SAFE working paper
https://safe-frankfurt.de/de/publikationen/working-papers.html
Refine
Year of publication
Document Type
- Working Paper (429)
Language
- English (429)
Has Fulltext
- yes (429)
Is part of the Bibliography
- no (429)
Keywords
- Liquidity (9)
- COVID-19 (8)
- General Equilibrium (7)
- welfare (7)
- Asset Pricing (6)
- ambiguity (6)
- climate change (6)
- competition (6)
- liquidity (6)
- Contagion (5)
- ESG (5)
- Household Finance (5)
- Portfolio choice (5)
- asset pricing (5)
- banking (5)
- human capital (5)
- systemic risk (5)
- Basel III (4)
- Business Cycle (4)
- Corporate Social Responsibility (4)
- Covid-19 (4)
- Credit Risk (4)
- Financial Crisis (4)
- Labor income risk (4)
- Systemic Risk (4)
- bail-in (4)
- financial crisis (4)
- household finance (4)
- leverage (4)
- peer effects (4)
- private equity (4)
- prudential supervision (4)
- regulatory arbitrage (4)
- social security (4)
- Artificial Intelligence (3)
- Asset Allocation (3)
- Banking Regulation (3)
- Banking Union (3)
- China (3)
- Corporate Bonds (3)
- Entrepreneurship (3)
- Financial Crises (3)
- Financial Stability (3)
- Fragmentation (3)
- Granger Causality (3)
- Health shocks (3)
- High-Frequency Trading (3)
- Household finance (3)
- Inside Debt (3)
- Interconnectedness (3)
- Liquidity Provision (3)
- Machine learning (3)
- Monetary Policy (3)
- Price Efficiency (3)
- Recursive Preferences (3)
- Retail investors (3)
- Single Supervisory Mechanism (3)
- Solvency II (3)
- Sustainable Finance (3)
- Sustainable Investments (3)
- Systemic risk (3)
- Unconventional Monetary Policy (3)
- aggregate risk (3)
- bank regulation (3)
- banking union (3)
- banks (3)
- capital regulation (3)
- capital structure (3)
- contagion (3)
- cooperation (3)
- corporate governance (3)
- credit supply (3)
- discrimination (3)
- financial literacy (3)
- habit formation (3)
- idiosyncratic risk (3)
- incentives (3)
- incomplete markets (3)
- inequality (3)
- laboratory experiments (3)
- leveraged buyouts (3)
- market discipline (3)
- monetary policy (3)
- political economy (3)
- recursive utility (3)
- regulation (3)
- retirement income (3)
- shadow banking (3)
- social interactions (3)
- social preferences (3)
- stochastic volatility (3)
- trading behavior (3)
- volatility (3)
- 401(k) plan (2)
- Asset pricing (2)
- Bailout (2)
- Banks (2)
- Bayesian inference (2)
- Board of Directors (2)
- Bond Markets (2)
- CDS (2)
- Choquet expected utility (2)
- Circuit Breaker (2)
- Collateral Policy (2)
- Compensation Structure (2)
- Competition (2)
- Consumption (2)
- Corporate Debt Structure (2)
- Corporate Governance (2)
- Credit Spread (2)
- Dark Trading (2)
- Disposition Effect (2)
- ECB (2)
- ESG Rating Agencies (2)
- ETFs (2)
- Economic and Monetary Union (2)
- Eligibility premium (2)
- Empirical Asset Pricing (2)
- Endogenous Growth (2)
- Endogenous growth (2)
- Equity Premium (2)
- European Banking Union (2)
- European Central Bank (2)
- Expected Returns (2)
- Experiment (2)
- FinTech (2)
- Financial Institutions (2)
- Financial literacy (2)
- Fund Flows (2)
- German reunification (2)
- Germany (2)
- Hawkes processes (2)
- Heterogeneous innovation (2)
- High-Frequency Traders (HFTs) (2)
- Homeownership (2)
- India (2)
- Inequality (2)
- Insurance (2)
- Interest Rate Guarantees (2)
- International Finance (2)
- Jumps (2)
- Learning (2)
- Life Insurance (2)
- Long-run Risk (2)
- Market Fragmentation (2)
- Market Liquidity (2)
- Market Microstructure (2)
- Market Quality (2)
- Mortality risk (2)
- OTC markets (2)
- P2P lending (2)
- Parameter Elicitation (2)
- Price Discovery (2)
- Product Market Competition (2)
- R&D (2)
- Real Effects (2)
- Regulation (2)
- Retail Investor (2)
- Risk Attitudes (2)
- Risk Preferences (2)
- Risk-Taking (2)
- Self-control (2)
- Social Networks (2)
- Sovereign Risk (2)
- Stochastic mortality risk (2)
- Term Structure of Interest Rates (2)
- Term life insurance (2)
- Time Inconsistency (2)
- Time Preferences (2)
- Volatility (2)
- Volatility Interruption (2)
- active shareholders (2)
- annuity (2)
- austerity (2)
- bailout (2)
- bank resolution (2)
- bank runs (2)
- borrowing constraints (2)
- bubbles (2)
- compensation (2)
- confidence (2)
- consumer credit (2)
- consumption (2)
- consumption hump (2)
- consumption-portfolio choice (2)
- credit funds (2)
- credit risk (2)
- crowdfunding (2)
- crowding out (2)
- crowdinvesting (2)
- debt sustainability (2)
- delayed retirement (2)
- dynamic portfolio choice (2)
- equity premium (2)
- euro area (2)
- executive compensation (2)
- financial advice (2)
- financial regulation (2)
- financial stability (2)
- financing decisions (2)
- financing policy (2)
- fintech (2)
- fiscal policy (2)
- fiscal reaction function (2)
- general equilibrium (2)
- global banks (2)
- green finance (2)
- growth (2)
- heterogeneous agents (2)
- household debt (2)
- individual investor (2)
- individual investors (2)
- inflation (2)
- institutional investors (2)
- insurance (2)
- interbank networks (2)
- investment (2)
- investment decisions (2)
- investments (2)
- jumps (2)
- lifetime income (2)
- liquidity provision (2)
- liquidity risk (2)
- longevity risk (2)
- managerial incentives (2)
- matching (2)
- money (2)
- monitoring (2)
- net zero transition (2)
- newly founded firms (2)
- non-bank financial intermediation (2)
- optimal investment (2)
- panel VAR (2)
- pension (2)
- pension reform (2)
- persistence (2)
- population aging (2)
- portfolio choice (2)
- predictability (2)
- principles-based regulation (2)
- professional networks (2)
- recapitalization (2)
- repeated games (2)
- retirement age (2)
- return predictability (2)
- risk taking (2)
- risk-taking (2)
- saving (2)
- securities regulation (2)
- social media (2)
- social norms (2)
- sovereign risk (2)
- stochastic differential utility (2)
- stock market participation (2)
- sustainability (2)
- syndicated loans (2)
- taxes (2)
- transmission (2)
- uncertainty (2)
- unconventional monetary policy (2)
- welfare loss (2)
- 13F filings (1)
- 2-Sector Model (1)
- AI borrower classification (1)
- AI enabled credit scoring (1)
- Adverse Selection (1)
- Age (1)
- Algorithmic Discrimination (1)
- Algorithmic transparency (1)
- Amortization payments (1)
- AnaCredit (1)
- Anchoring (1)
- Angel (1)
- Annual General Meeting (1)
- Annuity (1)
- Anonymity (1)
- Anticipated Inflation (1)
- Apache Spark (1)
- Asset Allocation, Contagion (1)
- Asset Liquidation (1)
- Asset Prices (1)
- Asset allocation (1)
- Asymmetric Information (1)
- Asymmetric Tax Regimes (1)
- Austerity Measures (1)
- Bank Bailout (1)
- Bank Capital (1)
- Bank Corporate Governance (1)
- Bank Credit (1)
- Bank Defaults (1)
- Bank Lending (1)
- Bank Recapitalization (1)
- Bank Resolution (1)
- Bank affiliation (1)
- Banking Stability (1)
- Banking Supervision (1)
- Banking stability (1)
- Bargaining (1)
- Basel regulation (1)
- Batch Learning (1)
- Bayesian learning (1)
- Behavioral Measurement (1)
- Belief Formation (1)
- Belief up-dating (1)
- Beliefs (1)
- Big Data (1)
- Big Five (1)
- Big Five Personality (1)
- Big Three (1)
- Big data (1)
- Bitcoin (1)
- Board Appointments (1)
- Bond risk premia (1)
- Broker (1)
- Bubbles (1)
- Bunching (1)
- Business Subsidies (1)
- C corporations (1)
- CAPM (1)
- COVID-19 Pandemic (1)
- COVID-19 news (1)
- Capital Purchase Program (1)
- Car Loans (1)
- Carbon Taxation (1)
- Carbon abatement (1)
- Causal Machine Learning (1)
- Central Banking (1)
- Central Clearing (1)
- Central Counterparty Clearing House (CCP) (1)
- Centrality (1)
- Choice under Risk (1)
- Citation Network Analysis (1)
- Climate Change (1)
- Climate change (1)
- Climate change economics (1)
- Clustering (1)
- Co-residence (1)
- CoCo Bond (1)
- CoCo bonds (1)
- Coco bonds (1)
- Cognition (1)
- Collateral (1)
- Collateral Constraint (1)
- Colocation (1)
- Commodities (1)
- Comovements (1)
- Confirmatory Bias (1)
- Connectivity (1)
- Consumer credit (1)
- Consumer financial protection (1)
- Consumption hump (1)
- Consumption-portfolio choice (1)
- Contagion Risk (1)
- Contingent Convertible Capital (1)
- Contract terms (1)
- Coronavirus (1)
- Corporate Distress (1)
- Corporate Groups (1)
- Corporate Name Change (1)
- Corporate concentration (1)
- Corporate financing (1)
- Counterparty Risk (1)
- Creative destruction (1)
- Credit Default Swap (CDS) (1)
- Credit lines (1)
- Creditor Protection (1)
- Cross-Predictability (1)
- Cross-Section of Returns (1)
- Cryptocurrencies (1)
- Cultural Influences on Economic Behavior (1)
- Cumulative prospect theory (1)
- Customer data sharing (1)
- DCC-GARCH (1)
- DSGE models (1)
- Dark Pools (1)
- Data access (1)
- Data portability (1)
- Database linking (1)
- Default (1)
- Delaunay Interpolation (1)
- Democratic Legitimacy (1)
- Demographic Change (1)
- Depreciation (1)
- Derivatives (1)
- Designated Market Makers (DMMs) Market Making (1)
- DiD (1)
- Dictionary (1)
- Different Beliefs (1)
- Digital footprints (1)
- Digitalized Markets (1)
- Disclosure (1)
- Discount Rates (1)
- Discourse (1)
- Disintegration (1)
- Distributed Computing (1)
- Dividend Payments (1)
- Dividend Policy (1)
- Dividends (1)
- Double Volume Caps (1)
- Durable consumption (1)
- Duration of Civil Proceedings (1)
- Dynamic Models (1)
- Dynamic Networks (1)
- Dynamic and Reliable Regulation (1)
- Dynamic inconsistency (1)
- E.U. Corporate Law (1)
- ESG Investing (1)
- ESG ratings (1)
- ESM (1)
- EU (1)
- EU countries (1)
- EU industrial production (1)
- Econometrics (1)
- Economics (1)
- Education Subsidy (1)
- Efficiency Wages (1)
- Emissions (1)
- Endogenous Asset Market Participation (1)
- Endogenous gridpoints Method (1)
- Energy Efficiency (1)
- Energy Performance Certificate (1)
- Energy efficiency (1)
- Enriched Digital Footprint (1)
- Entity matching (1)
- Entity resolution (1)
- Entrepreneurial Finance (1)
- Environmental, social, and governance factors (ESG) (1)
- Epstein-Zin preferences (1)
- Equilibrium Thinking (1)
- Equity options (1)
- Ethics (1)
- Euro-zone Government Bonds (1)
- European Banking Authority (1)
- European Banking Authority (EBA) (1)
- European Capital Markets Union (1)
- European Central Bank (ECB) (1)
- European Commission (1)
- European Investment Bank (1)
- European Market Infrastructure Regulation (EMIR) (1)
- European Stability Mechanism (1)
- European Systemic Risk Board (1)
- European debt crisis (1)
- European integration (1)
- Eurosystem collateral eligibility (1)
- Excess sensitivity (1)
- Execution Cost (1)
- Executive Compensation (1)
- Executive Remuneration (1)
- Expectation Error (1)
- Expectation Formation (1)
- Expectation formation (1)
- Expectations (1)
- Expectation–Maximisation (1)
- Expected credit losses (1)
- Experience (1)
- Experimental Asset Markets (1)
- Experimental Economics (1)
- Experimental Finance (1)
- Explainable machine learning (1)
- Externalities (1)
- Extracurricular Activities (1)
- Extrapolation (1)
- FBSDE (1)
- Fair value accounting (1)
- Family dynamics (1)
- Feedback (1)
- Field Experiment (1)
- Filtering (1)
- Finance and Employment (1)
- Financial Advice (1)
- Financial Constraints (1)
- Financial Distress (1)
- Financial Education (1)
- Financial Frictions (1)
- Financial Literacy (1)
- Financial Market Cycles (1)
- Financial Markets (1)
- Financial Networks (1)
- Financial crisis (1)
- Financial distress (1)
- Financial education (1)
- Financial stability (1)
- Financing Conditions (1)
- Financing Constraints (1)
- Financing Costs (1)
- Fintech (1)
- Firm Investment (1)
- Firm valuation (1)
- Firm-bank relationship (1)
- Firms (1)
- Fiscal Capacity (1)
- Fiscal Crisis (1)
- Fiscal Policy (1)
- Fiscal Stabilization (1)
- Fiscal policy (1)
- Fiscal theory of the price level (1)
- Fixed Income (1)
- Fixed-Income (1)
- Flash Crash (1)
- Flight-to-safety (1)
- Formalism (1)
- Formative experiences (1)
- Forward-looking models (1)
- Frictions (1)
- G-SIB (1)
- GDP growth (1)
- GFSY (1)
- GMM Estimation (1)
- Gambling (1)
- Game Theory (1)
- Gender Differences (1)
- General Equilibrium Asset Pricing (1)
- Generations (1)
- German corporate governance (1)
- Germany Inc. (1)
- Gig-economy (1)
- Gini (1)
- Global Temperature (1)
- Governance (1)
- Government (1)
- Government debt (1)
- Granger causality (1)
- Green Nudging (1)
- Green Quantitative Easing (1)
- Greenwashing (1)
- Group Interesterest (1)
- Habit-formation (1)
- Hazard estimation (1)
- Health expenses (1)
- Health jumps (1)
- Heterogeneous Agents (1)
- Heterogeneous Firms (1)
- Heterogeneous Preferences (1)
- Heterogeneous agents (1)
- Hidden State (1)
- High Frequency Data (1)
- High-Frequency Trading (HFT) (1)
- High-frequency event study (1)
- Higher Moments of Return (1)
- Home ownership (1)
- Homestead exemptions (1)
- Homophily (1)
- Hong test (1)
- House prices (1)
- Household Portfolios (1)
- Household Wealth (1)
- Household saving (1)
- Hybrid Markets (1)
- IV approach (1)
- Identification (1)
- Idiosyncratic Risk (1)
- Idiosyncratic volatility puzzle (1)
- Immediacy (1)
- Implicit Guarantees (1)
- Implied volatility (1)
- Impulse-response (1)
- Incentives (1)
- Income and Wealth Inequality (1)
- Incomplete Markets (1)
- Incomplete markets (1)
- Incubator (1)
- Incurred loss model (1)
- Individual Investors (1)
- Individual investors (1)
- Industry Classification (1)
- Inflation (1)
- Inflation Beliefs (1)
- Information Acquisition (1)
- Information Frictions (1)
- Information Production (1)
- Information Treatment (1)
- Information processing (1)
- Infrastructure (1)
- Innovation (1)
- Institution formation (1)
- Institutional Investor (1)
- Institutional Investors’ Ownership (1)
- Insurance Activities (1)
- Insurance Companies (1)
- Integrated Assessment Model (1)
- Interbank Markets (1)
- Interdealer Brokerage (1)
- Interest Rate Risk (1)
- Intermediated work (1)
- International finance (1)
- International relationships (1)
- Investment Styles (1)
- Investment attitudes (1)
- Investment funds (1)
- Investment-Specific Shocks (1)
- Investor behavior (1)
- Investor education (1)
- Investor sentiment (1)
- Investors Heterogeneity (1)
- Job Match Quality (1)
- LBO spillovers (1)
- LBOs (1)
- LSTM neural networks (1)
- Labor Hoarding (1)
- Labor Income Risk (1)
- Labor Markets (1)
- Law Enforcement (1)
- Leading indicator (1)
- Lending (1)
- Leverage (1)
- Leveraged buyouts (1)
- Life Events (1)
- Life Insurance Surrender (1)
- Life Insurers (1)
- Life course transitions (1)
- Life-Cycle Model (1)
- Life-cycle hypothesis (1)
- Limits to Arbitrage (1)
- Liquidity Coinsurance (1)
- Liquidity Risk (1)
- Liquidity Shock (1)
- Liquidity premium (1)
- Liquidity provider incentives (1)
- Liquidity provision (1)
- Living Wills (1)
- Loan loss accounting (1)
- Locus of control (1)
- Long-Run Risk (1)
- Long-run risk (1)
- Loss Sharing (1)
- Loss-aversion (1)
- Lottery stocks (1)
- Low-emission vehicles (1)
- MREL (1)
- MTS Bond Market (1)
- Machine Learning (1)
- Macroeconomics (1)
- Macroprudential policy (1)
- Margin (1)
- Marginal Propensity to Consume (1)
- Market (in)completeness (1)
- Market Design (1)
- Market Discipline (1)
- Market Fragility (1)
- Market Structure (1)
- Market efficiency (1)
- Market fragmentation (1)
- Marketplace lending (1)
- Maximum Likelihood (1)
- Mental models (1)
- Meritocracy (1)
- MiFID II (1)
- Minority Shareholder Protection (1)
- Mitigation (1)
- Model Selection (1)
- Model-based regulation (1)
- Monetary Policy Surprises (1)
- Money Market (1)
- Moral Hazar (1)
- Morality (1)
- Mortgage design (1)
- Mortgage supply (1)
- Mortgages (1)
- Multi-Layer Network (1)
- Multi-level marketing (1)
- Multilayer networks (1)
- Multitasking (1)
- Mundellian trilemma (1)
- Mutual Funds (1)
- Mutual funds (1)
- Mutually Exciting Processes (1)
- Mutually exciting processes (1)
- NLP (1)
- Narrative Approach (1)
- Net-zero transition (1)
- Network Combination (1)
- Network Communities (1)
- Network theory (1)
- Networks (1)
- Nominal Rigidities (1)
- Non-bank lead arrangers (1)
- Nonlinear Filtering (1)
- Nonlinear solution methods (1)
- Numerical Solution (1)
- OTC Markets (1)
- OTC derivatives (1)
- Obfuscation (1)
- Oil (1)
- Oil market (1)
- On-the-Job Search (1)
- Online Poker (1)
- Open banking (1)
- Opening Auction (1)
- Opening Call Auction (1)
- Optimal Regulation (1)
- Optimal monetary policy (1)
- Optimism (1)
- Over-Confidence (1)
- Overlapping Generations (1)
- Overlapping generations (1)
- Pandemic (1)
- Partial Information (1)
- Paycheck Protection Program (1)
- Paycheck Sensitivity (1)
- Pecuniary Externality (1)
- Peer effects (1)
- Peers (1)
- Persistent and Transitory Income Shocks (1)
- Personal Finance (1)
- Personal bankruptcy (1)
- Personality traits (1)
- Petroleum-based Economies (1)
- Pivotality (1)
- Planning (1)
- Policy Effects (1)
- Pollution (1)
- Portfolio Choice (1)
- Portfolio Management (1)
- Portfolio Rebalancing (1)
- Portfolio allocation (1)
- Pre-Opening (1)
- Precautionary Saving (1)
- Preference Stability (1)
- Preference for early resolution of uncertainty (1)
- Preference survey module (1)
- Price Competition (1)
- Price Pressures (1)
- Private equity (1)
- Probability Weighting Function (1)
- Product returns (1)
- Production (1)
- Production Economy (1)
- Program Evaluation (1)
- Progressive Taxation (1)
- Proprietary Trading (1)
- Prosociality (1)
- Prospect Theory (1)
- Prudential filter (1)
- Public Goods (1)
- Public financial news (1)
- Public-Private Partnerships (1)
- Quantile Causality (1)
- Quantitative Easing (1)
- Quantitative easing (1)
- R&D Investment (1)
- R&D expenses (1)
- Rational Inattention (1)
- Real options (1)
- Realization Utility (1)
- Record resolution (1)
- Recursive Utility (1)
- Redemptions (1)
- Referrals (1)
- Related Party Transactions (1)
- Repeated Games (1)
- Repeated Principal-Agent Model (1)
- Repo Specialness (1)
- Reputation (1)
- Resolution Planning (1)
- Responsible investment (1)
- Restructuring (1)
- Return predictability (1)
- Risk Assessment (1)
- Risk Aversion (1)
- Risk Measurement (1)
- Risk Pooling (1)
- Risk Premium (1)
- Risk taking (1)
- Rubin Causal Model (1)
- S corporations (1)
- S&P 500 (1)
- SIFI (1)
- SME Trading (1)
- SRB (1)
- SRF (1)
- Saving puzzles (1)
- Say on Pay (1)
- Screening (1)
- Search Frictions (1)
- Securities Market Regulation (1)
- Securitization (1)
- Segmentation (1)
- Self-Control (1)
- Self-exciting Processes (1)
- Selling Behavior (1)
- Sentiment Analysis (1)
- Shareholder Letters (1)
- Shareholder Rights Directive (1)
- Short-run Risk (1)
- Signaling (1)
- Similarity (1)
- Similarity encoding (1)
- Sin Stocks (1)
- Single Resolution Mechanism (1)
- Skewness (1)
- Slow-Moving Capital (1)
- Small Business (1)
- Social Security (1)
- Social Security claiming (1)
- Social Security claiming age (1)
- Social media (1)
- Social networks (1)
- Socially responsible investing (1)
- Sociology of Finance (1)
- Sovereign (1)
- Sovereign Bonds (1)
- Sovereign credit risk (1)
- Sovereign debt (1)
- Sovereign default (1)
- Sovereign risk (1)
- Sparsity (1)
- Spatial autoregressive model (1)
- Speculation (1)
- Spike–and–Slab prior (1)
- Stages (1)
- Stay-Home (1)
- Stochastic Search Variable Selection (1)
- Stochastic volatility (1)
- Stock Market (1)
- Stock Market Participation (1)
- Stock Markets (1)
- Stock market (1)
- Stock market wealth (1)
- Stockholding (1)
- Stress Test (1)
- Structural Bank Reform (1)
- Structured retail products (1)
- Subjective Survival Beliefs (1)
- Subjective expectations (1)
- Supervision (1)
- Survey Data (1)
- Systematic Risk (1)
- Systemic events (1)
- Systemically Important Financial Institutions (1)
- TARP (1)
- TIPS (1)
- TIPS–Treasury puzzle (1)
- TLAC (1)
- Tail Risk (1)
- Tail risk (1)
- Tax Cuts and Jobs Act (1)
- Tax Multiplier (1)
- Taxation of Capital (1)
- Taylor rule (1)
- Technology Adoption (1)
- Technology Park (1)
- Technology spillover (1)
- Textual Analysis (1)
- The Community Reinvestment Act (1)
- Time-varying networks (1)
- Tobin tax (1)
- Too-Big-To-Fail (1)
- Top Income Taxation (1)
- Toxic Emissions (1)
- Trading (1)
- Trading volume (1)
- Transaction Data (1)
- Transaction costs (1)
- Transitional Dynamics (1)
- Transparency (1)
- Tree-based models (1)
- Trust (1)
- Trust Game (1)
- Tunneling (1)
- Turning points (1)
- Twitter (1)
- Uncertainty (1)
- Unconventional Monetary policy (1)
- Utility Functions (1)
- Utility Theory (1)
- Utilization (1)
- VAR estimation (1)
- VaR (1)
- Value-at-risk (1)
- Variance Risk Premium (1)
- Venture Capital (1)
- Venue Choice (1)
- WHO alerts (1)
- Wage Rigidity (1)
- Wage rigidity (1)
- Weak Instruments (1)
- Wealth shocks (1)
- Welfare Costs (1)
- WpHG (1)
- XAI (1)
- Zombie Lending (1)
- adaptation (1)
- adviser (1)
- age (1)
- age limits (1)
- agency (1)
- agglomeration (1)
- allocation bias (1)
- ambiguity premium (1)
- angel finance (1)
- anomalies (1)
- asset markets (1)
- asset prices (1)
- asset purchases (1)
- asset-backed securities (1)
- assetbacked securities (1)
- asymmetric shocks (1)
- attention (1)
- attitudes towards inequality (1)
- auction format (1)
- average treatment effect (1)
- backward stochastic differential equation (1)
- bailouts (1)
- balance of payments (1)
- bank (1)
- bank capital ratios (1)
- bank integration (1)
- bank lending (1)
- bank performance (1)
- bank stability (1)
- banking networks (1)
- banking regulation (1)
- behavioral economics (1)
- belief effect (1)
- belief estimation (1)
- belief formation (1)
- belief updates (1)
- belief updating (1)
- beliefs (1)
- benchmarks (1)
- betting (1)
- bid-ask spread (1)
- bidder surplus (1)
- big data (1)
- biometric risks (1)
- booms (1)
- bounded rationality (1)
- brown-spinning (1)
- bureaucrats' incentives (1)
- call auctions (1)
- capacity utilization (1)
- capital maintenance (1)
- capital markets (1)
- capital ratios (1)
- caps (1)
- cash-in-advance (1)
- catastrophic events (1)
- catastrophic risk (1)
- central bank policy (1)
- central counter parties (1)
- centralisation (1)
- centrality metrics (1)
- cheating (1)
- client involvement (1)
- climate behavior (1)
- climate policies (1)
- climate risk (1)
- coinvestment (1)
- collateral reuse (1)
- collective action clauses (1)
- commercial banks (1)
- common ownership (1)
- communication (1)
- compensation design (1)
- competitive equilibrium (1)
- competitiveness (1)
- compliance behavior (1)
- conditionality (1)
- confirmatory biases (1)
- conflict of laws (1)
- connected industries (1)
- construction procurement (1)
- consumer education (1)
- consumer protection (1)
- consumption commitments (1)
- consumption expenditure (1)
- consumption smoothing (1)
- consumption-based models (1)
- consumption-portfolio decisions (1)
- contest (1)
- contingent capital (1)
- continuous limit order book (1)
- contract law (1)
- conventional monetary policy (1)
- convergence (1)
- coordination (1)
- corporate bonds (1)
- corporate deposits (1)
- corporate finance (1)
- corporate governance codes (1)
- corporate income tax (1)
- corporate restructuring (1)
- corporate savings (1)
- corporate taxation (1)
- counterfactual analysis (1)
- counterfactual thinking (1)
- credence goods (1)
- credit default swap (1)
- credit rationing (1)
- credit scoring (1)
- credit scoring methodology (1)
- credit scoring regulation (1)
- cross-border insolvency (1)
- cross-section of expected stock returns (1)
- cross-section of stock return (1)
- cross-section of stock returns (1)
- crowdlending (1)
- crowdsponsoring (1)
- current account (1)
- cycle flows (1)
- cyclical liabilities (1)
- dash-for-cash (1)
- debt consolidation (1)
- debt cost (1)
- decentralization theorem (1)
- default (1)
- deleveraging (1)
- democracy (1)
- demographic change (1)
- deposit insurance (1)
- deregulation (1)
- designated market makers (1)
- dictator game (1)
- die game milk (1)
- differences of opinion (1)
- digital planning tool (1)
- disaster risk (1)
- discourse analysis (1)
- discretionary lending (1)
- distress (1)
- distributional consequences of monetary policy (1)
- divestments (1)
- dividends (1)
- dollar funding (1)
- duration of civil proceedings (1)
- duration of pay (1)
- dynamic correlation (1)
- dynamic inconsistency (1)
- dynamic model (1)
- early retirement (1)
- economic governance (1)
- economic preferences (1)
- economic rationality (1)
- economies of scale (1)
- education (1)
- educational intervention (1)
- elections (1)
- electricity (1)
- emissions trading system (ETS) (1)
- employees (1)
- employer-employee level dataset (1)
- endogenous information acquisition (1)
- endogenous risk (1)
- energy (1)
- energy crisis (1)
- entrepreneurial spawning (1)
- entrepreneurship (1)
- equity (1)
- equity cost (1)
- equity market integration (1)
- erm structure of interest rates (1)
- event study (1)
- exit (1)
- exit strategies (1)
- experiences (1)
- experimental asset markets (1)
- experimental economics (1)
- externalities (1)
- extreme value theory (1)
- factor timing (1)
- fairness (1)
- familiarity (1)
- federal transfers (1)
- fiduciary (1)
- field study (1)
- filtering (1)
- finance (1)
- finance and employment (1)
- finance wage premium (1)
- financial constraints (1)
- financial contracts (1)
- financial disasters (1)
- financial fragility (1)
- financial frictions (1)
- financial institutions (1)
- financial literacy determinants (1)
- financial market (1)
- financial markets (1)
- financial privacy (1)
- financial retrenchment (1)
- financial risk-taking (1)
- financial solidarity (1)
- financial spillover (1)
- financing (1)
- financing constraint (1)
- fire sales (1)
- firm growth (1)
- first-price auctions (1)
- fiscal adjustment (1)
- fiscal austerity (1)
- fiscal decentralization (1)
- fiscal federalism (1)
- fiscal multipliers (1)
- fiscal solidarity (1)
- fiscal stress (1)
- fiscal union (1)
- fixed point approach (1)
- flash crashes (1)
- flexible-hour contracts (1)
- foreign portfolio investment (1)
- fragmentation (1)
- free dividend fallacy (1)
- frequent batch auctions (1)
- funding dry-ups (1)
- game perceptions (1)
- gender wage gap (1)
- genetics (1)
- geographic expansion (1)
- global preference survey (1)
- goal orientation (1)
- government bonds (1)
- green financing (1)
- group identity (1)
- group law (1)
- group size (1)
- habit (1)
- health (1)
- hedge funds (1)
- hedging (1)
- hedging errors (1)
- heterogeneity (1)
- heterogeneous beliefs (1)
- heterogeneous monetary policy response (1)
- heterogeneous wage rigidity (1)
- high consumption volatility (1)
- high-frequency data (1)
- high-frequency traders (HFTs) (1)
- high-frequency trading (1)
- holdout litigation (1)
- household finance (1)
- households (1)
- housing (1)
- housing expenditure share (1)
- ideational shift (1)
- identification (1)
- idle time (1)
- impatience (1)
- implied correlation (1)
- implied volatility (1)
- impulse analysis (1)
- incentive pay (1)
- income dependent inflation (1)
- incomplete information (1)
- independent private values (1)
- index funds (1)
- individual retirement account (1)
- industrial organization (1)
- inference (1)
- inflation swaps (1)
- informal loans (1)
- informal markets (1)
- information demand (1)
- information flow (1)
- information processing (1)
- informativeness principle (1)
- input-output (1)
- insurance industry (1)
- interbank market (1)
- interbank markets (1)
- interbank network (1)
- interconnections (1)
- interdependent preferences (1)
- interest rate risk (1)
- intergenerational persistence (1)
- internal capital markets (1)
- internal ratings (1)
- international diversification benefits (1)
- international taxation (1)
- inverse probability weighting (1)
- investment behavior (1)
- investment biases (1)
- investment forum (1)
- investment guarantee (1)
- investment mistakes (1)
- investor behavior (1)
- investor protection (1)
- investor sentiment (1)
- isk premiums (1)
- jump risk (1)
- jumps in aggregate consumption (1)
- jumps in the longrun growth rate (1)
- labelling (1)
- labels (1)
- labor demand (1)
- labor hoarding (1)
- labor income (1)
- labor market (1)
- labor mobility (1)
- labor supply (1)
- laboratory experiment (1)
- labour economics (1)
- labour market policies (1)
- large language models (1)
- latency arbitrage (1)
- law and finance (1)
- law enforcement (1)
- learning strategy (1)
- leisure (1)
- lending (1)
- level and slope of implied volatility smile (1)
- life cycle model (1)
- life expectancy (1)
- life-cycle (1)
- life-cycle behavior (1)
- life-cycle household decisions (1)
- life-cycle hypothesis (1)
- life-cycle utility maximization (1)
- lifecycle (1)
- likelihood insensitivity (1)
- limited arbitrage (1)
- liquid assets (1)
- liquidity premium (1)
- loan officer (1)
- loan origination (1)
- local projection (1)
- local projections (1)
- locally non-diversifiable risk (1)
- location decisions (1)
- long-run growth (1)
- long-run risk (1)
- longevity (1)
- losses (1)
- lottery-type assets (1)
- lump sum (1)
- macro-prudential policy (1)
- macro-prudential supervision (1)
- macroprudential regulation (1)
- macroprudential supervision (1)
- management compensation (1)
- mandatory disclosure (1)
- marginal propensity to consume (1)
- market design (1)
- market enforcement (1)
- market infrastructure (1)
- market making (1)
- market microstructure (1)
- market price (1)
- market-based (1)
- maturity (1)
- measure of ambiguity (1)
- media polarization (1)
- mergers and acquisitions (1)
- microdata (1)
- microfoundations (1)
- microprudential supervision (1)
- misperception (1)
- mnimum distribution requirements (1)
- monetary policy surprise (1)
- monetary policy surprise shocks (1)
- monetary transmission (1)
- monetary transmission mechanism (1)
- money in the utility function (1)
- money market funds (1)
- mood (1)
- moral hazard (1)
- moral values (1)
- mortgages (1)
- motivated beliefs (1)
- motivated reasoning (1)
- motivation for honesty (1)
- multi-unit auctions (1)
- multiple point of entry (1)
- multiplex networks (1)
- national interest (1)
- natural disasters (1)
- natural experiment (1)
- natural gas (1)
- natural rate (1)
- neoinstitutionalism (1)
- net-zero arbitrage (1)
- net-zero plans and targets (1)
- network (1)
- network analysis (1)
- network formation (1)
- network model (1)
- networks (1)
- non-Bayesian updates (1)
- non-linear VAR (1)
- non-performing assets (1)
- online borrowing (1)
- open economy (1)
- operational performance (1)
- opinion (1)
- optimal stopping (1)
- optimum currency area (1)
- option prices (1)
- option-implied distribution (1)
- otc derivatives markets (1)
- outgroup derogation (1)
- output fluctuations (1)
- overlapping generations (1)
- ownership concentration (1)
- ownership disclosure (1)
- pandemics (1)
- panel data (1)
- parameter uncertainty (1)
- pari passu clauses (1)
- participation (1)
- passive investors (1)
- patents (1)
- paycheck frequency (1)
- payment systems (1)
- pensions (1)
- personality traits (1)
- pessimism (1)
- pharmaceutical industry (1)
- placebo technique (1)
- polarization (1)
- policy (1)
- policy reform (1)
- political behavior (1)
- political economy of bureaucracy (1)
- political polarization (1)
- pooling equilibrium (1)
- portfolio allocation (1)
- portfolio management (1)
- portfolio optimization (1)
- precautionary recapitalization (1)
- pricing (1)
- principal components (1)
- principal-agent models (1)
- private benefits of control (1)
- private companies (1)
- private markets (1)
- private sector involvement (1)
- probability of default (1)
- profit weights (1)
- propensity score (1)
- prudential regulation (1)
- public debt (1)
- public markets (1)
- quantile regression (1)
- rank feedback (1)
- real estate lending (1)
- recent economic crisis (1)
- recursive preferences (1)
- redistribution (1)
- regression adjustment (1)
- regression discontinuity design (1)
- regulatory capture (1)
- rehypothecation (1)
- related party transactions (1)
- relationship lending (1)
- relative performance evaluation (1)
- relative performance feedback (1)
- renting vs. owning home (1)
- replication (1)
- repo market (1)
- reporting (1)
- resiliency (1)
- responsibility (1)
- responsible lending (1)
- retained earnings (1)
- retirement (1)
- retirement expectations (1)
- retirement planning (1)
- return expectations (1)
- reverse mortgage (1)
- risk (1)
- risk management (1)
- risk preference (1)
- risk spillovers (1)
- risk-taking incentives (1)
- safe assets (1)
- salience (1)
- saving behavior (1)
- saving puzzles (1)
- say-on-pay (1)
- school closures (1)
- screening (1)
- seasonal affective disorder (SAD) (1)
- secrecy (1)
- secular stagnation (1)
- securities lending (1)
- self-control (1)
- sentiment (1)
- separating equilibrium (1)
- severance pay caps (1)
- shareholder wealth (1)
- shocks (1)
- short-sale constraints (1)
- single point of entry (1)
- skill-biased technological change (1)
- slumps (1)
- small and medium enterprises (1)
- sniping (1)
- social (1)
- social centralization (1)
- social dilemma (1)
- social dilemmas (1)
- social identity (1)
- social networks (1)
- socialist education (1)
- socially responsible consumers (1)
- soft information (1)
- soft law (1)
- solution methods (1)
- solvency shocks (1)
- sophistication (1)
- source dependence (1)
- sovereign bonds (1)
- sovereign debt litigation (1)
- sovereign debt restructuring (1)
- sovereign debt standstill (1)
- spillover effects (1)
- spillovers (1)
- spread premium (1)
- sset pricing (1)
- stable convergence (1)
- stakeholder (1)
- staleness (1)
- state dependency (1)
- state-dependent sensitivity value-at-risk (SDSVaR) (1)
- state-owned enterprises (1)
- statistical discrimination (1)
- stochastic control (1)
- stock demand (1)
- stock market (1)
- stock market crisis (1)
- stock market investment (1)
- stock market volatility (1)
- stock return expectations (1)
- stockholding (1)
- strategic interaction of regulators (1)
- structured finance (1)
- supervisory board (1)
- survey experiments (1)
- sustainability disclosures (1)
- sustainable finance (1)
- systematic risk (1)
- systemic importance (1)
- systemic risk, too-interconnected-to-fail (1)
- tail measure (1)
- tax (1)
- tax competition (1)
- tax cut (1)
- tax haven (1)
- tax havens (1)
- tax information exchange (1)
- tax information exchange agreements (1)
- tax intervention (1)
- taxing rights (1)
- taxonomies (1)
- temperature shocks (1)
- term premia (1)
- threshold vector auto-regressive models (1)
- time dependency (1)
- time series momentum (1)
- topic modelling (1)
- trading (1)
- trading activity (1)
- trading strategies (1)
- transactions (1)
- transition risk (1)
- treasury auctions (1)
- trend chasing (1)
- trust (1)
- trust driven expectations (1)
- trust evolutionary games (1)
- trust game (1)
- tunneling (1)
- twin study (1)
- tâtonnement (1)
- unemployment (1)
- utility functions (1)
- validation (1)
- valuation discount (1)
- valuation ratios (1)
- variable annuity (1)
- variance risk premium (1)
- venture capital (1)
- vertical fiscal imbalances (1)
- volatility of volatility (1)
- vulture creditors (1)
- wage hump (1)
- wealth (1)
- weather (1)
- welfare costs (1)
- wholesale shocks (1)
- worker-firm panels (1)
- workforce (1)
- yield spreads (1)
- zero returns (1)
- fiscal multipliers (1)
- fiscal policy (1)
- ΔCoVaR (1)
- financial literacy (1)
Institute
- Wirtschaftswissenschaften (428)
- Center for Financial Studies (CFS) (409)
- House of Finance (HoF) (408)
- Sustainable Architecture for Finance in Europe (SAFE) (397)
- Rechtswissenschaft (8)
- Institute for Law and Finance (ILF) (7)
- Foundation of Law and Finance (6)
- Frankfurt MathFinance Institute (FMFI) (3)
- E-Finance Lab e.V. (1)
- Exzellenzcluster Die Herausbildung normativer Ordnungen (1)
33
We present a thought-provoking study of two monetary models: the cash-in-advance and the Lagos and Wright (2005) models. We report that the different approach to modeling money — reduced-form vs. explicit role — neither induces theoretical nor quantitative differences in results. Given conformity of preferences, technologies and shocks, both models reduce to one difference equation. The equations do not coincide only if price distortions are differentially imposed across models. To illustrate, when cash prices are equally distorted in both models equally large welfare costs of inflation are obtained in each model. Our insight is that if results differ, then this is due to differential assumptions about the pricing mechanism that governs cash transactions, not the explicit microfoundation of money.
7
Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to incentive problems and liquidity risk (in the form of liquidity based banks’ runs) which provides a link between endogenous bank capital and macro and policy risk. Our banks also invest in risky government bonds used as capital buffer to self-insure against liquidity risk. The model can replicate the positive connection between sovereign and bank risk observed in the data. Central bank liquidity policy, through full allotment policy, is successful in stabilizing the spiraling feedback loops between bank and sovereign risk.
16
We consider the continuous-time portfolio optimization problem of an investor with constant relative risk aversion who maximizes expected utility of terminal wealth. The risky asset follows a jump-diffusion model with a diffusion state variable. We propose an approximation method that replaces the jumps by a diffusion and solve the resulting problem analytically. Furthermore, we provide explicit bounds on the true optimal strategy and the relative wealth equivalent loss that do not rely on results from the true model. We apply our method to a calibrated affine model and fine that relative wealth equivalent losses are below 1.16% if the jump size is stochastic and below 1% if the jump size is constant and γ ≥ 5. We perform robustness checks for various levels of risk-aversion, expected jump size, and jump intensity.
14
The efficacy of monetary authority actions depends primarily on the ability of the monetary authority to affect inflation expectations, which ultimately depend on agents' trust. We propose a model embedding trust cycles, as emerging from sequential coordination games between atomistic agents and the policy maker, in a monetary model. Trust affects agents' stochastic discount factor, namely the price of future risk, and their expectation formation process: these effects in turn interact with the monetary transmission mechanism. Using data from the Eurobarometer survey we analyze the link between trust on the one side and the transmission mechanism of shocks and of the policy rate on the other: data show that the two interact significantly and in a way comparable to the obtained in our model.
13
This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also drives risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our micro findings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models.
6
This paper studies the relation between firm value and a firm's growth options. We find strong empirical evidence that (average) Tobin's Q increases with firm-level volatility. However, the significance mainly comes from R&D firms, which have more growth options than non-R&D firms. By decomposing firm-level volatility into its systematic and unsystematic part, we also document that only idiosyncratic volatility (ivol) has a significant effect on valuation. Second, we analyze the relation of stock returns to realized contemporaneous idiosyncratic volatility and R&D expenses. Single sorting according to the size of idiosyncratic volatility, we only find a significant ivol anomaly for non-R&D portfolios, whereas in a four-factor model the portfolio alphas of R&D portfolios are all positive. Double sorting on idiosyncratic volatility and R&D expenses also reveals these differences between R&D and non-R&D firms. To simultaneously control for several explanatory variables, we also run panel regressions of portfolio alphas which confirm the relative importance of idiosyncratic volatility that is amplified by R&D expenses.
31
In the aftermath of the financial crisis, the ECB has experienced an unprecedented deterioration in the level of trust. This raises the question as to what factors determine trust in central banking. We use a unique cross-country dataset which includes a rich set of socio-economic characteristics and supplement it with variables meant to reflect a country’s macroeconomic condition. We find that besides individual socio-economic characteristics, macroeconomic conditions play a crucial role in the trust-building process. Our results suggest that agents are boundedly rational in the trust-building process and that current ECB market operations may even be beneficial for trust in the ECB in the long-run.
8
We assess the effects of monetary policy on bank risk to verify the existence of a risk-taking channel - monetary expansions inducing banks to assume more risk. We first present VAR evidence confirming that this channel exists and tends to concentrate on the bank funding side. Then, to rationalize this evidence we build a macro model where banks subject to runs endogenously choose their funding structure (deposits vs. capital) and risk level. A monetary expansion increases bank leverage and risk. In turn, higher bank risk in steady state increases asset price volatility and reduces equilibrium output.
17
32
Monetary theorists have advanced an intriguing notion: we exchange money to make up for a lack of enforcement, when it is difficult to monitor and sanction opportunistic behaviors. We demonstrate that, in fact, monetary equilibrium cannot generally be sustained when monitoring and punishment limitations preclude enforcement — external or not. Simply put, monetary systems cannot operate independently of institutions — formal or informal — designed to monitor behaviors and sanction undesirable ones. This fundamental result is derived by integrating monetary theory with the theory of repeated games, studying monetary equilibrium as the outcome of a matching game with private monitoring.
19
This paper empirically examines the role of soft information in the competitive interaction between relationship and transaction banks. Soft information can be interpreted as a private signal about the quality of a firm that is observable to a relationship bank, but not to a transaction bank. We show that borrowers self-select to relationship banks depending on whether their privately observed soft information is positive or negative. Competition affects the investment in learning the private signal from firms by relationship banks and transaction banks asymmetrically. Relationship banks invest more; transaction banks invest less in soft information, exacerbating the selection effect. Finally, we show that firms where soft information was important in the lending decision were no more likely to default compared to firms where only financial information was used.
22
The paper looks at the determinants of fiscal adjustments as reflected in the primary surplus of countries. Our conjecture is that governments will usually find it more attractive to pursue fiscal adjustments in a situation of relatively high growth, but based on a simple stylized model of government behavior the expectation is that mainly high trust governments will be in a position to defer consolidation to years with higher growth. Overall, our analysis of a panel of European countries provides support for this expectation. The difference in fiscal policies depending on government trust levels may help explaining why better governed countries have been found to have less severe business cycles. It suggests that trust and credibility play an important role not only in monetary policy, but also in fiscal policy.
18
The paper uses fiscal reaction functions for a panel of euro-area countries to investigate whether euro membership has reduced the responsiveness of countries to shocks in the level of inherited debt compared to the period prior to succession to the euro. While we find some evidence for such a loss in prudence, the results are not robust to changes in the specification, such as an exclusion of Greece from the panel. This suggests that the current debt problems may result to a large extent from preexisting debt levels prior to entry or from a larger need for fiscal prudence in a common currency, while an adverse change in the fiscal reaction functions for most countries does not apply.
30
We examine whether the robustifying nature of Taylor rule cross-checking under model uncertainty carries over to the case of parameter uncertainty. Adjusting monetary policy based on this kind of cross-checking can improve the outcome for the monetary authority. This, however, crucially depends on the relative welfare weight that is attached to the output gap and also the degree of monetary policy commitment. We find that Taylor rule cross-checking is on average able to improve losses when the monetary authority only moderately cares about output stabilization and when policy is set in a discretionary way.
38
This paper tests whether an increase in insured deposits causes banks to become more risky. We use variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance coverage from $100,000 to $250,000 per depositor and bank. For some banks, the amount of insured deposits increased significantly; for others, it was a minor change. Our analysis shows that the more affected banks increase their investments in risky commercial real estate loans and become more risky relative to unaffected banks following the change. This effect is most distinct for affected banks that are low capitalized.
11
This paper analyzes the equilibrium pricing implications of contagion risk in a Lucas-tree economy with recursive preferences and jumps. We introduce a new economic channel allowing for the possibility that endowment shocks simultaneously trigger a regime shift to a bad economic state. We document that these contagious jumps have far-reaching asset pricing implications. The risk premium for such shocks is superadditive, i.e. it is 2.5\% larger than the sum of the risk premia for pure endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5\%. We also derive semiclosed-form solutions for the wealth-consumption ratio and the price-dividend ratios in an economy with two Lucas trees and analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to contagion risk can increase risk premia disproportionately. In particular, big assets with a large exposure to contagious shocks carry significantly higher risk premia.
10
This paper presents a theory that explains why it is beneficial for banks to engage in circular lending activities on the interbank market. Using a simple network structure, it shows that if there is a non-zero bailout probability, banks can significantly increase the expected repayment of uninsured creditors by entering into cyclical liabilities on the interbank market before investing in loan portfolios. Therefore, banks are better able to attract funds from uninsured creditors. Our results show that implicit government guarantees incentivize banks to have large interbank exposures, to be highly interconnected, and to invest in highly correlated, risky portfolios. This can serve as an explanation for the observed high interconnectedness between banks and their investment behavior in the run-up to the subprime mortgage crisis.
5
We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above other option-implied variables. Stock-specific tail loss measure predicts individual expected returns and magnitude of realized stock-specific crashes in the cross-section of stocks. An investor that cares about the left tail of her wealth distribution benefits from using the tail loss measure as an information variable to construct managed portfolios of a risk-free asset and market index.
3
We use unique data from financial advisers’ professional exam scores and combine it with other variables to create an index of financial sophistication. Using this index to explain long-term stock return expectations, we find that more sophisticated financial advisers tend to have lower return expectations. A one standard deviation increase in the sophistication index reduces expected returns by 1.1 percentage points. The effect is stronger for emerging market stocks (2.3 percentage points). The sophistication effect contributes 60% to the model fit, while employer fixed effects combined contribute less than 30%. These results help understand the formation of potentially excessively optimistic expectations.
23
We are able to shed light on the black box of restructuring tools private equity investors use to improve the operational performance of their portfolio companies. By building on previous work considering performance evaluation of PE backed companies, we analyze whether private equity improves operating efficiency and which of the typical restructuring tools are the main performance drivers. Using a set of over 300 international leveraged buyout transactions of the last thirty years, we find that while there is vast improvement in operational efficiency, these gains vary considerably. Our top performing transactions are subject to strong equity incentives, frequent asset restructuring and tight control by the investor. Furthermore, investors’ experience has a positive influence while financial leverage has no influence on operational performance.
24
This study investigates the transition from being a listed company with a dispersed ownership structure to being a privately held company with a concentrated ownership structure. We consider a sample of private equity backed portfolio companies to evaluate the consequences of the corporate governance changes on operational performance. Our analysis shows significant positive abnormal growth in several performance ratios for the private period of our sample companies relative to comparable public companies. These performance differences come from the increase in ownership concentration after the leveraged buyout transaction.
9
Basel III and CEO compensation in banks: pay structures as a regulatory signal : [March 6, 2013]
(2013)
This paper proposes a new regulatory approach that implements capital requirements contingent on managerial compensation. We argue that excessive risk taking in the financial sector originates from the shareholder moral hazard created by government guarantees rather than from corporate governance failures within banks. The idea of the proposed regulation is to utilize the compensation scheme to drive a wedge between the interests of top management and shareholders to counteract shareholder risk-shifting incentives. The decisive advantage of this approach compared to existing regulation is that the regulator does not need to be able to properly measure the bank investment risk, which has been shown to be a difficult task during the 2008-2009 financial crisis.
1
Debt-induced crises, including the subprime, are usually attributed exclusively to supply-side factors. We uncover an additional factor contributing to debt culture, namely social influences emanating from the perceived average income of peers. Using unique information from a representative household survey of the Dutch population that circumvents the need to define the social circle, we consider collateralized, consumer, and informal loans. We find robust social effects on borrowing – especially among those who consider themselves poorer than their peers – and on indebtedness, suggesting a link to financial distress. We check the robustness of our results using several approaches to rule out spurious associations and handle correlated effects.
34
We analyze the equilibrium in a two-tree (sector) economy with two regimes. The output of each tree is driven by a jump-diffusion process, and a downward jump in one sector of the economy can (but need not) trigger a shift to a regime where the likelihood of future jumps is generally higher. Furthermore, the true regime is unobservable, so that the representative Epstein-Zin investor has to extract the probability of being in a certain regime from the data. These two channels help us to match the stylized facts of countercyclical and excessive return volatilities and correlations between sectors. Moreover, the model reproduces the predictability of stock returns in the data without generating consumption growth predictability. The uncertainty about the state also reduces the slope of the term structure of equity. We document that heterogeneity between the two sectors with respect to shock propagation risk can lead to highly persistent aggregate price-dividend ratios. Finally, the possibility of jumps in one sector triggering higher overall jump probabilities boosts jump risk premia while uncertainty about the regime is the reason for sizeable diffusive risk premia.
2
A natural experiment in which customer-owned mutual companies converted to publicly listed firms created a plausibly exogenous shock to the stock market participation status of tens of thousands of people. We find the shock changed the way people vote in the affected areas, with a 10% increase in share-ownership rate being followed by a 1.3%–3.1% increase in right-of-center vote share. The institutional details and additional tests suggest that wealth, liquidity, and tax-related incentives cannot fully explain the results. A plausible explanation is that the associated increase in the salience of stock ownership causes a shift in voters’ attention.
27
This paper analyzes the evolving architecture for the prudential supervision of banks in the euro area. It is primarily concerned with the likely effectiveness of the SSM as a regime that intends to bolster financial stability in the steady state.
By using insights from the political economy of bureaucracy it finds that the SSM is overly focused on sharp tools to discipline captured national supervisors and thus under-incentives their top-level personnel to voluntarily contribute to rigid supervision. The success of the SSM in this regard will hinge on establishing a common supervisory culture that provides positive incentives for national supervisors. In this regard, the internal decision making structure of the ECB in supervisory matters provides some integrative elements. Yet, the complex procedures also impede swift decision making and do not solve the problem adequately. Ultimately, a careful design and animation of the ECB-defined supervisory framework and the development of inter-agency career opportunities will be critical.
The ECB will become a de facto standard setter that competes with the EBA. A likely standoff in the EBA’s Board of Supervisors will lead to a growing gap in regulatory integration between SSM-participants and other EU Member States.
Joining the SSM as a non-euro area Member State is unattractive because the cur-rent legal framework grants no voting rights in the ECB’s ultimate decision making body. It also does not supply a credible commitment opportunity for Member States who seek to bond to high quality supervision.
15
We show that the optimal consumption of an individual over the life cycle can have the hump shape (inverted U-shape) observed empirically if the preferences of the individual exhibit internal habit formation. In the absence of habit formation, an impatient individual would prefer a decreasing consumption path over life. However, because of habit formation, a high initial consumption would lead to high required consumption in the future. To cover the future required consumption, wealth is set aside, but the necessary amount decreases with age which allows consumption to increase in the early part of life. At some age, the impatience outweighs the habit concerns so that consumption starts to decrease. We derive the optimal consumption strategy in closed form, deduce sufficient conditions for the presence of a consumption hump, and characterize the age at which the hump occurs. Numerical examples illustrate our findings. We show that our model calibrates well to U.S. consumption data from the Consumer Expenditure Survey.
20
In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the state of financial markets (tranquil, normal, and volatile). Within a system of quantile regressions for four sets of major financial institutions (commercial banks, investment banks, hedge funds, and insurance companies) we show that while small during normal times, equivalent shocks lead to considerable spillover effects in volatile market periods. Commercial banks and, especially, hedge funds appear to play a major role in the transmission of shocks to other financial institutions. Using daily data, we can trace out the spillover effects over time in a set of impulse response functions and find that they reach their peak after 10 to 15 days.
4
We test whether investor mood affects trading with data on all stock market transactions in Finland, utilizing variation in daylight and local weather. We find some evidence that environmental mood variables (local weather, length of day, daylight saving and lunar phase) affect investors’ direction of trade and volume. The effect magnitudes are roughly comparable to those of classical seasonals, such as the Monday effect. The statistical significance of the mood variables is weak in many cases, however. Only very little of the day-to-day variation in trading is collectively explained by all mood variables and calendar effects, but lower frequency variation seems connected to holiday seasons.