertainty (1)
- economic preferences (1)
- economic rationality (1)
- economic reforms (1)
- economic surprises (1)
- economies of scale (1)
- educational intervention (1)
- effective lower bound (1)
- egulation of financial markets (1)
- elections (1)
- electronic markets (1)
- electronic trading (1)
- electronic trading systems (1)
- emerging market economies (1)
- emerging markets (1)
- emissions trading system (ETS) (1)
- emotions (1)
- empirical contract theory (1)
- employees (1)
- employer-employee level dataset (1)
- employment (1)
- end-of-day price dislocation (1)
- endogeneity (1)
- endogenous growth (1)
- endogenous information acquisition (1)
- endogenous risk (1)
- endorsement effect (1)
- energy (1)
- energy crisis (1)
- entrepreneurial spawning (1)
- entrusted loan (1)
- equity (1)
- equity betas (1)
- equity market integration (1)
- equity markets (1)
- equity trading (1)
- equity-risk premium (1)
- erm structure of interest rates (1)
- escape dynamics (1)
- ethanol (1)
- ethische Normen (1)
- euro area regional and sectoral inflation (1)
- europäischer Zahlungsverkehr (1)
- eurozone (1)
- event-study (1)
- exchange rate determination (1)
- exchange rate response to monetary policy (1)
- exchange trading rules (1)
- executive labor market (1)
- exit (1)
- expectation (1)
- expectation gap (1)
- experiences (1)
- experiment (1)
- experimental asset markets (1)
- experiments (1)
- expert forecasts (1)
- expert opinions (1)
- exploratory data analysis (1)
- export ban (1)
- exports (1)
- externalities (1)
- externality (1)
- extreme value theory (1)
- factor timing (1)
- factorization of matrix polynomials (1)
- fairness (1)
- familiarity (1)
- family firms (1)
- federal transfers (1)
- fertility (1)
- fiduciary (1)
- field study (1)
- filtering (1)
- finance and development (1)
- finance and employment (1)
- finance and technology (1)
- finance wage premium (1)
- financial accelerator (1)
- financial constraints (1)
- financial contracts (1)
- financial crises (1)
- financial cycles (1)
- financial decision-making (1)
- financial derivatives (1)
- financial development (1)
- financial disasters (1)
- financial education (1)
- financial fragility (1)
- financial fragmentation (1)
- financial innovations (1)
- financial literacy determinants (1)
- financial market (1)
- financial market data (1)
- financial market regulation (1)
- financial market stability (1)
- financial market supervision (1)
- financial markets regulation (1)
- financial models (1)
- financial repression (1)
- financial resilience (1)
- financial retrenchment (1)
- financial risk und project risk (1)
- financial risk-taking (1)
- financial solidarity (1)
- financial spillover (1)
- financial spillovers (1)
- financial stablity (1)
- financial stocks (1)
- financial structure (1)
- financial supervision (1)
- financial systems (1)
- financial transaction data (1)
- financial transaction tax (1)
- financing (1)
- financing constraint (1)
- fire sales (1)
- firm growth (1)
- firm objective (1)
- firm value (1)
- first-order approach (1)
- first-price auctions (1)
- fiscal adjustment (1)
- fiscal austerity (1)
- fiscal crisis (1)
- fiscal decentralization (1)
- fiscal federalism (1)
- fiscal financial vulnerabilities (1)
- fiscal multipliers (1)
- fiscal policy transmission (1)
- fiscal responsibility (1)
- fiscal solidarity (1)
- fiscal stimulus (1)
- fiscal stress (1)
- fiscal transfers (1)
- fiscal union (1)
- fiscal variables (1)
- fixed point approach (1)
- flash crashes (1)
- flexible-hour contracts (1)
- floating net asset value (FNAV) (1)
- floor versus screen trading (1)
- floors (1)
- food crisis (1)
- food price volatility (1)
- forbearance (1)
- forecast (1)
- forecast accuracy (1)
- forecasts (1)
- foreign currency lending (1)
- foreign direct investment (1)
- foreign portfolio investment (1)
- formal education (1)
- fragmentation (1)
- free banking (1)
- free dividend fallacy (1)
- free-riding problem (1)
- frequency domain (1)
- frequent batch auctions (1)
- front loading Effekte (1)
- front loading effects (1)
- functional finance approach (1)
- fund growth (1)
- funding dry-ups (1)
- funding risk (1)
- furlough (1)
- futures markets (1)
- game perceptions (1)
- gasoline supply (1)
- gasoline tax (1)
- gender (1)
- gender equality (1)
- gender wage gap (1)
- genetics (1)
- geographic expansion (1)
- geopolitical risk (1)
- german banking system (1)
- german banks (1)
- german pension system (1)
- global banking (1)
- global co-movement (1)
- global preference survey (1)
- goal orientation (1)
- government (1)
- government debt (1)
- gradualism (1)
- greek crisis (1)
- green central bank policy (1)
- green financing (1)
- group identity (1)
- group law (1)
- group size (1)
- growth options (1)
- habit (1)
- health (1)
- hedging errors (1)
- hedonic model (1)
- herd immunity (1)
- heterogeneity (1)
- heterogeneous beliefs (1)
- heterogeneous expectations (1)
- heterogeneous firms (1)
- heterogeneous monetary policy response (1)
- heterogeneous price expectations (1)
- heterogeneous wage rigidity (1)
- hidden action (1)
- high consumption volatility (1)
- high frequency data (1)
- high frequency trading (1)
- high-frequency traders (HFTs) (1)
- high-frequency trading (1)
- high-tech (1)
- high-tech investment (1)
- higher order beliefs (1)
- higher-order beliefs (1)
- holdout litigation (1)
- honesty (1)
- hours per capita measurement (1)
- house price (1)
- household liquidity (1)
- household savings (1)
- household wealth (1)
- household finance (1)
- households (1)
- housing debt crisis (1)
- housing expenditure share (1)
- housing investments (1)
- ideational shift (1)
- idle time (1)
- impatience (1)
- imperfect common knowledge (1)
- imperfect competition (1)
- imperfect labor market competition (1)
- implied correlation (1)
- import prices (1)
- import-export relations (1)
- impulse analysis (1)
- incentive compatibility (1)
- incentive compensation (1)
- incentive pay (1)
- incentives for investment (1)
- incidence (1)
- income dependent inflation (1)
- income distribution (1)
- income risk (1)
- income tax (1)
- incomplete information (1)
- independent private values (1)
- indeterminacy (1)
- index of lost lifetime (1)
- indicators (1)
- indirect inference estimation (1)
- individual retirement account (1)
- individual-bank lending (1)
- individuelle Altersvorsorge (1)
- industrial organization (1)
- inertia in demand (1)
- infection dynamics (1)
- inference (1)
- inflation expectations (1)
- inflation forecast targeting (1)
- inflation forecasting (1)
- inflation inertia (1)
- inflation swaps (1)
- informal loans (1)
- informal markets (1)
- information (1)
- information asymmetry (1)
- information demand (1)
- information flow (1)
- information frictions (1)
- information networks (1)
- information processing (1)
- information sharing (1)
- informational externalities (1)
- informativeness principle (1)
- infrastructural power (1)
- infrastructure (1)
- input-output (1)
- instability under learning (1)
- institutional design (1)
- instruments (1)
- insurance industry (1)
- insurance supervision (1)
- inter-corporate loan (1)
- interbank market (1)
- interbank markets (1)
- interconnections (1)
- interdependence (1)
- interdependent preferences (1)
- interest rate elasticity (1)
- interest rate risk (1)
- interest-rate channel (1)
- interest-rate rules (1)
- intergenerational persistence (1)
- intermediate targets (1)
- intermediation (1)
- internal capital markets (1)
- internal financing (1)
- internal money market (1)
- internal rating models (1)
- internal ratings (1)
- internal ratings based approach (1)
- international capital markets (1)
- international comparative finance (1)
- international currencies (1)
- international diversification benefits (1)
- international lendin (1)
- international monetary system (1)
- international price dispersion (1)
- international price setting (1)
- international taxation (1)
- internationaler Konjunkturzusammenhang (1)
- internet (1)
- intertemporal trade (1)
- intraday (1)
- intraday (co-)variation risk (1)
- intraday non-linearities (1)
- intuitive thinking (1)
- inverse probability weighting (1)
- investment behavior (1)
- investment biases (1)
- investment forum (1)
- investment guarantee (1)
- investment mistakes (1)
- investor behavior (1)
- investor preferences (1)
- investor segmentation (1)
- investor sentiment (1)
- investor sophistication (1)
- isk premiums (1)
- jet fuel (1)
- jump risk (1)
- jumps in aggregate consumption (1)
- jumps in the longrun growth rate (1)
- kapitalgedeckte Alterssicherung (1)
- knowledge of economics and finance (1)
- knowledge of finance and economics (1)
- labelling (1)
- labels (1)
- labor demand (1)
- labor hoarding (1)
- labor income (1)
- labor income taxes (1)
- labor market (1)
- labor market entry (1)
- labor mobility (1)
- labour economics (1)
- labour market policies (1)
- large language models (1)
- latency arbitrage (1)
- law (1)
- law enforcement (1)
- layoff risk (1)
- learning about jumps (1)
- learning strategy (1)
- leasing (1)
- legal transplants (1)
- leisure (1)
- lender of last resort (1)
- lending (1)
- level and slope of implied volatility smile (1)
- level playing field (1)
- leverage constraint (1)
- leverage effect (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 models (1)
- life-cycle utility maximization (1)
- lifecycle (1)
- lifecycle investment (1)
- lifecycle saving (1)
- liftoff (1)
- likelihood insensitivity (1)
- limited arbitrage (1)
- liquidity elasticity (1)
- liquidity externalities (1)
- liquidity premium (1)
- liquidity requirements (1)
- liquidity runs (1)
- loan guarantees (1)
- loan loss allowances (1)
- loan officer (1)
- loan origination (1)
- loan price determination (1)
- local investors (1)
- local method of moments (1)
- local projection (1)
- local projections (1)
- local public debt (1)
- locally non-diversifiable risk (1)
- location decisions (1)
- long memory (1)
- long real interest rates (1)
- long time series (1)
- long-run growth (1)
- long-term real interest rates (1)
- longrun risk (1)
- loss index (1)
- loss sharing (1)
- losses (1)
- lottery-type assets (1)
- low frequency trends (1)
- low interest rate environment (1)
- low risk anomaly (1)
- lump sum (1)
- macro-finance (1)
- macro-financial models (1)
- macro-prudential policy (1)
- macro-prudential tools (1)
- macroeconomic conditions (1)
- macroeconomic experiences (1)
- macroeconomic fundamentals (1)
- macroeconomic risks (1)
- macrofinancial linkages (1)
- macroprudential franework (1)
- macroprudential policy transmission (1)
- macroprudential regulation (1)
- make-up strategies (1)
- makroökonomische Konjunkturforschung (1)
- management compensation (1)
- mandatory disclosure (1)
- manufacturing (1)
- marked to market (1)
- marked to market. (1)
- market and credit risk factors (1)
- market design (1)
- market enforcement (1)
- market expectation (1)
- market fragmentation (1)
- market infrastructure (1)
- market integration (1)
- market makers (1)
- market making (1)
- market microstructure (1)
- market microstructure noise (1)
- market price (1)
- market quality (1)
- market rate of interest (1)
- market risk (1)
- market shares (1)
- market size (1)
- market structure (1)
- market-based (1)
- market-based financial intermediation (1)
- market-making (1)
- marketplace lending (1)
- matching (1)
- maturity (1)
- mean response function (1)
- measure of ambiguity (1)
- measurement error (1)
- media polarization (1)
- median (1)
- median response function (1)
- medium-sized debtors (1)
- mergers and acquisitions (1)
- micro data transparency (1)
- microdata (1)
- microprudential supervision (1)
- midpoint extended life order (1)
- mini-flash crash (1)
- misperception (1)
- missing data (1)
- missing disinflation (1)
- mitigation (1)
- mixed frequency (1)
- mnimum distribution requirements (1)
- modal model (1)
- model misspecification (1)
- moderne Notenbanker (1)
- momentum trading (1)
- monetary financing (1)
- monetary non-neutrality (1)
- monetary operations (1)
- monetary policy strategy (1)
- monetary policy surprise (1)
- monetary policy surprise shocks (1)
- monetary reform (1)
- monetary shocks (1)
- monetary system (1)
- monetary targeting (1)
- monetäre Makroökonomik (1)
- money in the utility function (1)
- mood (1)
- moral hazar (1)
- moral values (1)
- mortgage loans (1)
- motivated beliefs (1)
- motivated reasoning (1)
- motivation for honesty (1)
- multi agent models (1)
- multi-unit auctions (1)
- multinational firms (1)
- multiple lending (1)
- multiple point of entry (1)
- multiple-bank lending (1)
- multiplex networks (1)
- multiplicative error model (1)
- multivariate GARCH (1)
- mutual fund performance (1)
- nance premium (1)
- narrative sign restrictions (1)
- national interest (1)
- national systems of local banks (1)
- natural disasters (1)
- natural gas price (1)
- natural rate (1)
- natural unemployment rate (1)
- negativer Zins (1)
- neoinstitutionalism (1)
- net asset value (1)
- net foreign assets (1)
- net wealth (1)
- net zero transition (1)
- net-zero arbitrage (1)
- net-zero plans and targets (1)
- net-zero transition (1)
- network (1)
- network analysis (1)
- network centrality (1)
- network dynamics (1)
- network formation (1)
- network model (1)
- network topology (1)
- network topology estimation (1)
- network visualization (1)
- new fiscal compact (1)
- nominal exchange rate regime neutrality (1)
- nominee account (1)
- non-Bayesian updates (1)
- non-linear VAR (1)
- non-performing assets (1)
- nonlinearities (1)
- nonlinearity (1)
- nonparametric methods (1)
- nonstandard asymptotics (1)
- normal inverse gaussian distribution (1)
- official market interventions (1)
- oil (1)
- oil demand elasticity (1)
- oil price shock (1)
- oil sands (1)
- oil supply elasticity (1)
- oil trade (1)
- old cohorts wealth (1)
- one-child policy (1)
- online borrowing (1)
- online experiments (1)
- open economy (1)
- open economy macro-finance modeling (1)
- operating procedures (1)
- opinion (1)
- opportunity (1)
- optimal asset allocation (1)
- optimal capital structure choice (1)
- optimal inflation rate (1)
- optimal learning (1)
- optimal monetary policy (1)
- optimal policy (1)
- optimal rate of inflation (1)
- optimal stopping (1)
- optimum currency area (1)
- option-implied distribution (1)
- options (1)
- order flow (1)
- order submission (1)
- orthogonalization (1)
- otc derivatives markets (1)
- outgroup derogation (1)
- output fluctuations (1)
- output gap (1)
- output gap estimates (1)
- overconfidence (1)
- overlapping generations (1)
- overlapping wage contracts (1)
- overreaction (1)
- owner-manager conflict (1)
- ownership concentration (1)
- ownership structure (1)
- pairwise connectedness (1)
- pandemic (1)
- pandemic insurance (1)
- panel data (1)
- panel unit root test (1)
- panel vector autoregression (1)
- parameter uncertainty (1)
- pari passu clauses (1)
- partially linear models (1)
- participation (1)
- participation rate (1)
- passthrough (1)
- patents (1)
- paycheck frequency (1)
- payment system (1)
- peak oil (1)
- peer to peer payment systems (1)
- peer-to-peer (1)
- pension funds (1)
- perceived wealth (1)
- performance (1)
- performance indicators (1)
- performance pricing (1)
- performance-sensitive debt (1)
- personal finance (1)
- personality traits (1)
- peso problem (1)
- pessimism (1)
- pharmaceutical industry (1)
- phased withdrawal accounts (1)
- placebo technique (1)
- polarization (1)
- policy (1)
- policy credibility (1)
- policy design of macroeconomic institutions (1)
- policy evaluation (1)
- policy intervention (1)
- policy normalization (1)
- policy reform (1)
- policy robustness (1)
- policy uncertainty (1)
- political behavior (1)
- political economy of bureaucracy (1)
- political polarization (1)
- politics (1)
- pooling equilibrium (1)
- portfolio management (1)
- portfolio modelling (1)
- portfolio optimization (1)
- portfolio performance (1)
- portfolio selection (1)
- posterior (1)
- posterior risk (1)
- potential output (1)
- precautionary recapitalization (1)
- predictive likelihood (1)
- present bias (1)
- price discovery process (1)
- price discrimination (1)
- price elasticity (1)
- price impact (1)
- price reversal (1)
- price rigidities (1)
- price shocks (1)
- price-dividend ratio (1)
- price-setting (1)
- pricing (1)
- pricing estimates (1)
- primary dealers (1)
- principal agent (1)
- principal components (1)
- private Vermögensbildung (1)
- private benefits of control (1)
- private business (1)
- private companies (1)
- private financial services (1)
- private markets (1)
- private money (1)
- private sector involvement (1)
- probability of default (1)
- product development (1)
- productivity growth (1)
- profits (1)
- propagation of inequality (1)
- propensity score (1)
- proprietary trading ban (1)
- protected values (1)
- provisioning rules (1)
- prudential regulation (1)
- public bonds (1)
- public finance (1)
- public information (1)
- public markets (1)
- public policy analysis (1)
- public private partnership (1)
- quadratic variation (1)
- quadratic variation and covariation (1)
- quantile regression (1)
- racial inequality (1)
- randomized controlled trial (1)
- rank feedback (1)
- rare disaster risk (1)
- rare disasters (1)
- rating (1)
- rational bias (1)
- rational learning (1)
- reactive equilibrium (1)
- real and nominal border effect (1)
- real exchange rate dispersion (1)
- real exchange rate volatility (1)
- real exchange rates (1)
- real option (1)
- realized beta (1)
- realized quarticity (1)
- recent economic crisis (1)
- reconciliation of Lucas's advocacy of rational-expectations modelling and policy predictions and Sims's advocacy of VAR modelling (1)
- recursive preferences (1)
- refined products (1)
- refining (1)
- reform (1)
- regime switching model (1)
- regime-dependent correlations (1)
- regional heterogeneity (1)
- regional propagation (1)
- regression adjustment (1)
- regression discontinuity design (1)
- regret (1)
- regularization (1)
- regulatory capture (1)
- rehypothecation (1)
- related party transactions (1)
- relationship lending, (1)
- relative performance evaluation (1)
- relative performance feedback (1)
- rent seeking (1)
- renting vs. owning home (1)
- repeat sale (1)
- repeated games (1)
- replication (1)
- repo market (1)
- reporting (1)
- reproduction number (1)
- resilience (1)
- resiliency (1)
- resource boom (1)
- responsibility (1)
- retail investors (1)
- retained earnings (1)
- retention (1)
- retirement expectations (1)
- retirement plan (1)
- retirement planning (1)
- retirement policies (1)
- retirement preparation (1)
- return expectations (1)
- reversals (1)
- reverse mortgage (1)
- risk perception (1)
- risk preference (1)
- risk spillovers (1)
- risk-based capital (1)
- risk-sharing (1)
- risk-taking channel of monetary policy (1)
- risk-taking incentives (1)
- robust decision theory (1)
- robust inference (1)
- robust monetary policy (1)
- robustness (1)
- rules (1)
- rules vs discretion (1)
- salience (1)
- saving behavior (1)
- saving puzzles (1)
- savings accounts (1)
- savings and wealth accumulation (1)
- say-on-pay (1)
- scanner price data (1)
- scarring effects (1)
- school closures (1)
- seasonal affective disorder (SAD) (1)
- seasonality (1)
- second-order dependence (1)
- secrecy (1)
- secular stagnation (1)
- securities (1)
- securities law and regulation (1)
- securities lending (1)
- securities markets (1)
- securities trading (1)
- securitization (1)
- selection (1)
- selection bias (1)
- self-control (1)
- semi-parametric estimation (1)
- sensitivity (1)
- separating equilibrium (1)
- severance pay caps (1)
- severity (1)
- shale oil (1)
- shareholder engagement (1)
- shareholder wealth (1)
- shareholderism (1)
- shifting endpoint (1)
- shocks (1)
- short-sale constraints (1)
- short-selling (1)
- simple rules (1)
- simultaneity (1)
- single point of entry (1)
- skill (1)
- skill-biased technological change (1)
- slumps (1)
- small and medium enterprises (1)
- smoothing (1)
- sniping (1)
- social (1)
- social centralization (1)
- social dilemma (1)
- social distance (1)
- social identity (1)
- social impact (1)
- social impact bonds (1)
- social networks (1)
- social norm (1)
- social security claiming (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 bond markets (1)
- sovereign bond risk premiums (1)
- sovereign debt (1)
- sovereign debt litigation (1)
- sovereign debt restructuring (1)
- sovereign debt standstill (1)
- sovereign rating (1)
- sovereignbank linkages (1)
- soziale Marktwirtschaft (1)
- specificity (1)
- speculative trading (1)
- spending cuts (1)
- spillovers (1)
- spot covariance (1)
- spread premium (1)
- sset pricing (1)
- staatliche Sozialversicherung (1)
- stability (1)
- stability of equilibria (1)
- stabilization (1)
- stable convergence (1)
- stakeholder (1)
- stakeholder governance (1)
- staleness (1)
- standard setting (1)
- state (1)
- state dependence (1)
- state dependency (1)
- state-contingent contracts (1)
- state-dependent sensitivity value-at-risk (SDSVaR) (1)
- state-owned enterprises (1)
- state-space model (1)
- statement indicators (1)
- stationarity (1)
- statistical risk measurement (1)
- statistical testing (1)
- statistics (1)
- stealth trading (1)
- stewardship codes (1)
- sticky expectations (1)
- stochastic control (1)
- stock buybacks (1)
- stock demand (1)
- stock market crisis (1)
- stock market investment (1)
- stock market nonparticipation (1)
- stock market reaction (1)
- stock market volatility (1)
- stock ownership (1)
- stock pricing (1)
- stock repurchases (1)
- stock return expectations (1)
- stocks (1)
- storage (1)
- storage demand (1)
- strategic complementarity (1)
- strategic interaction of regulators (1)
- strategic trading (1)
- strategy review (1)
- stress test (1)
- structural change (1)
- structural estimation (1)
- structural scenario analysis (1)
- structured products (1)
- strukturelle Reformen (1)
- subjective expectations (1)
- subordinated debt (1)
- substitution (1)
- sunspots (1)
- super-elasticity (1)
- supervision (1)
- supervisory intervention (1)
- supply chain (1)
- survey (1)
- survey analysis (1)
- survey expectations (1)
- survey experiments (1)
- survey forecasts (1)
- sustainability KPIs (1)
- sustainable investments (1)
- systemic importance (1)
- systemic risk analysis (1)
- systemic risk contribution (1)
- systemic risk fund (1)
- systemic risk network (1)
- systemic risk, too-interconnected-to-fail (1)
- säkulare Stagnation (1)
- tail dependence (1)
- tail measure (1)
- talent, learning (1)
- tanker (1)
- targets (1)
- taste heterogeneity (1)
- tax (1)
- tax arbitrage (1)
- tax clientele effects (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)
- tax policy (1)
- tax reform (1)
- taxing rights (1)
- taxonomies (1)
- technical and fundamental trading (1)
- technological growth (1)
- technology diffusion (1)
- temperature (1)
- temperature shocks (1)
- temporary equilibrium (1)
- term premia (1)
- term structure of interest (1)
- term structure of price expectations (1)
- test cases (1)
- text analysis (1)
- textual analysis (1)
- threshold vector auto-regressive models (1)
- tight oil (1)
- time charter (1)
- time dependency (1)
- time inconsistency (1)
- time series momentum (1)
- time-varying natural rate (1)
- time-varying parameter (1)
- time-varying risk premia (1)
- time-varying systemic risk contribution (1)
- timing (1)
- topic modelling (1)
- total connectedness (1)
- total directional connect- edness (1)
- trade (1)
- trade signaling (1)
- trading (1)
- trading activity (1)
- trading pause (1)
- trading process (1)
- trading rules (1)
- trading strategies (1)
- transaction costs (1)
- transactions (1)
- transition countries (1)
- transition risk (1)
- transmission mechanism (1)
- treasury auctions (1)
- treatment capacity (1)
- trend chasing (1)
- trend inflation (1)
- trend-cycle decomposition (1)
- troika (1)
- trust (1)
- trust driven expectations (1)
- trust evolutionary games (1)
- trust game (1)
- trust games (1)
- tunneling (1)
- twin study (1)
- two-pillar system (1)
- tâtonnement (1)
- uncertainty aversion (1)
- unconfirmed cases (1)
- underinvestment (1)
- unemployment insurance (1)
- universal banking (1)
- updating (1)
- utility dividends (1)
- utility functions (1)
- validation (1)
- valuation (1)
- valuation adjustment (1)
- valuation discount (1)
- valuation ratios (1)
- value at risk (1)
- value-at-risk (1)
- values (1)
- variable annuity (1)
- variance decomposition (1)
- variance risk premium (1)
- vector autoregression (1)
- vector error correction model (1)
- vector-autoregression (1)
- vektorautoregressive Modelle (1)
- venture capital and bank financing (1)
- venture capitalism (1)
- venture funding (1)
- vertical differentiation (1)
- vertical fiscal imbalances (1)
- vignette survey method (1)
- volatility estimation (1)
- volatility forecasting (1)
- volatility of volatility (1)
- voyage (1)
- vulture creditors (1)
- wage hump (1)
- wages (1)
- war (1)
- waterbed effect (1)
- weak identification (1)
- wealth effects (1)
- weather (1)
- welfare costs (1)
- welfare effects (1)
- welfare state (1)
- wholesale shocks (1)
- winner's curse (1)
- worker-firm panels (1)
- workforce (1)
- working hours (1)
- workout (1)
- world interest rates (1)
- yen (1)
- yield spreads (1)
- z-Transform (1)
- zero returns (1)
- zero-interest-rate bound (1)
- fiscal multipliers (1)
- Ökonometrisches Modell (1)
- Übernahmeangebot (1)
- ΔCoVaR (1)
- financial literacy (1)
Institute
- Center for Financial Studies (CFS) (1632)
- Wirtschaftswissenschaften (1147)
- Sustainable Architecture for Finance in Europe (SAFE) (779)
- House of Finance (HoF) (718)
- Institute for Monetary and Financial Stability (IMFS) (109)
- Rechtswissenschaft (48)
- Foundation of Law and Finance (41)
- Institute for Law and Finance (ILF) (8)
- Frankfurt MathFinance Institute (FMFI) (3)
- E-Finance Lab e.V. (1)
The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might supports the use of a global monetary aggregate as a summary measure of worldwide monetary trends. JEL Classification: E52, F01
The effects of public policy programs which aim at internalizing spill-overs due to successful innovation are analyzed in a sequential double-sided moral hazard doublesided adverse selection framework. The central focus lies in analyzing their impact on contract design. We show that in our framework only ex post grants are a robust instrument for implementing the first-best situation, whereas the success of guarantee programs, ex ante grants and some types of investment grants depends strongly on the characteristics of the project: in certain cases they not only give no further incentives but even destroy contract mechanisms and so worsen the outcome. JEL Classification: D82, G24, G32, H25, H81
We propose a new decision criterion under risk in which people extract both utility from anticipatory feelings ex ante and disutility from disappointment ex post. The decision maker chooses his degree of optimism, given that more optimism raises both the utility of ex ante feelings and the risk of disappointment ex post. We characterize the optimal beliefs and the preferences under risk generated by this mental process and apply this criterion to a simple portfolio choice/insurance problem. We show that these preferences are consistent with the preference reversal in the Allais’ paradoxes and predict that the decision maker takes on less risk compared to an expected utility maximizer. This speaks to the equity premium puzzle and to the preference for low deductibles in insurance contracts. Keywords: endogenous beliefs, anticipatory feeling, disappointment, optimism, decision under risk, portfolio allocation.
Informational economies of scope between lending and underwriting are a mixed blessing for universal banks. While they can reduce the cost of raising capital for a firm, they also reduce incentives in the underwriting business. We show that tying lending and underwriting helps to overcome this dilemma. First, risky debt in tied deals works as a bond to increase underwriting incentives. Second, with limitations on contracting, tying reduces the underwriting rents as the additional incentives from debt can substitute for monetary incentives. In addition, reducing the yield on the tied debt is a means to pay for the rent in the underwriting business and to transfer informational benefits to the client. Thus, tying is a double edged sword for universal banks. It helps to compete against specialized investment banks, but it can reduce the rent to be earned in investment banking when universal banks compete against each other. We derive several empirical predictions regarding the characteristics of tied deals. JEL Classification: G21, G24, D49
Mutual insurance companies and stock insurance companies are different forms of organized risk sharing: policyholders and owners are two distinct groups in a stock insurer, while they are one and the same in a mutual. This distinction is relevant to raising capital, selling policies, and sharing risk in the presence of financial distress. Up-front capital is necessary for a stock insurer to offer insurance at a fair premium, but not for a mutual. In the presence of an ownermanager conflict, holding capital is costly. Free-rider and commitment problems limit the degree of capitalization that a stock insurer can obtain. The mutual form, by tying sales of policies to the provision of capital, can overcome these problems at the potential cost of less diversified owners. JEL Classification: G22, G32
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are attributable to reactions of foreign traders to public economic information. Moreover, we analyze whether cross-market linkages remain the same or whether they do increase during periods in which economic news is released in one of the countries. Our main results can be summarized as follows: (i) there are clear short term international dynamic interactions among the European stock futures markets; (ii) foreign economic news affects domestic returns; (iii) futures returns adjust to news immediately; (iv) announcement timing of macroeconomic news matters; (v) stock market dynamic interactions do not increase at the time of the release of economic news; (vi) foreign investors react to the content of the news itself more than to the response of the domestic market to the national news; and (vii) contemporaneous correlation between futures returns changes at the time of macroeconomic releases. JEL Classification: G14, G15
A resampling method based on the bootstrap and a bias-correction step is developed for improving the Value-at-Risk (VaR) forecasting ability of the normal-GARCH model. Compared to the use of more sophisticated GARCH models, the new method is fast, easy to implement, numerically reliable, and, except for having to choose a window length L for the bias-correction step, fully data driven. The results for several different financial asset returns over a long out-of-sample forecasting period, as well as use of simulated data, strongly support use of the new method, and the performance is not sensitive to the choice of L. Klassifizierung: C22, C53, C63, G12
We evaluate the asset pricing implications of a class of models in which risk sharing is imperfect because of the limited enforcement of intertemporal contracts. Lustig (2004) has shown that in such a model the asset pricing kernel can be written as a simple function of the aggregate consumption growth rate and the growth rate of consumption of the set of households that do not face binding enforcement constraints in that state of the world. These unconstrained households have lower consumption growth rates than constrained households, i.e. they are located in the lower tail of the crosssectional consumption growth distribution. We use household consumption data from the U.S. Consumer Expenditure Survey to estimate the pricing kernel implied by the model and to evaluate its performance in pricing aggregate risk. We employ the same data to construct aggregate consumption and to derive the standard complete markets pricing kernel. We find that the limited enforcement pricing kernel generates a market price of risk that is substantially larger than the standard complete markets asset pricing kernel. Klassifizierung: G12, D53, D52, E44
In this paper we quantitatively characterize the optimal capital and labor income tax in an overlapping generations model with idiosyncratic, uninsurable income shocks, where households also differ permanently with respect to their ability to generate income. The welfare criterion we employ is ex-ante (before ability is realized) expected (with respect to uninsurable productivity shocks) utility of a newborn in a stationary equilibrium. Embedded in this welfare criterion is a concern of the policy maker for insurance against idiosyncratic shocks and redistribution among agents of different abilities. Such insurance and redistribution can be achieved by progressive labor income taxes or taxation of capital income, or both. The policy maker has then to trade off these concerns against the standard distortions these taxes generate for the labor supply and capital accumulation decision. We find that the optimal capital income tax rate is not only positive, but is significantly positive. The optimal (marginal and average) tax rate on capital is 36%, in conjunction with a progressive labor income tax code that is, to a first approximation, a flat tax of 23% with a deduction that corresponds to about $6,000 (relative to an average income of households in the model of $35,000). We argue that the high optimal capital income tax is mainly driven by the life cycle structure of the model whereas the optimal progressivity of the labor income tax is due to the insurance and redistribution role of the income tax system. Klassifizierung: E62, H21, H24
Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and fat tails, the normal distribution with constant variance continues to be the standard framework in portfolio management. Here we propose a practical approach to portfolio selection. It takes both the conditionally varying volatility and the fat-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An application to a portfolio of nine German DAX stocks illustrates that the model is strongly favored by the data and that it is practically implementable. Klassifizierung: C13, C32, G11, G14, G18
Baby boomer retirement security: the roles of planning, financial literacy and housing wealth
(2006)
We compare wealth holdings across two cohorts of the Health and Retirement Study: the early Baby Boomers in 2004, and individuals in the same age group in 1992. Levels and patterns of total net worth have changed relatively little over time, though Boomers rely more on housing equity than their predecessors. Most important, planners in both cohorts arrive close to retirement with much higher wealth levels and display higher financial literacy than non-planners. Instrumental variables estimates show that planning behavior can explain the differences in savings and why some people arrive close to retirement with very little or no wealth. Klassifizierung: D91, E21
We use data from several waves of the Survey of Consumer Finances to document credit and debit card ownership and use across US demographic groups. We then present recent theoretical and empirical contributions to the study of credit and debit card behavior. Utilization rates of credit lines and portfolios of card holders present several puzzles. Credit line increases initiated by banks lead households to restore previous utilization rates. High-interest credit card debt co-exists with substantial holdings of low-interest liquid assets and with accumulation of retirement assets. Although available evidence disputes ignorance of credit card terms by card holders, redit card rates do not respond to competition. There is a rising trend in bankruptcy and delinquency, partly attributable to an increased tendency of households to declare bankruptcy associated with reduced social stigma, ease of procedures, and financial incentives. Co-existence of credit card debt with retirement assets can be explained through self-control hyperbolic discounting. Strategic default motives contribute partly to observed co-existence of credit card debt with low-interest liquid assets. A framework of “accountant-shopper” households, in which a rational accountant tries to control an impulsive shopper, seems consistent with both types of co-existence and with observed utilization of credit lines. JEL Classification: G11, E21
CFSnewsletter is a documentation of past, present and future CFS activities in the fields of research, executive development and events. Printed versions of all issues published since 1997 can be ordered free of charge. To download the latest issues, you need ADOBE Acrobat Reader. Contact: Lut De Moor Phone: +49-(0)69-798-30060 Fax: +49-(0)69-798-30077 media_contact (AT) ifk-cfs.de
We review arguments for and against reserve requirements and conclude that the main question is whether a distinction between money creation and intermediation can be made. We argue that such a distinction can be made in a money-in-advance economy and show that if the money-in-advance constraint is universally binding then reserve requirements on checkable accounts have no effect on intermediation. We then proceed to show that in a model in which trade is uncertain and sequential, a fractional reserve banking system gives rise to endogenous monetary shocks. These endogenous monetary shocks lead to fluctuations in capacity utilisation and waste. When the money-in-advance constraint is universally binding, a 100% reserve requirement on checkable accounts can eliminate this waste.
This paper employs a multi-country large scale Overlapping Generations model with uninsurable labor productivity and mortality risk to quantify the impact of the demographic transition towards an older population in industrialized countries on world-wide rates of return, international capital flows and the distribution of wealth and welfare in the OECD. We find that for the U.S. as an open economy, rates of return are predicted to decline by 86 basis points between 2005 and 2080 and wages increase by about 4.1%. If the U.S. were a closed economy, rates of return would decline and wages increase by less. This is due to the fact that other regions in the OECD will age even more rapidly; therefore the U.S. is “importing” the more severe demographic transition from the rest of the OECD in the form of larger factor price changes. In terms of welfare, our model suggests that young agents with little assets and currently low labor productivity gain, up to 1% in consumption, from higher wages associated with population aging. Older, asset-rich households tend to lose, because of the predicted decline in real returns to capital. Klassifizierung: E17, E25, D33, C68
When liquidity plays an important role as in times of financial crisis, asset prices in some markets may reflect the amount of liquidity available in the market rather than the future earning power of the asset. Mark-to-market accounting is not a desirable way to assess the solvency of a financial institution in such circumstances. We show that a shock in the insurance sector can cause the current value of banks’ assets to be less than the current value of their liabilities so the banks are insolvent. In contrast, if historic cost accounting is used, banks are allowed to continue and can meet all their future liabilities. Mark-to-market accounting can thus lead to contagion where none would occur with historic cost accounting. Klassifizierung: G21, G22, M41
Multiple lenders and corporate distress: evidence on debt restructuring : [Version Juni 2006]
(2006)
In the recent theoretical literature on lending risk, the coordination problem in multi-creditor relationships have been analyzed extensively. We address this topic empirically, relying on a unique panel data set that includes detailed credit-file information on distressed lending relationships in Germany. In particular, it includes information on creditor pools, a legal institution aiming at coordinating lender interests in borrower distress. We report three major findings. First, the existence of creditor pools increases the probability of workout success. Second, the results are consistent with coordination costs being positively related to pool size. Third, major determinants of pool formation are found to be the number of banks, the distribution of lending shares, and the severity of the distress shock.
In this paper, we show the pivotal role business owners play in estimating the importance of the precautionary saving motive. The fact that business owners hold higher-than-average wealth while facing higher income risk than other households leads to a correlation between wealth and labor income risk regardless of whether or not a precautionary motive is important. Using data from the Panel Study of Income Dynamics in the 1980s and the 1990s, we show that within separate samples of both business owners and non-business owners the size of precautionary savings with respect to labor income risk is modest and accounts for less than ten percent of total household wealth. However, pooling together these two groups leads to an artificially high estimate of the importance of precautionary savings. Data from the Survey of Consumer Finances further confirms that precautionary savings account for less than ten percent of total wealth for both business owners and non-business owners. Thus, while a precautionary saving motive exists and affects all households, it does not give rise to high amounts of wealth in the economy, particularly among those households who face the most volatile labor earnings. Klassifizierung: D91
We evaluate the importance of the precautionary saving motive by relying on a direct question about precautionary wealth from the 1995 and 1998 waves of the Survey of Consumer Finances. In this survey, a new question has been designed to elicit the amount of desired precautionary wealth. This allows us to assess the amount of precautionary accumulation and to overcome many of the problems of previous works on this topic. We find that a precautionary saving motive exists and affects virtually every type of household. However, precautionary savings account for only 8 percent of total wealth holdings. Even though this motive does not give rise to large amounts of wealth, particularly for young and middle-age households, it is particularly important for two groups: older households and business owners. Overall, we provide strong evidence that we need to take the precautionary saving motive into account when modeling saving behavior. Klassifizierung: D91, E21, C21
Several recent studies have addressed household participation in the stock market, but relatively few have focused on household stock trading behavior. Household trading is important for the stock market, as households own more than 40% of the NYSE capitalization directly and can also influence trading patterns of institutional investors by adjusting their indirect stock holdings. Existing studies based on administrative data offer conflicting results. Discount brokerage data show excessive trading to the detriment of stockholders, while data on retirement accounts indicate extreme inactivity. This paper uses data representative of the population to document the extent of household portfolio inertia and to link it to household characteristics and to stock market movements. We document considerable portfolio inertia, as regards both changing stockholding participation status and trading stocks, and find that specific household characteristics contribute to the tendency to exhibit such inertia. Although our findings suggest some dependence of trading directly-held equity through brokerage accounts on the performance of the stock market index, they do not indicate that the recent expansion in the stockholder base and the experience of the stock market downswing have significantly altered the overall propensity of households to trade in stocks or to switch participation status in a way that could contribute to stock market instability. JEL Classification: G110, E210
This paper compares the boom-bust cycle in Finland and Sweden 1984-1995 with the average boom-bust pattern in industrialized countries as calculated from an international sample for the period 1970-2002. Two clear conclusions emerge. First, the Finnish-Swedish experience is much more volatile than the average boom-bust pattern. This holds for virtually every time series examined. Second, the bust and the recovery in the two Nordic countries differ markedly more from the international pattern than the boom phase does. The bust is considerably deeper and the recovery comes earlier and is more rapid. We explain the highly volatile character of the Finnish and Swedish boom-bust episode by the design of economic policies in the 1980s and 1990s. The boom-bust cycle in Finland and Sweden 1984-1995 was driven by financial liberalization and a hard currency policy, causing large pro-cyclical swings in the real rate of interest transmitted via the financial sector into the real sector and then into the public finances. JEL Classification: E32, E62, E63
We model the impact of bank mergers on loan competition, reserve holdings and aggregate liquidity. A merger changes the distribution of liquidity shocks and creates an internal money market, leading to financial cost efficiencies and more precise estimates of liquidity needs. The merged banks may increase their reserve holdings through an internalization effect or decrease them because of a diversification effect. The merger also affects loan market competition, which in turn modifies the distribution of bank sizes and aggregate liquidity needs. Mergers among large banks tend to increase aggregate liquidity needs and thus the public provision of liquidity through monetary operations of the central bank. JEL Classification: G24, G32, G34
We analyze the degree of contract completeness with respect to staging of venture capital investments using a hand-collected German data set of contract data from 464 rounds into 290 entrepreneurial firms. We distinguish three forms of staging (pure milestone financing, pure round financing and mixes). Thereby, contract completeness reduces when going from pure milestone financing via mixes to pure round financing. We show that the decision for a specific form of staging is determined by the expected distribution of bargaining power between the contracting parties when new funding becomes necessary and the predictability of the development process. To be more precise, parties choose the more complete contracts the lower the entrepreneur's expected bargaining power - the maximum level depending on the predictability of the development process. JEL Classification: G24, G32, D86, D80, G34
We estimate the effect of pension reforms on households' expectations of retirement outcomes and private wealth accumulation decisions exploiting a decade of intense Italian pension reforms as a source of exogenous variation in expected pension wealth. The Survey of Household Income and Wealth, a large random sample of the Italian population, elicits expectations of the age at which workers expect to retire and of the ratio of pension benefits to pre-retirement income between 1989 and 2002. We find that workers have revised expectations in the direction suggested by the reform and that there is substantial offset between private wealth and perceived pension wealth, particularly by workers that are better informed about their pension wealth. Klassifikation: E21, H55
We present a multivariate generalization of the mixed normal GARCH model proposed in Haas, Mittnik, and Paolella (2004a). Issues of parametrization and estimation are discussed. We derive conditions for covariance stationarity and the existence of the fourth moment, and provide expressions for the dynamic correlation structure of the process. These results are also applicable to the single-component multivariate GARCH(p, q) model and simplify the results existing in the literature. In an application to stock returns, we show that the disaggregation of the conditional (co)variance process generated by our model provides substantial intuition, and we highlight a number of findings with potential significance for portfolio selection and further financial applications, such as regime-dependent correlation structures and leverage effects. Klassifikation: C32, C51, G10, G11
We model the impact of bank mergers on loan competition, reserve holdings and aggregate liquidity. A merger changes the distribution of liquidity shocks and creates an internal money market, leading to financial cost efficiencies and more precise estimates of liquidity needs. The merged banks may increase their reserve holdings through an internalization effect or decrease them because of a diversification effect. The merger also affects loan market competition, which in turn modifies the distribution of bank sizes and aggregate liquidity needs. Mergers among large banks tend to increase aggregate liquidity needs and thus the public provision of liquidity through monetary operations of the central bank. Klassifikation: D43, G21, G28, L13
When a spot market monopolist has a position in a corresponding futures market, he has an incentive to deviate from the spot market optimum to make this position more profitable. Rational futures market makers take this into account when setting prices. We show that the monopolist, by randomizing his futures market position, can strategically exploit his market power at the expense of other futures market participants. Furthermore, traders without market power can manipulate futures prices by hiding their orders behind the monopolist's strategic trades. The moral hazard problem stemming from spot market power thus provides a venue for strategic trading and manipulation that parallels the adverse selection problem stemming from inside information. Klassifikation: D82, G13
We study a set of German open-end mutual funds for a time period during which this industry emerged from its infancy. In those years, the distribution channel for mutual funds was dominated by the brick-and-mortar retail networks of the large universal banks. Using monthly observations from 12/1986 through 12/1998, we investigate if cross-sectional return differences across mutual funds affect their market shares. Although such a causal relation has been established in highly competitive markets, such as the United States, the rigid distribution system in place in Germany at the time may have caused retail performance and investment performance to uncouple. In fact, although we observe stark differences in investment performance across mutual funds (and over time), we find no evidence that cross-sectional performance differences affect the market shares of these funds. Klassifikation: G 23
Large banks often sell part of their loan portfolio in the form of collateralized debt obligations (CDO) to investors. In this paper we raise the question whether credit asset securitization affects the cyclicality (or commonality) of bank equity values. The commonality of bank equity values reflects a major component of systemic risks in the banking market, caused by correlated defaults of loans in the banks' loan books. Our simulations take into account the major stylized fact of CDO transactions, the non-proportional nature of risk sharing that goes along with tranching. We provide a theoretical framework for the risk transfer through securitization that builds on a macro risk factor and an idiosyncratic risk factor, allowing an identification of the types of risk that the individual tranche holders bear. This allows conclusions about the risk positions of issuing banks after risk transfer. Building on the strict subordination of tranches, we first evaluate the correlation properties both within and across risk classes. We then determine the effect of securitization on the systematic risk of all tranches, and derive its effect on the issuing bank's equity beta. The simulation results show that under plausible assumptions concerning bank reinvestment behaviour and capital structure choice, the issuing intermediary's systematic risk tends to rise. We discuss the implications of our findings for financial stability supervision. Klassifikation: G28
In this paper, we consider expected value, variance and worst-case optimization of nonlinear models. We present algorithms for computing optimal expected values, and variance, based on iterative Taylor expansions. We establish convergence and consider the relative merits of policies beaded on expected value optimization and worst-case robustness. The latter is a minimax strategy and ensures optimal cover in view of the worst-case scenario(s) while the former is optimal expected performance in a stochastic setting. Both approaches are used with a macroeconomic policy model to illustrate relative performances, robustness and trade-offs between the strategies. Klassifikation: C61, E43
Market efficiency today
(2006)
This CFS Working Paper has been presented at the CFSsymposium "Market Efficiency Today" held in Frankfurt/Main on October 6, 2005. In 2004 the Center for Financial Studies (CFS) in cooperation with the Johann Wolfgang Goethe University, Frankfurt/Main established an international academic prize, which is to be known as The Deutsche Bank Prize in Financial Economics. The prize will honor an internationally renowned researcher who has excelled through influential contributions to research in the fields of finance and money and macroeconomics, and whose work has lead to practice and policy-relevant results. The Deutsche Bank Prize in Financial Economics has been awarded for the first time in October 2005. The prize, sponsored by the Stiftungsfonds Deutsche Bank im Stifterverband für die Deutsche Wissenschaft, carries a cash award of € 50,000. The prize will be awarded every two years and the prize holder will be appointed a "Distinguished Fellow" of the CFS. The role of media partner for the Deutsche Bank Prize in Financial Economics is to be filled by the internationally renowned publication, The Economist and the Handelsblatt, the leading German-language financial and business newspaper.
Using unobservable conditional variance as measure, latent-variable approaches, such as GARCH and stochastic-volatility models, have traditionally been dominating the empirical finance literature. In recent years, with the availability of high-frequency financial market data modeling realized volatility has become a new and innovative research direction. By constructing "observable" or realized volatility series from intraday transaction data, the use of standard time series models, such as ARFIMA models, have become a promising strategy for modeling and predicting (daily) volatility. In this paper, we show that the residuals of the commonly used time-series models for realized volatility exhibit non-Gaussianity and volatility clustering. We propose extensions to explicitly account for these properties and assess their relevance when modeling and forecasting realized volatility. In an empirical application for S&P500 index futures we show that allowing for time-varying volatility of realized volatility leads to a substantial improvement of the model's fit as well as predictive performance. Furthermore, the distributional assumption for residuals plays a crucial role in density forecasting. Klassifikation: C22, C51, C52, C53
We find that on average consumers chose the contract that ex post minimized their net costs. A substantial fraction of consumers (about 40%) still chose the ex post sub-optimal contract, with some incurring hundreds of dollars of avoidable interest costs. Nonetheless, the probability of choosing the sub-optimal contract declines with the dollar magnitude of the potential error, and consumers with larger errors were more likely to subsequently switch to the optimal contract. Thus most of the errors appear not to have been very costly, with the exception that a small minority of consumers persists in holding substantially sub-optimal contracts without switching. Klassifikation: G11, G21, E21, E51
Using a set of regional inflation rates we examine the dynamics of inflation dispersion within the U.S.A., Japan and across U.S. and Canadian regions. We find that inflation rate dispersion is significant throughout the sample period in all three samples. Based on methods applied in the empirical growth literature, we provide evidence in favor of significant mean reversion (ß-convergence) in inflation rates in all considered samples. The evidence on ó-convergence is mixed, however. Observed declines in dispersion are usually associated with decreasing overall inflation levels which indicates a positive relationship between mean inflation and overall inflation rate dispersion. Our findings for the within-distribution dynamics of regional inflation rates show that dynamics are largest for Japanese prefectures, followed by U.S. metropolitan areas. For the combined U.S.-Canadian sample, we find a pattern of within-distribution dynamics that is comparable to that found for regions within the European Monetary Union (EMU). In line with findings in the so-called 'border literature' these results suggest that frictions across European markets are at least as large as they are, e.g., across North American markets. Klassifikation: E31, E52, E58
Using a unique data set of regional inflation rates we are examining the extent and dynamics of inflation dispersion in major EMU countries before and after the introduction of the euro. For both periods, we find strong evidence in favor of mean reversion (ß-convergence) in inflation rates. However, half-lives to convergence are considerable and seem to have increased after 1999. The results indicate that the convergence process is nonlinear in the sense that its speed becomes smaller the further convergence has proceeded. An examination of the dynamics of overall inflation dispersion (ó-convergence) shows that there has been a decline in dispersion in the first half of the 1990s. For the second half of the 1990s, no further decline can be observed. At the end of the sample period, dispersion has even increased. The existence of large persistence in European inflation rates is confirmed when distribution dynamics methodology is applied. At the end of the paper we present evidence for the sustainability of the ECB's inflation target of an EMU-wide average inflation rate of less than but close to 2%. Klassifikation: E31, E52, E58
The paper documents lack of awareness of financial assets in the 1995 and 1998 Bank of Italy Surveys of Household Income and Wealth. It then explores the determinants of awareness, and finds that the probability that survey respondents are aware of stocks, mutual funds and investment accounts is positively correlated with education, household resources, long-term bank relations and proxies for social interaction. Lack of financial awareness has important implications for understanding the stockholding puzzle and for estimating stock market participation costs. Klassifikation: E2, D8, G1
The theory of intertemporal consumption choice makes sharp predictions about the evolution of the entire distribution of household consumption, not just about its conditional mean. In the paper, we study the empirical transition matrix of consumption using a panel drawn from the Bank of Italy Survey of Household Income and Wealth. We estimate the parameters that minimize the distance between the empirical and the theoretical transition matrix of the consumption distribution. The transition matrix generated by our estimates matches remarkably well the empirical matrix, both in the aggregate and in samples stratified by education. Our estimates strongly reject the consumption insurance model and suggest that households smooth income shocks to a lesser extent than implied by the permanent income hypothesis. Klassifikation: D52, D91, I30
Trusting the stock market
(2005)
We provide a new explanation to the limited stock market participation puzzle. In deciding whether to buy stocks, investors factor in the risk of being cheated. The perception of this risk is a function not only of the objective characteristics of the stock, but also of the subjective characteristics of the investor. Less trusting individuals are less likely to buy stock and, conditional on buying stock, they will buy less. The calibration of the model shows that this problem is sufficiently severe to account for the lack of participation of some of the richest investors in the United States as well as for differences in the rate of participation across countries. We also find evidence consistent with these propositions in Dutch and Italian micro data, as well as in cross country data. Klassifikation: D1, D8
Credit card debt puzzles
(2005)
Most US credit card holders revolve high-interest debt, often combined with substantial (i) asset accumulation by retirement, and (ii) low-rate liquid assets. Hyperbolic discounting can resolve only the former puzzle (Laibson et al., 2003). Bertaut and Haliassos (2002) proposed an 'accountant-shopper' framework for the latter. The current paper builds, solves, and simulates a fully-specified accountant-shopper model, to show that this framework can actually generate both types of co-existence, as well as target credit card utilization rates consistent with Gross and Souleles (2002). The benchmark model is compared to setups without self-control problems, with alternative mechanisms, and with impatient but fully rational shoppers. Klassifikation: E210, G110
Some have argued that recent increases in credit risk transfer are desirable because they improve the diversification of risk. Others have suggested that they may be undesirable if they increase the risk of financial crises. Using a model with banking and insurance sectors, we show that credit risk transfer can be beneficial when banks face uniform demand for liquidity. However, when they face idiosyncratic liquidity risk and hedge this risk in an interbank market, credit risk transfer can be detrimental to welfare. It can lead to contagion between the two sectors and increase the risk of crises. Klassifikation: G21, G22
How do markets spread risk when events are unknown or unknowable and where not anticipated in an insurance contract? While the policyholder can "hold up" the insurer for extra contractual payments, the continuing gains from trade on a single contract are often too small to yield useful coverage. By acting as a repository of the reputations of the parties, we show the brokers provide a coordinating mechanism to leverage the collective hold up power of policyholders. This extends both the degree of implicit and explicit coverage. The role is reflected in the terms of broker engagement, specifically in the ownership by the broker of the renewal rights. Finally, we argue that brokers can be motivated to play this role when they receive commissions that are contingent on insurer profits. This last feature questions a recent, well publicized, attack on broker compensation by New York attorney general, Elliot Spitzer. Klassifikation: G22, G24, L14
Market discipline for financial institutions can be imposed not only from the liability side, as has often been stressed in the literature on the use of subordinated debt, but also from the asset side. This will be particularly true if good lending opportunities are in short supply, so that banks have to compete for projects. In such a setting, borrowers may demand that banks commit to monitoring by requiring that they use some of their own capital in lending, thus creating an asset market-based incentive for banks to hold capital. Borrowers can also provide banks with incentives to monitor by allowing them to reap some of the benefits from the loans, which accrue only if the loans are in fact paid o.. Since borrowers do not fully internalize the cost of raising capital to the banks, the level of capital demanded by market participants may be above the one chosen by a regulator, even when capital is a relatively costly source of funds. This implies that capital requirements may not be binding, as recent evidence seems to indicate. JEL Classification: G21, G38
We explore the macro/finance interface in the context of equity markets. In particular, using half a century of Livingston expected business conditions data we characterize directly the impact of expected business conditions on expected excess stock returns. Expected business conditions consistently affect expected excess returns in a statistically and economically significant counter-cyclical fashion: depressed expected business conditions are associated with high expected excess returns. Moreover, inclusion of expected business conditions in otherwise standard predictive return regressions substantially reduces the explanatory power of the conventional financial predictors, including the dividend yield, default premium, and term premium, while simultaneously increasing R2. Expected business conditions retain predictive power even after controlling for an important and recently introduced non-financial predictor, the generalized consumption/wealth ratio, which accords with the view that expected business conditions play a role in asset pricing different from and complementary to that of the consumption/wealth ratio. We argue that time-varying expected business conditions likely capture time-varying risk, while time-varying consumption/wealth may capture time-varying risk aversion. Klassifikation: G12
We provide a novel benefit of "Alternative Risk Transfer" (ART) products with parametric or index triggers. When a reinsurer has private information about his client's risk, outside reinsurers will price their reinsurance offer less aggressively. Outsiders are subject to adverse selection as only a high-risk insurer might find it optimal to change reinsurers. This creates a hold-up problem that allows the incumbent to extract an information rent. An information-insensitive ART product with a parametric or index trigger is not subject to adverse selection. It can therefore be used to compete against an informed reinsurer, thereby reducing the premium that a low-risk insurer has to pay for the indemnity contract. However, ART products exhibit an interesting fate in our model as they are useful, but not used in equilibrium because of basis-risk. Klassifikation: D82, G22
This chapter focuses on institutional investors in the German financial markets. Institutional investors are specialized financial intermediaries who collect and manage funds on behalf of small investors toward specific objectives in terms of risk, return and maturity. The major types of institutional investors in Germany are insurance companies and investment funds. We will examine the nature of their businesses, their size and role in the financial sector, the size and the composition of the assets under their management, aspects of financ ial regulation, and features of their asset-liability-management.
Wider participation in stockholding is often presumed to reduce wealth inequality. We measure and decompose changes in US wealth inequality between 1989 and 2001, a period of considerable spread of equity culture. Inequality in equity wealth is found to be important for net wealth inequality, despite equity's limited share. Our findings show that reduced wealth inequality is not a necessary outcome of the spread of equity culture. We estimate contributions of stockholder characteristics to levels and inequality in equity holdings, and we distinguish changes in configuration of the stockholder pool from changes in the influence of given characteristics. Our estimates imply that both the 1989 and the 2001 stockholder pools would have produced higher equity holdings in 1998 than were actually observed for 1998 stockholders. This arises from differences both in optimal holdings and in financial attitudes and practices, suggesting a dilution effect of the boom followed by a cleansing effect of the downturn. Cumulative gains and losses in stockholding are shown to be significantly influenced by length of household investment horizon and portfolio breadth but, controlling for those, use of professional advice is either insignificant or counterproductive. JEL Classification: E21, G11
Under a conventional policy rule, a central bank adjusts its policy rate linearly according to the gap between inflation and its target, and the gap between output and its potential. Under "the opportunistic approach to disinflation" a central bank controls inflation aggressively when inflation is far from its target, but concentrates more on output stabilization when inflation is close to its target, allowing supply shocks and unforeseen fluctuations in aggregate demand to move inflation within a certain band. We use stochastic simulations of a small-scale rational expectations model to contrast the behavior of output and inflation under opportunistic and linear rules. Klassifikation: E31, E52, E58, E61. July, 2005.
This paper introduces a method for solving numerical dynamic stochastic optimization problems that avoids rootfinding operations. The idea is applicable to many microeconomic and macroeconomic problems, including life cycle, buffer-stock, and stochastic growth problems. Software is provided. Klassifikation: C6, D9, E2 . July 28, 2005.
Syndicated loans and the number of lending relationships have raised growing attention. All other terms being equal (e.g. seniority), syndicated loans provide larger payments (in basis points) to lenders funding larger amounts. The paper explores empirically the motivation for such a price discrimination on sovereign syndicated loans in the period 1990-1997. First evidence suggests larger premia are associated with renegotiation prospects. This is consistent with the hypothesis that price discrimination is aimed at reducing the number of lenders and thus the expected renegotiation costs. However, larger payment discrimination is also associated with more targeted market segments and with larger loans, thus minimising borrowing costs and/or attempting to widen the circle of lending relationships in order to successfully raise the requested amount. JEL Classification: F34, G21, G33 This version: June, 2002. Later version (october 2003) with the title: "Why Borrowers Pay Premiums to Larger Lenders: Empirical Evidence from Sovereign Syndicated Loans" : http://publikationen.ub.uni-frankfurt.de/volltexte/2005/992/
We use consumer price data for 205 cities/regions in 21 countries to study deviations from the law-of-one-price before, during and after the major currency crises of the 1990s. We combine data from industrialised nations in North America (Unites States, Canada, Mexico), Europe (Germany, Italy, Spain and Portugal) and Asia (Japan, Korea, New Zealand, Australia) with corresponding data from emerging market economies in the South America (Argentine, Bolivia, Brazil, Columbia) and Asia (India, Indonesia, Malaysia, Philippines, Taiwan, Thailand). We confirm previous results that both distance and border explain a significant amount of relative price variation across different locations. We also find that currency attacks had major disintegration effects by significantly increasing these border effects, and by raising within country relative price dispersion in emerging market economies. These effects are found to be quite persistent since relative price volatility across emerging markets today is still significantly larger than a decade ago. JEL classification: F40, F41
We use consumer price data for 81 European cities (in Germany, Austria, Switzerland, Italy, Spain and Portugal) to study deviations from the law-of-one-price before and during the European Economic and Monetary Union (EMU) by analysing both aggregate and disaggregate CPI data for 7 categories of goods we find that the distance between cities explains a significant amount of the variation in the prices of similar goods in different locations. We also find that the variation of the relative price is much higher for two cities located in different countries than for two equidistant cities in the same country. Under EMU, the elimination of nominal exchange rate volatility has largely reduced these border effects, but distance and border still matter for intra-European relative price volatility. JEL classification: F40, F41
This paper analyzes a comprehensive data set of 108 non venture-backed, 58 venture-backed and 33 bridge financed companies going public at Germany s Neuer Markt between March 1997 and March 2000. I examine whether these three types of issues differ with regard to issuer characteristics, balance sheet data or offering characteristics. Moreover, this empirical study contributes to the underpricing literature by focusing on the complementary or rather competing role of venture capitalists and underwriters in certifying the quality of a company when going public. Companies backed by a prestigious venture capitalist and/or underwritten by a top bank are expected to show less underpricing at the initial public offering (IPO) due to a reduced ex-ante uncertainty. This study provides evidence to the contrary: VC-backed IPOs appear to be more underpriced than non VCbacked IPOs.
The paper analyses the effects of three sets of accounting rules for financial instruments - Old IAS before IAS 39 became effective, Current IAS or US GAAP, and the Full Fair Value (FFV) model proposed by the Joint Working Group (JWG) - on the financial statements of banks. We develop a simulation model that captures the essential characteristics of a modern universal bank with investment banking and commercial banking activities. We run simulations for different strategies (fully hedged, partially hedged) using historical data from periods with rising and falling interest rates. We show that under Old IAS a fully hedged bank can portray its zero economic earnings in its financial statements. As Old IAS offer much discretion, this bank may also present income that is either positive or negative. We further show that because of the restrictive hedge accounting rules, banks cannot adequately portray their best practice risk management activities under Current IAS or US GAAP. We demonstrate that - contrary to assertions from the banking industry - mandatory FFV accounting adequately reflects the economics of banking activities. Our detailed analysis identifies, in addition, several critical issues of the accounting models that have not been covered in previous literature. December 2002. Revised: June 2003. Later version: http://publikationen.ub.uni-frankfurt.de/volltexte/2005/1026/ with the title: "Accounting for financial instruments in the banking industry : conclusions from a simulation model"
The paper provides a comprehensive overview of the gradual evolution of the supervisory policy adopted by the Basle Committee for the regulatory treatment of asset securitisation. We carefully highlight the pathology of the new “securitisation framework” to facilitate a general understanding of what constitutes the current state of computing adequate capital requirements for securitised credit exposures. Although we incorporate a simplified sensitivity analysis of the varying levels of capital charges depending on the security design of asset securitisation transactions, we do not engage in a profound analysis of the benefits and drawbacks implicated in the new securitisation framework. JEL Klassifikation: E58, G21, G24, K23, L51. Forthcoming in Journal of Financial Regulation and Compliance, Vol. 13, No. 1 .
This paper characterizes the optimal inflation buffer consistent with a zero lower bound on nominal interest rates in a New Keynesian sticky-price model. It is shown that a purely forward-looking version of the model that abstracts from inflation inertia would significantly underestimate the inflation buffer. If the central bank follows the prescriptions of a welfare-theoretic objective, a larger buffer appears optimal than would be the case employing a traditional loss function. Taking also into account potential downward nominal rigidities in the price-setting behavior of firms appears not to impose significant further distortions on the economy. JEL Klassifikation: C63, E31, E52 .
Ignoring the existence of the zero lower bound on nominal interest rates one considerably understates the value of monetary commitment in New Keynesian models. A stochastic forward-looking model with lower bound, calibrated to the U.S. economy, suggests that low values for the natural rate of interest lead to sizeable output losses and deflation under discretionary monetary policy. The fall in output and deflation are much larger than in the case with policy commitment and do not show up at all if the model abstracts from the existence of the lower bound. The welfare losses of discretionary policy increase even further when inflation is partly determined by lagged inflation in the Phillips curve. These results emerge because private sector expectations and the discretionary policy response to these expectations reinforce each other and cause the lower bound to be reached much earlier than under commitment. JEL Klassifikation: E31, E52
Using data from the Consumer Expenditure Survey we first document that the recent increase in income inequality in the US has not been accompanied by a corresponding rise in consumption inequality. Much of this divergence is due to different trends in within-group inequality, which has increased significantly for income but little for consumption. We then develop a simple framework that allows us to analytically characterize how within-group income inequality affects consumption inequality in a world in which agents can trade a full set of contingent consumption claims, subject to endogenous constraints emanating from the limited enforcement of intertemporal contracts (as in Kehoe and Levine, 1993). Finally, we quantitatively evaluate, in the context of a calibrated general equilibrium production economy, whether this set-up, or alternatively a standard incomplete markets model (as in Ayiagari 1994), can account for the documented stylized consumption inequality facts from the US data. JEL Klassifikation: E21, D91, D63, D31, G22
In this paper, we examine the cost of insurance against model uncertainty for the Euro area considering four alternative reference models, all of which are used for policy-analysis at the ECB.We find that maximal insurance across this model range in terms of aMinimax policy comes at moderate costs in terms of lower expected performance. We extract priors that would rationalize the Minimax policy from a Bayesian perspective. These priors indicate that full insurance is strongly oriented towards the model with highest baseline losses. Furthermore, this policy is not as tolerant towards small perturbations of policy parameters as the Bayesian policy rule. We propose to strike a compromise and use preferences for policy design that allow for intermediate degrees of ambiguity-aversion.These preferences allow the specification of priors but also give extra weight to the worst uncertain outcomes in a given context. JEL Klassifikation: E52, E58, E61
In this paper, we examine the cost of insurance against model uncertainty for the Euro area considering four alternative reference models, all of which are used for policy-analysis at the ECB.We find that maximal insurance across this model range in terms of aMinimax policy comes at moderate costs in terms of lower expected performance. We extract priors that would rationalize the Minimax policy from a Bayesian perspective. These priors indicate that full insurance is strongly oriented towards the model with highest baseline losses. Furthermore, this policy is not as tolerant towards small perturbations of policy parameters as the Bayesian policy rule. We propose to strike a compromise and use preferences for policy design that allow for intermediate degrees of ambiguity-aversion.These preferences allow the specification of priors but also give extra weight to the worst uncertain outcomes in a given context. JEL Klassifikation: E52, E58, E61.
This paper studies an overlapping generations model with stochastic production and incomplete markets to assess whether the introduction of an unfunded social security system leads to a Pareto improvement. When returns to capital and wages are imperfectly correlated a system that endows retired households with claims to labor income enhances the sharing of aggregate risk between generations. Our quantitative analysis shows that, abstracting from the capital crowding-out effect, the introduction of social security represents a Pareto improving reform, even when the economy is dynamically effcient. However, the severity of the crowding-out effect in general equilibrium tends to overturn these gains. Klassifikation: E62, H55, H31, D91, D58 . April 2005.
While much of classical statistical analysis is based on Gaussian distributional assumptions, statistical modeling with the Laplace distribution has gained importance in many applied fields. This phenomenon is rooted in the fact that, like the Gaussian, the Laplace distribution has many attractive properties. This paper investigates two methods of combining them and their use in modeling and predicting financial risk. Based on 25 daily stock return series, the empirical results indicate that the new models offer a plausible description of the data. They are also shown to be competitive with, or superior to, use of the hyperbolic distribution, which has gained some popularity in asset-return modeling and, in fact, also nests the Gaussian and Laplace. Klassifikation: C16, C50 . March 2005.
This paper computes the optimal progressivity of the income tax code in a dynamic general equilibrium model with household heterogeneity in which uninsurable labor productivity risk gives rise to a nontrivial income and wealth distribution. A progressive tax system serves as a partial substitute for missing insurance markets and enhances an equal distribution of economic welfare. These beneficial effects of a progressive tax system have to be traded off against the efficiency loss arising from distorting endogenous labor supply and capital accumulation decisions. Using a utilitarian steady state social welfare criterion we find that the optimal US income tax is well approximated by a flat tax rate of 17:2% and a fixed deduction of about $9,400. The steady state welfare gains from a fundamental tax reform towards this tax system are equivalent to 1:7% higher consumption in each state of the world. An explicit computation of the transition path induced by a reform of the current towards the optimal tax system indicates that a majority of the population currently alive (roughly 62%) would experience welfare gains, suggesting that such fundamental income tax reform is not only desirable, but may also be politically feasible. JEL Klassifikation: E62, H21, H24 .
Financial markets embed expectations of central bank policy into asset prices. This paper compares two approaches that extract a probability density of market beliefs. The first is a simulatedmoments estimator for option volatilities described in Mizrach (2002); the second is a new approach developed by Haas, Mittnik and Paolella (2004a) for fat-tailed conditionally heteroskedastic time series. In an application to the 1992-93 European Exchange Rate Mechanism crises, that both the options and the underlying exchange rates provide useful information for policy makers. JEL Klassifikation: G12, G14, F31.
Volatility forecasting
(2005)
Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning literature, with a distinct focus on forecasting applications. Volatility is inherently latent, and Section 1 begins with a brief intuitive account of various key volatility concepts. Section 2 then discusses a series of different economic situations in which volatility plays a crucial role, ranging from the use of volatility forecasts in portfolio allocation to density forecasting in risk management. Sections 3, 4 and 5 present a variety of alternative procedures for univariate volatility modeling and forecasting based on the GARCH, stochastic volatility and realized volatility paradigms, respectively. Section 6 extends the discussion to the multivariate problem of forecasting conditional covariances and correlations, and Section 7 discusses volatility forecast evaluation methods in both univariate and multivariate cases. Section 8 concludes briefly. JEL Klassifikation: C10, C53, G1.
This paper analyzes dynamic equilibrium risk sharing contracts between profit-maximizing intermediaries and a large pool of ex-ante identical agents that face idiosyncratic income uncertainty that makes them heterogeneous ex-post. In any given period, after having observed her income, the agent can walk away from the contract, while the intermediary cannot, i.e. there is one-sided commitment. We consider the extreme scenario that the agents face no costs to walking away, and can sign up with any competing intermediary without any reputational losses. We demonstrate that not only autarky, but also partial and full insurance can obtain, depending on the relative patience of agents and financial intermediaries. Insurance can be provided because in an equilibrium contract an up-front payment e.ectively locks in the agent with an intermediary. We then show that our contract economy is equivalent to a consumption-savings economy with one-period Arrow securities and a short-sale constraint, similar to Bulow and Rogo. (1989). From this equivalence and our characterization of dynamic contracts it immediately follows that without cost of switching financial intermediaries debt contracts are not sustainable, even though a risk allocation superior to autarky can be achieved. JEL Klassifikation: G22, E21, D11, D91.
Default risk sharing between banks and markets : the contribution of collateralized debt obligations
(2005)
This paper contributes to the economics of financial institutions risk management by exploring how loan securitization a.ects their default risk, their systematic risk, and their stock prices. In a typical CDO transaction a bank retains through a first loss piece a very high proportion of the expected default losses, and transfers only the extreme losses to other market participants. The size of the first loss piece is largely driven by the average default probability of the securitized assets. If the bank sells loans in a true sale transaction, it may use the proceeds to to expand its loan business, thereby incurring more systematic risk. We find an increase of the banks' betas, but no significant stock price e.ect around the announcement of a CDO issue. Our results suggest a role for supervisory requirements in stabilizing the financial system, related to transparency of tranche allocation, and to regulatory treatment of senior tranches. JEL Klassifikation: D82, G21, D74 .
This paper makes an attempt to present the economics of credit securitization in a non-technical way, starting from the description and the analysis of a typical securitization transaction. The paper sketches a theoretical explanation for why tranching, or nonproportional risk sharing, which is at the heart of securitization transactions, may allow commercial banks to maximize their shareholder value. However, the analysis makes also clear that the conditions under which credit securitization enhances welfare, are fairly restrictive, and require not only an active role of the banking supervisiory authorities, but also a price tag on the implicit insurance currently provided by the lender of last resort. Klassifikation: D82, G21, D74. February 16, 2005.
We selectively survey, unify and extend the literature on realized volatility of financial asset returns. Rather than focusing exclusively on characterizing the properties of realized volatility, we progress by examining economically interesting functions of realized volatility, namely realized betas for equity portfolios, relating them both to their underlying realized variance and covariance parts and to underlying macroeconomic fundamentals.
From a macroeconomic perspective, the short-term interest rate is a policy instrument under the direct control of the central bank. From a finance perspective, long rates are risk-adjusted averages of expected future short rates. Thus, as illustrated by much recent research, a joint macro-finance modeling strategy will provide the most comprehensive understanding of the term structure of interest rates. We discuss various questions that arise in this research, and we also present a new examination of the relationship between two prominent dynamic, latent factor models in this literature: the Nelson-Siegel and affine no-arbitrage term structure models. JEL Klassifikation: G1, E4, E5.
What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics. In contrast, we favor flexible methods based on recent developments in financial econometrics, which are likely to produce more accurate assessments of market risk. Clearly, the demands of real-world risk management in financial institutions - in particular, real-time risk tracking in very high-dimensional situations - impose strict limits on model complexity. Hence we stress parsimonious models that are easily estimated, and we discuss a variety of practical approaches for high-dimensional covariance matrix modeling, along with what we see as some of the pitfalls and problems in current practice. In so doing we hope to encourage further dialog between the academic and practitioner communities, hopefully stimulating the development of improved market risk management technologies that draw on the best of both worlds.
This study offers a historical review of the monetary policy reform of October 6, 1979, and discusses the influences behind it and its significance. We lay out the record from the start of 1979 through the spring of 1980, relying almost exclusively upon contemporaneous sources, including the recently released transcripts of Federal Open Market Committee (FOMC) meetings during 1979. We then present and discuss in detail the reasons for the FOMC's adoption of the reform and the communications challenge presented to the Committee during this period. Further, we examine whether the essential characteristics of the reform were consistent with monetarism, new, neo, or old-fashioned Keynesianism, nominal income targeting, and inflation targeting. The record suggests that the reform was adopted when the FOMC became convinced that its earlier gradualist strategy using finely tuned interest rate moves had proved inadequate for fighting inflation and reversing inflation expectations. The new plan had to break dramatically with established practice, allow for the possibility of substantial increases in short-term interest rates, yet be politically acceptable, and convince financial markets participants that it would be effective. The new operating procedures were also adopted for the pragmatic reason that they would likely succeed. JEL Klassifikation: E52, E58, E61, E65.
The Basel Committee plans to differentiate risk-adjusted capital requirements between banks regulated under the internal ratings based (IRB) approach and banks under the standard approach. We investigate the consequences for the lending capacity and the failure risk of banks in a model with endogenous interest rates. The optimal regulatory response depends on the banks' inclination to increase their portfolio risk. If IRB-banks are well-capitalized or gain little from taking risks, then they will increase their market share and hold safe portfolios. As risk-taking incentives become more important, the optimal portfolio size of banks adopting intern rating systems will be increasingly constrained, and ultimately they may lose market share relative to banks using the standard approach. The regulator has only limited options to avoid the excessive adoption of internal rating systems. JEL Klassifikation: K13, H41.
We develop an estimated model of the U.S. economy in which agents form expectations by continually updating their beliefs regarding the behavior of the economy and monetary policy. We explore the effects of policymakers' misperceptions of the natural rate of unemployment during the late 1960s and 1970s on the formation of expectations and macroeconomic outcomes. We find that the combination of monetary policy directed at tight stabilization of unemployment near its perceived natural rate and large real-time errors in estimates of the natural rate uprooted heretofore quiescent in inflation expectations and destabilized the economy. Had monetary policy reacted less aggressively to perceived unemployment gaps, in inflation expectations would have remained anchored and the stag inflation of the 1970s would have been avoided. Indeed, we find that less activist policies would have been more effective at stabilizing both in inflation and unemployment. We argue that policymakers, learning from the experience of the 1970s, eschewed activist policies in favor of policies that concentrated on the achievement of price stability, contributing to the subsequent improvements in macroeconomic performance of the U.S. economy.
Recent evidence on the effect of government spending shocks on consumption cannot be easily reconciled with existing optimizing business cycle models. We extend the standard New Keynesian model to allow for the presence of rule-of-thumb (non-Ricardian) consumers. We show how the interaction of the latter with sticky prices and deficit financing can account for the existing evidence on the effects of government spending. JEL Klassifikation: E32, E62.
In a plain-vanilla New Keynesian model with two-period staggered price-setting, discretionary monetary policy leads to multiple equilibria. Complementarity between the pricing decisions of forward-looking firms underlies the multiplicity, which is intrinsically dynamic in nature. At each point in time, the discretionary monetary authority optimally accommodates the level of predetermined prices when setting the money supply because it is concerned solely about real activity. Hence, if other firms set a high price in the current period, an individual firm will optimally choose a high price because it knows that the monetary authority next period will accommodate with a high money supply. Under commitment, the mechanism generating complementarity is absent: the monetary authority commits not to respond to future predetermined prices. Multiple equilibria also arise in other similar contexts where (i) a policymaker cannot commit, and (ii) forward-looking agents determine a state variable to which future policy respond. JEL Klassifikation: E5, E61, D78
The Basle securitisation framework explained: the regulatory treatment of asset securitisation
(2005)
The paper provides a comprehensive overview of the gradual evolution of the supervisory policy adopted by the Basle Committee for the regulatory treatment of asset securitisation. We carefully highlight the pathology of the new “securitisation framework” to facilitate a general understanding of what constitutes the current state of computing adequate capital requirements for securitised credit exposures. Although we incorporate a simplified sensitivity analysis of the varying levels of capital charges depending on the security design of asset securitisation transactions, we do not engage in a profound analysis of the benefits and drawbacks implicated in the new securitisation framework. JEL Klassifikation: E58, G21, G24, K23, L51. Forthcoming in Journal of Financial Regulation and Compliance, Vol. 13, No. 1 .
This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period 2000-2002. Focusing on the intertemporal comovement, we examine weekly and daily lead-lag relationships in a vector autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa. Third, the CDS market is significantly more sensitive to the stock market than the bond market and the magnitude of this sensitivity increases when credit quality becomes worse. Finally, the CDS market plays a more important role for price discovery than the corporate bond market. JEL Klassifikation: G10, G14, C32.
We characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. Our analysis is based on a unique data set of high-frequency futures returns for each of the markets. We find that news surprises produce conditional mean jumps; hence high-frequency stock, bond and exchange rate dynamics are linked to fundamentals. The details of the linkages are particularly intriguing as regards equity markets. We show that equity markets react differently to the same news depending on the state of the economy, with bad news having a positive impact during expansions and the traditionally-expected negative impact during recessions. We rationalize this by temporal variation in the competing "cash flow" and "discount rate" effects for equity valuation. This finding helps explain the time-varying correlation between stock and bond returns, and the relatively small equity market news effect when averaged across expansions and recessions. Lastly, relying on the pronounced heteroskedasticity in the high-frequency data, we document important contemporaneous linkages across all markets and countries over-and-above the direct news announcement effects. JEL Klassifikation: F3, F4, G1, C5
This paper analyzes banks' choice between lending to firms individually and sharing lending with other banks, when firms and banks are subject to moral hazard and monitoring is essential. Multiple-bank lending is optimal whenever the benefit of greater diversification in terms of higher monitoring dominates the costs of free-riding and duplication of efforts. The model predicts a greater use of multiple-bank lending when banks are small relative to investment projects, firms are less profitable, and poor financial integration, regulation and inefficient judicial systems increase monitoring costs. These results are consistent with empirical observations concerning small business lending and loan syndication. JEL Klassifikation: D82; G21; G32.
We analyze governance with a dataset on investments of venture capitalists in 3848 portfolio firms in 39 countries from North and South America, Europe and Asia spanning 1971-2003. We find that cross-country differences in Legality have a significant impact on the governance structure of investments in the VC industry: better laws facilitate faster deal screening and deal origination, a higher probability of syndication and a lower probability of potentially harmful co-investment, and facilitate board representation of the investor. We also show better laws reduce the probability that the investor requires periodic cash flows prior to exit, which is in conjunction with an increased probability of investment in high-tech companies. Klassifikation: G24, G31, G32.
A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM. Set against that background, we assess the dynamics in realized betas, vis-à-vis the dynamics in the underlying realized market variance and individual equity covariances with the market. Working in the recently-popularized framework of realized volatility, we are led to a framework of nonlinear fractional cointegration: although realized variances and covariances are very highly persistent and well approximated as fractionally-integrated, realized betas, which are simple nonlinear functions of those realized variances and covariances, are less persistent and arguably best modeled as stationary I(0) processes. We conclude by drawing implications for asset pricing and portfolio management. JEL Klassifikation: C1, G1
Earlier studies of the seigniorage inflation model have found that the high-inflation steady state is not stable under adaptive learning. We reconsider this issue and analyze the full set of solutions for the linearized model. Our main focus is on stationary hyperinflationary paths near the high-inflation steady state. The hyperinflationary paths are stable under learning if agents can utilize contemporaneous data. However, in an economy populated by a mixture of agents, some of whom only have access to lagged data, stable inflationary paths emerge only if the proportion of agents with access to contemporaneous data is sufficiently high. JEL Klassifikation: C62, D83, D84, E31
In this paper, we study the effectiveness of monetary policy in a severe recession and deflation when nominal interest rates are bounded at zero. We compare two alternative proposals for ameliorating the effect of the zero bound: an exchange-rate peg and price-level targeting. We conduct this quantitative comparison in an empirical macroeconometric model of Japan, the United States and the euro area. Furthermore, we use a stylized micro-founded two-country model to check our qualitative findings. We find that both proposals succeed in generating inflationary expectations and work almost equally well under full credibility of monetary policy. However, price-level targeting may be less effective under imperfect credibility, because the announced price-level target path is not directly observable. Klassifikation: E31, E52, E58, E61
We determine optimal monetary policy under commitment in a forwardlooking New Keynesian model when nominal interest rates are bounded below by zero. The lower bound represents an occasionally binding constraint that causes the model and optimal policy to be nonlinear. A calibration to the U.S. economy suggests that policy should reduce nominal interest rates more aggressively than suggested by a model without lower bound. Rational agents anticipate the possibility of reaching the lower bound in the future and this amplifies the effects of adverse shocks well before the bound is reached. While the empirical magnitude of U.S. mark-up shocks seems too small to entail zero nominal interest rates, shocks affecting the natural real interest rate plausibly lead to a binding lower bound. Under optimal policy, however, this occurs quite infrequently and does not require targeting a positive average rate of inflation. Interestingly, the presence of binding real rate shocks alters the policy response to (non-binding) mark-up shocks. JEL Klassifikation: C63, E31, E52 .
In this article, we investigate risk return characteristics and diversification benefits when private equity is used as a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity investments. Information about precisely dated cash flows at the company level enables for the first time a cash flow equivalent and simultaneous investment simulation in stocks, as well as the construction of stock portfolios for benchmarking purposes. With respect to the methodology involved, we construct private equity, stock-benchmark and mixed-asset portfolios using bootstrap simulations. For the late 1990s we find a dramatic increase in the extent to which private equity outperforms stock investment. In earlier years private equity was underperforming its stock benchmarks. Within the overall class of private equity, returns on earlier private equity investment categories, like venture capital, show on average higher variations and even higher rates of failure. It is in this category in particular that high average portfolio returns are generated solely by the ability to select a few extremely well performing companies, thus compensating for lost investments. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 investments. When the portfolio size is increased from 15 to 200 there are few marginal risk diversification effects on the one hand, but a large increase in managing expenditure on the other, so that an actual average portfolio size between 20 and 28 investments seems to be well balanced. We provide empirical evidence that the non-diversifiable risk that a constrained investor, who is exclusively investing in private equity, has to hold exceeds that of constrained stock investors and also the market risk. From the viewpoint of unconstrained investors with complete investment freedom, risk can be optimally reduced by constructing mixed asset portfolios. According to the various private equity subcategories analyzed, there are big differences in optimal allocations to this asset class for minimizing mixed-asset portfolio variance or maximizing performance ratios. We observe optimal portfolio weightings to be between 3% and 65%.
We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes. Time-series modeling reveals conditional mean dynamics, and crucially, strong conditional variance dynamics, in daily average temperature, and it reveals sharp differences between the distribution of temperature and the distribution of temperature surprises. As we argue, it also holds promise for producing the long-horizon predictive densities crucial for pricing weather derivatives, so that additional inquiry into time-series weather forecasting methods will likely prove useful in weather derivatives contexts.
Despite powerful advances in yield curve modeling in the last twenty years, comparatively little attention has been paid to the key practical problem of forecasting the yield curve. In this paper we do so. We use neither the no-arbitrage approach, which focuses on accurately fitting the cross section of interest rates at any given time but neglects time-series dynamics, nor the equilibrium approach, which focuses on time-series dynamics (primarily those of the instantaneous rate) but pays comparatively little attention to fitting the entire cross section at any given time and has been shown to forecast poorly. Instead, we use variations on the Nelson-Siegel exponential components framework to model the entire yield curve, period-by-period, as a three-dimensional parameter evolving dynamically. We show that the three time-varying parameters may be interpreted as factors corresponding to level, slope and curvature, and that they may be estimated with high efficiency. We propose and estimate autoregressive models for the factors, and we show that our models are consistent with a variety of stylized facts regarding the yield curve. We use our models to produce term-structure forecasts at both short and long horizons, with encouraging results. In particular, our forecasts appear much more accurate at long horizons than various standard benchmark forecasts. JEL Code: G1, E4, C5
We consider three sets of phenomena that feature prominently - and separately - in the financial economics literature: conditional mean dependence (or lack thereof) in asset returns, dependence (and hence forecastability) in asset return signs, and dependence (and hence forecastability) in asset return volatilities. We show that they are very much interrelated, and we explore the relationships in detail. Among other things, we show that: (a) Volatility dependence produces sign dependence, so long as expected returns are nonzero, so that one should expect sign dependence, given the overwhelming evidence of volatility dependence; (b) The standard finding of little or no conditional mean dependence is entirely consistent with a significant degree of sign dependence and volatility dependence; (c) Sign dependence is not likely to be found via analysis of sign autocorrelations, runs tests, or traditional market timing tests, because of the special nonlinear nature of sign dependence; (d) Sign dependence is not likely to be found in very high-frequency (e.g., daily) or very low-frequency (e.g., annual) returns; instead, it is more likely to be found at intermediate return horizons; (e) Sign dependence is very much present in actual U.S. equity returns, and its properties match closely our theoretical predictions; (f) The link between volatility forecastability and sign forecastability remains intact in conditionally non-Gaussian environments, as for example with time-varying conditional skewness and/or kurtosis.
We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a range-based covariance estimator that is motivated by financial economic considerations (the absence of arbitrage), in addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading. Finally, we provide an empirical example illustrating the value of the high-frequency sample path information contained in the range-based estimates in a multivariate GARCH framework.
Financial theory creates a puzzle. Some authors argue that high-risk entrepreneurs choose debt contracts instead of equity contracts since risky but high returns are of relatively more value for a loan-financed firm. On the contrary, authors who focus explicitly on start-up finance predict that entrepreneurs are the more likely to seek equity-like venture capital contracts, the more risky their projects are. Our paper makes a first step to resolve this puzzle empirically. We present microeconometric evidence on the determinants of debt and equity financing in young and innovative SMEs. We pay special attention to the role of risk for the choice of the financing method. Since risk is not directly observable we use different indicators for financial and project risk. It turns out that our data generally confirms the hypothesis that the probability that a young high-tech firm receives equity financing is an increasing function of the financial risk. With regard to the intrinsic project risk, our results are less conclusive, as some of our indicators of a risky project are found to have a negative effect on the likelihood to be financed by private equity.
We study the returns the venture capital and private equity investment from 221 venture capital and private equity funds that are part of 72 venture capital and private equity firms, 5040 entrepreneurial firms (3826 venture capital and 1214 private equity), and spanning 32 years (1971 - 2003) and 39 countries from North and South America, Europe and Asia. We make use of four main categories of variables to proxy for value-added activities and risks that explain venture capital and private equity returns: market and legal environment, VC characteristics, entrepreneurial firm characteristics, and the characteristics and structure of the investment. We show Heckman sample selection issues in regards to both unrealized and partially realized investments are important to consider for analysing the determinants of realized returns. We further compare the actual unrealized returns, as reported to investment managers, to the predicted unrealized returns based on the estimates of realized returns from the sample selection models. We show there exists significant systematic biases in the reporting of unrealized investments to institutional investors depending on the level of the earnings aggressiveness and disclosure indices in a country, as well as proxies for the degree of information asymmetry between investment managers and venture capital and private equity fund managers. Klassifikation: G24, G28, G31, G32, G35
We analyze welfare maximizing monetary policy in a dynamic two-country model with price stickiness and imperfect competition. In this context, a typical terms of trade externality affects policy interaction between independent monetary authorities. Unlike the existing literature, we remain consistent to a public finance approach by an explicit consideration of all the distortions that are relevant to the Ramsey planner. This strategy entails two main advantages. First, it allows an accurate characterization of optimal policy in an economy that evolves around a steady-state which is not necessarily efficient. Second, it allows to describe a full range of alternative dynamic equilibria when price setters in both countries are completely forward-looking and households' preferences are not restricted. In this context, we study optimal policy both in the long-run and along a dynamic path, and we compare optimal commitment policy under Nash competition and under cooperation. By deriving a second order accurate solution to the policy functions, we also characterize the welfare gains from international policy cooperation. Klassifikation: E52, F41 . This version: January, 2004. First draft: October 2003 .
This paper considers a theoretical model of n asymmetric firms that reduce their initial unit costs by spending on R&D activities. In accordance with Schumpeterian hypotheses we obtain that more efficient (bigger) firms spend more in R&D and this leads to a more concentrated market structure. We also find a positive relationship between innovation and market concentration. This calls for a corrective tax on R&D activities to curtail strategic incentives to over-invest in R&D trying to achieve a higher market share. Klassifikation: L11, L52, O31 . February, 2004.
This paper aims to analyze the impact of different types of venture capitalists on the performance of their portfolio firms around and after the IPO. We thereby investigate the hypothesis that different governance structures, objectives and track record of different types of VCs have a significant impact on their respective IPOs. We explore this hypothesis by using a data set embracing all IPOs which occurred on Germany's Neuer Markt. Our main finding is that significant differences among the different VCs exist. Firms backed by independent VCs perform significantly better two years after the IPO compared to all other IPOs and their share prices fluctuate less than those of their counterparts in this period of time. Obviously, independent VCs, which concentrated mainly on growth stocks (low book-to-market ratio) and large firms (high market value), were able to add value by leading to less post-IPO idiosyncratic risk and more return (after controlling for all other effects). On the contrary, firms backed by public VCs (being small and having a high book-to-market ratio) showed relative underperformance. Klassifikation: G10, G14, G24 . 29th January 2004 .
How might retirees consider deploying the retirement assets accumulated in a defined contribution pension plan? One possibility would be to purchase an immediate annuity. Another approach, called the "phased withdrawal" strategy in the literature, would have the retiree invest his funds and then withdraw some portion of the account annually. Using this second tactic, the withdrawal rate might be determined according to a fixed benefit level payable until the retiree dies or the funds run out, or it could be set using a variable formula, where the retiree withdraws funds according to a rule linked to life expectancy. Using a range of data consistent with the German experience, we evaluate several alternative designs for phased withdrawal strategies, allowing for endogenous asset allocation patterns, and also allowing the worker to make decisions both about when to retire and when to switch to an annuity. We show that one particular phased withdrawal rule is appealing since it offers relatively low expected shortfall risk, good expected payouts for the retiree during his life, and some bequest potential for the heirs. We also find that unisex mortality tables if used for annuity pricing can make women's expected shortfalls higher, expected benefits higher, and bequests lower under a phased withdrawal program. Finally, we show that delayed annuitization can be appealing since it provides higher expected benefits with lower expected shortfalls, at the cost of somewhat lower anticipated bequests. Klassifikation: G22, G23, J26, J32, H55 . January 2004.
This paper proposes an intertemporal model of venture capital investment with screening and advising where the venture capitalist´s time endowment is the scarce input factor. Screening improves the selection of firms receiving finance, advising allows firms to develop a marketable product, both have a variable intensity. In our setup, optimal linear contracts solves the moral hazard problem. Screening however asks for an entrepreneur wage and does not allow for upfront payments which would cause severe adverse selection. Project characteristics have implications for screening and advising intensity and the distribution of profits. Finally, we develop a formal version of the "venture capital cycle" by extending the basic setup to a simple model of venture capital supply and demand.
This paper analyses the effects of the Initial Public Offering (IPO) market on real investment decisions in emerging industries. We first propose a model of IPO timing based on divergence of opinion among investors and short-sale constraints. Using a real option approach, we show that firms are more likely to go public when the ratio of overvaluation over profits is high, that is after stock market run-ups. Because initial returns increase with the demand from optimistic investors at the time of the offer, the model provides an explanation for the observed positive causality between average initial returns and IPO volume. Second, we discuss the possibility of real overinvestment in high-tech industries. We claim that investing in the industry gives agents an option to sell the project on the stock market at an overvalued price enabling then the financing of positive NPV projects which would not be undertaken otherwise. It is shown that the IPO market can however also lead to overinvestment in new industries. Finally, we present some econometric results supporting the idea that funds committed to the financing of high-tech industries may respond positively to optimistic stock market valuations.
Equal size, equal role? : interest rate interdependence between the Euro area and the United States
(2003)
This paper investigates whether the degree and the nature of economic and monetary policy interdependence between the United States and the euro area have changed with the advent of EMU. Using real-time data, it addresses this issue from the perspective of financial markets by analysing the effects of monetary policy announcements and macroeconomic news on daily interest rates in the United States and the euro area. First, the paper finds that the interdependence of money markets has increased strongly around EMU. Although spillover effects from the United States to the euro area remain stronger than in the opposite direction, we present evidence that US markets have started reacting also to euro area developments since the onset of EMU. Second, beyond these general linkages, the paper finds that certain macroeconomic news about the US economy have a large and significant effect on euro area money markets, and that these effects have become stronger in recent years. Finally, we show that US macroeconomic news have become good leading indicators for economic developments in the euro area. This indicates that the higher money market interdependence between the United States and the euro area is at least partly explained by the increased real integration of the two economies in recent years.