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DIW Wochenbericht 3 / 2020

Die Stresstests sind nur so gut wie die Daten, auf denen sie beruhen: Interview

2020| Justus Inhoffen, Vikki Schaefer
DIW Wochenbericht 3 / 2020

Finanzstabilität: Neue, detaillierte Datensätze erlauben Weiterentwicklung von Stresstests

Die Finanzkrise der Jahre 2008 bis 2010 hat deutlich gemacht, dass der Finanzaufsicht die nötigen Informationen fehlten, um Risikotreiber im Finanzsystem genau und rechtzeitig zu identifizieren. Um für künftige Krisen besser gewappnet zu sein, wurde eine Reihe von Gesetzgebungen in Europa und darüber hinaus verabschiedet. Umfang und Detailgrad der Daten, die seither auch aus zuvor unberücksichtigten ...

2020| Justus Inhoffen, Iman van Lelyveld
DIW Weekly Report 3 / 2020

Financial Stability: New, Detailed Datasets Allow for Innovation of Stress Tests

The 2008-2010 crisis has shown that authorities were missing crucial information necessary to identify risks to the financial system in an accurate and timely manner. To be prepared for future crises, a range of legislation in Europe and beyond was passed. The scope and depth of information being reported from across the financial system, including previously disregarded segments, have thus significantly ...

2020| Justus Inhoffen, Iman van Lelyveld
Diskussionspapiere 1937 / 2021

Crowding of International Mutual Funds

We study the relationship between crowding and performance in the active mutual fund industry. We construct a fund-specific measure of crowding using the equity holdings overlap of 17,364 global funds. Funds in the top decile of crowding underperform passive benchmark funds by 1.4% per year. The impact of crowding on performance cannot be attributed to diseconomies of scale. We explore several mechanisms: ...

2021| Tanja Artiga Gonzalez, Teodor Dyakov, Justus Inhoffen, Evert Wipplinger
DIW Roundup 129 / 2019

Stability Implications of Financial Interconnectedness under the Capital Markets Union

In the run-up to the European elections in May 2019, the European Commission is trying to advance the initiatives laid out in its action plan for a European Capital Markets Union (CMU). In order to diversify financing sources and to increase private risk sharing, the CMU aims at deepening the integration of European equity and debt markets. While there are benefits associated with more cross-border ...

2019| Justus Inhoffen
Externe referierte Aufsätze

Minimum Prices and Social Interactions: Evidence from the German Renewable Energy Program

Minimum prices above the competitive level can lead to allocative inefficiencies. We investigate whether this effect is more pronounced when decision makers are influenced by their social environment. Using data of minimum prices for renewable energy production in Germany, we test if individual decisions to install photovoltaic systems are affected by the investment decisions of others in the area. ...

In: Energy Economics 78 (2019), S. 350-364 | Justus Inhoffen, Christoph Siemroth, Philipp Zahn
Weitere Aufsätze

Indirect Interconnectedness - Portfolio Overlap in the Euro Area

In: Global Monitoring Report on Non-Bank Financial Intermediation 2018
Basel: Financial Stability Board
S. 36-38
| Nick Bootsma, Peter Wierts, Iman van Lelyveld, Justus Inhoffen
Monographien

Low for Long: Side Effects of Negative Interest Rates: Study Requested by the ECON committee

Policy rate cuts in negative territory have increased credit supply and improved the macroeconomic environment similar to cuts in positive territory. Dreaded disruptions to the monetary policy transmission channels as well as adverse side effects on bank profitability have so far largely failed to materialise. Thus, the evidence available today shows that the negative interest rate policy is an effective ...

Bruxelles: European Parliament, 2021, 37 S.
(Monetary Dialogue Papers ; June 2021)
| Justus Inhoffen, Atanas Pekanov, Thomas Url
Zeitungs- und Blogbeiträge

Bessere Daten, weniger Stress: Finanzstabilität

In: Makronom (10.02.2020), [Online-Artikel] | Justus Inhoffen, Iman van Lelyveld
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