Working Paper
Refine
Year of publication
- 2022 (126) (remove)
Document Type
- Working Paper (126) (remove)
Has Fulltext
- yes (126)
Is part of the Bibliography
- no (126)
Keywords
- Covid-19 (4)
- Digital Services Act (4)
- ESG (4)
- Digitalisierung (3)
- Mobilität (3)
- climate change (3)
- AI borrower classification (2)
- AI enabled credit scoring (2)
- Artificial Intelligence (2)
- Asset Pricing (2)
- Banking Union (2)
- Big Data (2)
- COVID-19 (2)
- Corona-Pandemie (2)
- DSA (2)
- Desinformation (2)
- Disclosure (2)
- European Central Bank (2)
- European Parliament (2)
- Experiment (2)
- Experten (2)
- FOMC (2)
- FinTech (2)
- Financial Regulation (2)
- Finanzkrise (2)
- Flüchtlinge (2)
- Forschung (2)
- Gesundheit (2)
- Hassrede (2)
- Household Finance (2)
- Klimawandel (2)
- Krise (2)
- Market Liquidity (2)
- Medienberichterstattung (2)
- Nachhaltigkeit (2)
- Performance (2)
- Politikberatung (2)
- Russia (2)
- SWIFT (2)
- Sustainability (2)
- Transparency (2)
- Ukraine (2)
- Wissenschaftskommunikation (2)
- accountability (2)
- brown-spinning (2)
- climate (2)
- credit scoring methodology (2)
- credit scoring regulation (2)
- financial privacy (2)
- institutional investors (2)
- natural gas (2)
- peer effects (2)
- political economy (2)
- politische Reformen (2)
- portfolio management (2)
- price stability (2)
- private companies (2)
- private equity (2)
- responsible lending (2)
- social media (2)
- statistical discrimination (2)
- sustainability (2)
- uncertainty (2)
- 13F filings (1)
- 2-Sector Model (1)
- 401(k) plan (1)
- Accounting (1)
- Acquisitions (1)
- Affordability crisis (1)
- Akzeptanzuntersuchung (1)
- Akzeptierbarkeit (1)
- Antitrust (1)
- Art investment (1)
- Art. 17 DSM-Richtlinie (1)
- Asset prices (1)
- Bailin (1)
- Bank Accounting (1)
- Bank's Balance Sheets (1)
- Banks (1)
- Bayesian Estimation (1)
- Behavioral Finance (1)
- Behavioral Measurement (1)
- Beliefs (1)
- Beliefs and Choice (1)
- Bestimmtheit (1)
- Bias in medical research (1)
- Biased Beliefs (1)
- Big Five (1)
- Big Five Personality (1)
- Big Techs (1)
- Big Three (1)
- Big data (1)
- Blockchain (1)
- Broker (1)
- Business Subsidies (1)
- CBDC (1)
- CECL (1)
- Carbon Taxation (1)
- Cash (1)
- Caste (1)
- Causal Machine Learning (1)
- Chihuahuan Desert (1)
- Choice under Risk (1)
- Cholesky decomposition (1)
- Climate Change (1)
- Coalitions (1)
- Colocation (1)
- Complex Financial Instruments (1)
- Consulting (1)
- Consumer Welfare (1)
- Content ID (1)
- Corporate Governance (1)
- Corporate concentration (1)
- Covid pandemic (1)
- Cryptocurrencies (1)
- Cultural Economics (1)
- Cultural Finance (1)
- Cultural Norms (1)
- Customer data sharing (1)
- DMA (1)
- DSGE (1)
- DSGE models (1)
- Data access (1)
- Data portability (1)
- Dienst der Informationsgesellschaft (1)
- Digital Markets Act (1)
- Digital footprints (1)
- Disclosure regulation (1)
- Discrimination (1)
- Dyson (1)
- ESM (1)
- Economic and Monetary Union (1)
- Eindeutigkeit (1)
- Empirical Contract Theory (1)
- Energy Embargo (1)
- Enriched Digital Footprint (1)
- Environmental (1)
- Environmental, social, and governance factors (ESG) (1)
- Estimation (1)
- Ethics (1)
- European Banking Union (1)
- European Capital Markets Union (1)
- European Commision (1)
- European Commission (1)
- European Investment Bank (1)
- European Stability Mechanism (1)
- European integration (1)
- Eurozone (1)
- Execution Cost (1)
- Exklusion (1)
- Expected credit losses (1)
- Externalities (1)
- Factor Models (1)
- Fahrradinfrastruktur (1)
- Fiduciary Duties (1)
- FinTech and Textual Analysis (1)
- Financial Markets (1)
- Financial Supervision (1)
- Financial interests (1)
- Fintech (1)
- Fire Sales (1)
- Fixed Income (1)
- Forecasting (1)
- Frankfurt am Main (1)
- Fraud (1)
- Fund family (1)
- Gambling (1)
- Gemeinschaftliches Wohnen (1)
- Gemeinwohl (1)
- Generationenrente (1)
- Generations (1)
- Global Optimization (1)
- Governance (1)
- Green Nudging (1)
- Green Quantitative Easing (1)
- Greenwashing (1)
- Hate Speech (1)
- Haushaltsbefragung (1)
- Headline (1)
- Heterogeneous Agents (1)
- Heterogeneous Firms (1)
- High-Frequency Trading (1)
- High-dimensional Methods (1)
- History & Finance (1)
- Household finance (1)
- IFRS 9 (1)
- IPS (1)
- IV (1)
- IV approach (1)
- Idiosyncratic Risk (1)
- Impairments (1)
- Incomplete Contracts (1)
- Institutional Investor (1)
- Integrated Assessment Model (1)
- Inter-ethnic Conflict (1)
- Invasion (1)
- Klarheit (1)
- Krisenprotokoll (1)
- LBO spillovers (1)
- Lending (1)
- Levola (1)
- Life insurance companies (1)
- Limited Commitment (1)
- Limited Enforcement (1)
- Limits to Arbitrage (1)
- Liquidation Preferences (1)
- Liquidity (1)
- Liquidity Risk (1)
- Loans (1)
- Long-run risk (1)
- Lottery stocks (1)
- Maastricht criteria (1)
- Management (1)
- Marginal Propensity to Consume (1)
- Market Fragmentation (1)
- Market Microstructure (1)
- Market Quality (1)
- Marketplace lending (1)
- Methodenbericht (1)
- MiCA (1)
- Middle East and North Africa (1)
- Mixed-frequency data (1)
- Mobilitätsverhalten (1)
- Model-based regulation (1)
- Monitoring (1)
- Monte Carlo Methods (1)
- Morality (1)
- NFT (1)
- NetzDG (1)
- Netzwerkdurchsetzungsgesetz (1)
- Neuaufteilung öffentlicher Räume (1)
- Non-Compete Agreements (1)
- Non-Fungible Tokens (1)
- Numerical accuracy (1)
- Online Poker (1)
- Online-Plattformen (1)
- Open banking (1)
- Option-implied Risk (1)
- Organizational Economics (1)
- Overblocking (1)
- P2P lending (1)
- Paycheck Protection Program (1)
- Paycheck Sensitivity (1)
- Persistence (1)
- Personnel Economics (1)
- Pivotality (1)
- Plattform (1)
- Policy Center (1)
- Political Economy (1)
- Portfolio optimization (1)
- Price elasticity of gasoline demand (1)
- Pricing Determinants (1)
- Product returns (1)
- Prosociality (1)
- Public Finance (1)
- Random Route (1)
- Random-Route-Verfahren (1)
- Real estate (1)
- Reallocation (1)
- Regulation (1)
- Religion (1)
- Rents (1)
- Research and development (1)
- Retail Challenge (1)
- Retail investors (1)
- Ridepooling (1)
- Risikomanagement (1)
- Risikominderung (1)
- Risk Attitudes (1)
- Risk Preferences (1)
- Risk Sharing (1)
- Robo-Advising (1)
- Russian Sanction (1)
- Rücklaufquote (1)
- SME Trading (1)
- SRB (1)
- SRF (1)
- SVAR (1)
- Sanctions (1)
- Securities Market Regulation (1)
- Short-run and long-run inflation expectations (1)
- Short-time work (1)
- Sieckmann (1)
- Social (1)
- Social Capital (1)
- Social Conditioning (1)
- Social Impact (1)
- Social Learning (1)
- Social Security claiming (1)
- Socially responsible investments (1)
- Solution methods (1)
- Solvency regulation (1)
- Soziale Teilhabe / Partizipation (1)
- Sporthelm (1)
- Stability and Growth Pact (1)
- States (1)
- Stationary Equilibrium (1)
- Subsidization (1)
- Supervision (1)
- Supply Chain (1)
- Survey Data (1)
- Swiss Army Knife (1)
- Temporal aggregation (1)
- Textual Analysis (1)
- Time Inconsistency (1)
- Time Preferences (1)
- Trados (1)
- Transaction Data (1)
- Trust (1)
- Universal banks (1)
- Venture Capital (1)
- Venture capital (1)
- Verhaltenskodex (1)
- Verkehr (1)
- Verkehrspolitik (1)
- Verkehrspolitische Maßnahmen (1)
- Vermittlungsdienst, (1)
- Vernetzung (1)
- Vertrauen (1)
- Volcker Rule (1)
- Wettbewerbsrecht (1)
- Wirksamkeit (1)
- annuity (1)
- art (1)
- asset valuation (1)
- asymmetric information (1)
- auctions (1)
- bail-in (1)
- bank regulation (1)
- bank resolution (1)
- banking (1)
- banking union (1)
- banknotes (1)
- banks (1)
- based on a single specimen (1)
- belief formation (1)
- beliefs (1)
- betting (1)
- biases (1)
- big data (1)
- bitcoin (1)
- blockchain (1)
- bond market liquidity (1)
- bureaucrats' incentives (1)
- business cycle (1)
- capital markets (1)
- capital regulation (1)
- capital requirements (1)
- central bank communication (1)
- civil war (1)
- climate-related disclosures (1)
- coal (1)
- collateral reuse (1)
- common ownership (1)
- computer vision (1)
- computer visionbiases (1)
- concept and conceptions of trust (1)
- conditionality (1)
- conflict (1)
- contentious politics (1)
- continuous limit order book (1)
- core (1)
- credit risk (1)
- creditors runs (1)
- crises (1)
- cross-equation restrictions of rational expectations (1)
- cross-section (1)
- cryptocurrencies (1)
- debt cost (1)
- democracy (1)
- deposit guarantee scheme (1)
- derivatives (1)
- diesel (1)
- digital planning tool (1)
- digitale Geschäftsmodelle (1)
- disagreement (1)
- disaster risk (1)
- discourse analysis (1)
- discrimination (1)
- economic governance (1)
- economies of scale (1)
- electricity (1)
- endogeneity (1)
- energy crisis (1)
- equity cost (1)
- experts (1)
- external instruments (1)
- factorization of matrix polynomials (1)
- filtering (1)
- finance (1)
- finance and development (1)
- finance wage premium (1)
- financial distress (1)
- financial solidarity (1)
- fintech (1)
- fiscal rules (1)
- fiscal solidarity (1)
- frequent batch auctions (1)
- gasoline (1)
- gasoline supply (1)
- gasoline tax (1)
- geistiges Eigentum (1)
- geo-economics (1)
- government bonds (1)
- green financing (1)
- high-frequency trading (1)
- identification (1)
- index funds (1)
- inequality (1)
- inflation (1)
- inflation expectations (1)
- inflation surge (1)
- insider trading (1)
- institutions (1)
- investment behavior (1)
- investment decisions (1)
- investment forum (1)
- investor coalitions (1)
- jet fuel (1)
- justification (1)
- kapitalgedeckte Alterssicherung (1)
- labelling (1)
- latency arbitrage (1)
- leverage constraint (1)
- life expectancy (1)
- liquidity provision (1)
- loanable funds (1)
- longevity (1)
- machine learning (1)
- market design (1)
- market microstructure (1)
- market supervision (1)
- market-making (1)
- monetary policy (1)
- monetary policy rule (1)
- monetary system (1)
- monetary transmission (1)
- money (1)
- money creation (1)
- moral hazar (1)
- motivated reasoning (1)
- national interest (1)
- neoinstitutionalism (1)
- net zero transition (1)
- net-zero transition (1)
- normative orders (1)
- oil (1)
- opinion (1)
- orthogonalization (1)
- ownership disclosure (1)
- pass-through (1)
- passive investors (1)
- pathogenic lichenicolous fungi (1)
- pensions (1)
- persistent or transitory inflation shock (1)
- polarization (1)
- policy reform (1)
- policy rule (1)
- politicization (1)
- profit weights (1)
- property rights (1)
- proprietary trading (1)
- randomized control trial (1)
- randomized controlled trial (1)
- rebel governance (1)
- reconciliation of Lucas's advocacy of rational-expectations modelling and policy predictions and Sims's advocacy of VAR modelling (1)
- recursive utility (1)
- regulation (1)
- rehypothecation (1)
- repo market (1)
- retirement (1)
- retirement expectations (1)
- retirement planning (1)
- risk preference (1)
- safe assets (1)
- saving behavior (1)
- savings banks (1)
- securities lending (1)
- sharing economy (1)
- simultaneity (1)
- skill-biased technological change (1)
- sniping (1)
- social impact (1)
- social movements (1)
- social networks (1)
- sovereign bonds (1)
- sovereign debt (1)
- stabilization (1)
- stock market investment (1)
- structural power (1)
- städtebauliches Instrument (1)
- survey (1)
- survey experiment (1)
- survey forecasts (1)
- sustainability disclosures (1)
- tax arbitrage (1)
- taxes (1)
- trust (1)
- venture capital (1)
- worker-firm panels (1)
Institute
- Wirtschaftswissenschaften (99)
- Center for Financial Studies (CFS) (83)
- Sustainable Architecture for Finance in Europe (SAFE) (81)
- House of Finance (HoF) (69)
- Foundation of Law and Finance (24)
- Rechtswissenschaft (21)
- Institute for Monetary and Financial Stability (IMFS) (14)
- Exzellenzcluster Die Herausbildung normativer Ordnungen (6)
- Geographie (5)
- Gesellschaftswissenschaften (4)
Supranational supervision
(2022)
We exploit the establishment of a supranational supervisor in Europe (the Single Supervisory Mechanism) to learn how the organizational design of supervisory institutions impacts the enforcement of financial regulation. Banks under supranational supervision are required to increase regulatory capital for exposures to the same firm compared to banks under the local supervisor. Local supervisors provide preferential treatment to larger institutes. The central supervisor removes such biases, which results in an overall standardized behavior. While the central supervisor treats banks more equally, we document a loss in information in banks’ risk models associated with central supervision. The tighter supervision of larger banks results in a shift of particularly risky lending activities to smaller banks. We document lower sales and employment for firms receiving most of their funding from banks that receive a tighter supervisory treatment. Overall, the central supervisor treats banks more equally but has less information about them than the local supervisor.
The loan impairment rules recently introduced by IFRS 9 require banks to estimate their future credit losses by using forward-looking information. We use supervisory loan-level data from Germany to investigate how banks apply their reporting discretion and adjust their lending upon the announcement of the new rules. Our identification strategy exploits a cut-off for the level of provisions at the investment grade threshold based on banks’ internal rating of a borrower. We find that banks required to adopt the new rules assign better internal ratings to exactly the same borrowers compared to banks that do not apply IFRS 9 around this cut-off. This pattern is consistent with a strategic use of the increased reporting discretion that is inherent to rules requiring forward-looking loss estimation. At the same time, banks also reduce their lending exposure to exactly those borrowers at the highest risk of experiencing a rating downgrade below the cutoff. These loans would be associated with additional provisions in future periods, both in the intensive and extensive margin. The lending change thus mitigates some of the negative effects of increased reporting opportunism on banks’ crisis resilience. However, when these firms with internal ratings around the investment grade cut-off obtain less external funding through banks, the introduction of IFRS 9 will likely also be associated with real economic effects
he ECB is independent, but it is also accountable to the European parliament (EP). Yet, how the EP has held the ECB accountable has largely been overlooked. This paper starts addressing this gap by providing descriptive statistics of three accountability modalities. The paper highlights three findings. First, topics of accountability have changed. Climate-related accountability has increased quickly and dramatically since 2017. Second, if the relationship between price stability and climate change remains an object of conflict among MEPs, a majority within the EP has emerged to put pressure for the ECB to take a more active stance against climate change, precisely on behalf of its price stability mandate. Third, MEPs engage with the climate topic in very specific ways. There is a gender divide between the climate and the price stability topics. Women engage more actively with climate-related topics. While the Greens heavily dominate the climate topic, parties from the Right dominate the topic of Price stability. Finally, MEPs adopt a more united strategy and a particularly low confrontational tone in their climate-related interventions.
This study examines the recent literature on the expectations, beliefs and perceptions of investors who incorporate Environmental, Social, Governance (ESG) considerations in investment decisions with the aim to generate superior performance and also make a societal impact. Through the lens of equilibrium models of agents with heterogeneous tastes for ESG investments, green assets are expected to generate lower returns in the long run than their non- ESG counterparts. However, at the short run, ESG investment can outperform non-ESG investment through various channels. Empirically, results of ESG outperformance are mixed. We find consensus in the literature that some investors have ESG preference and that their actions can generate positive social impact. The shift towards more sustainable policies in firms is motivated by the increased market values and the lower cost of capital of green firms driven by investors’ choices.
Employing the art-collection records of Burton and Emily Hall Tremaine, we consider whether early-stage art investors can be understood as venture capitalists. Because the Tremaines bought artists’ work very close to an artwork’s creation, with 69% of works in our study purchased within one year of the year when they were made, their collecting practice can best be framed as venture-capital investment in art. The Tremaines also illustrate art collecting as social-impact investment, owing to their combined strategy of art sales and museum donations for which the collectors received a tax credit under US rules. Because the Tremaines’ museum donations took place at a time that U.S. marginal tax rates from 70% to 91%, the near “donation parity” with markets, creating a parallel to ESG investment in the management of multiple forms of value.
The authors estimate perceptions about the Fed's monetary policy rule from panel data on professional forecasts of interest rates and macroeconomic conditions. The perceived dependence of the federal funds rate on economic conditions is time-varying and cyclical: high during tightening episodes but low during easings. Forecasters update their perceptions about the policy rule in response to monetary policy actions, measured by high-frequency interest rate surprises, suggesting that forecasters have imperfect information about the rule. The perceived rule impacts asset prices crucial for monetary policy transmission, driving how interest rates respond to macroeconomic news and explaining term premia in long-term interest rates.
When the COVID-19 crisis struck, banks using internal-rating based (IRB) models quickly recognized the increase in risk and reduced lending more than banks using a standardized approach. This effect is not driven by borrowers’ quality or by banks in countries with credit booms before the pandemic. The higher risk sensitivity of IRB models does not always result in lower credit provision when risk intensifies. Certain features of the IRB models – the use of a downturn Loss Given Default parameter – can increase banks’ resilience and preserve their intermediation capacity also during downturns. Affected borrowers were not able to fully insulate and decreased corporate investments.
Many nations incentivize retirement saving by letting workers defer taxes on pension contributions, imposing them when retirees withdraw their funds. Using a dynamic life cycle model, we show how ‘Rothification’ – that is, taxing 401(k) contributions rather than payouts – alters saving, investment, consumption, and Social Security claiming patterns. We find that taxing pension contributions instead of withdrawals leads to delayed retirement, somewhat lower lifetime tax payments, and relatively small reductions in consumption. Indeed, the two tax regimes generate quite similar relative inequality metrics: the relative consumption inequality ratio under TEE is only four percent higher than in the EET case. Moreover, results indicate that the Gini measures are also strikingly similar under the EET and the TEE regimes for lifetime consumption, cash on hand, and 401(k) assets, differing by only 1-4 percent. While tax payments are higher early in life under the TEE regime, they are slightly lower in the long run. Moreover, higher EET tax payments are also accompanied by higher volatility. We therefore find few reasons for policymakers to favor either tax approach on egalitarian or revenue-enhancing grounds.
Many people do not understand the concepts of life expectancy and longevity risk, potentially leading them to under-save for retirement or to not purchase longevity insurance, which in turn could reduce wellbeing at older ages. We investigate alternative ways to increase the salience of both concepts, allowing us to assess whether these change peoples’ perceptions and financial decision making. Using randomly-assigned vignettes providing subjects with information about either life expectancy or longevity, we show that merely prompting people to think about financial decisions changes their perceptions regarding subjective survival probabilities. Moreover, this information also boosts respondents’ interest in saving and demand for longevity insurance. In particular, longevity information influences both subjective survival probabilities and financial decisions, while life expectancy information influences only annuity choices. We provide some evidence that many people are simply unaware of longevity risk.
Advances in Machine Learning (ML) led organizations to increasingly implement predictive decision aids intended to improve employees’ decision-making performance. While such systems improve organizational efficiency in many contexts, they might be a double-edged sword when there is the danger of a system discontinuance. Following cognitive theories, the provision of ML-based predictions can adversely affect the development of decision-making skills that come to light when people lose access to the system. The purpose of this study is to put this assertion to the test. Using a novel experiment specifically tailored to deal with organizational obstacles and endogeneity concerns, we show that the initial provision of ML decision aids can latently prevent the development of decision-making skills which later becomes apparent when the system gets discontinued. We also find that the degree to which individuals 'blindly' trust observed predictions determines the ultimate performance drop in the post-discontinuance phase. Our results suggest that making it clear to people that ML decision aids are imperfect can have its benefits especially if there is a reasonable danger of (temporary) system discontinuances.