Thema Finanzmärkte

Long Memory and Data Frequency in Financial Markets

This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly). The analysis is carried out for various financial markets (stock markets, FOREX, commodity markets) over the period from 2000 to 2016 using two different long memory approaches (R/S analysis and fractional integration) for robustness purposes. The results indicate that persistence ...

Central Bank Policy Rates: Are They Cointegrated?

This paper analyses the stochastic properties of and the bilateral linkages between the central bank policy rates of the US, the Eurozone, Australia, Canada, Japan and the UK using fractional integration and cointegration techniques respectively. The univariate analysis suggests a high degree of persistence in all cases: the fractional integration parameter d is estimated to be above 1, ranging from ...

Don't Stop Me Now: The Impact of Credit Market Fragmentation on Firms' Financing Constraints

This paper investigates how the withdrawal of banks from their cross-border business impacted the borrowing costs of European firms since the crisis. We combine aggregate information on total and cross-border credit with firm-level survey data for the period 2010 - 2014. We find that the decline in cross-border lending led to a deterioration in the borrowing conditions of small firms. In countries ...

Euro Area Government Bonds: Fragmentation and Contagion during the Sovereign Debt Crisis

The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification. The paper finds that euro ...

Ein Bündnis für Europa

Finanzsektor: Banken fallen zurück: Frauenanteil jetzt auch in Aufsichtsräten geringer als bei Versicherungen

Nach wie vor sind Frauen in Spitzengremien des Finanzsektors deutlich in der Minderheit. Dem Managerinnen-Barometer des DIW Berlin zufolge waren die Aufsichts- und Verwaltungsräte der 100 größten Banken Ende des Jahres 2016 zu gut 21 Prozent mit Frauen besetzt. Damit stagnierte der Anteil gegenüber dem vorangegangenen Jahr. Auffallend ist die geringere Dynamik nach dem Jahr 2010 im Vergleich zu den ...

Unternehmen sollten alle Hierarchieebenen stärker mit Frauen besetzen: Interview mit Elke Holst

The Inflation Targeting Debate

Inflation targeting has become one of the most prominent monetary regimes around the globe. Proponents argue that it reduces the dynamic inconsistency problem of monetary policy and thereby stabilises prices, which in turn promotes growth. Opponents, on the other hand, say that by focusing on price stability inflation targeting neglects other important policy objectives, such as financial stability, ...

Financial Sector: Banks Fall behind and Now Have a Lower Proportion of Women on Executive and Advisory Boards than Insurance Companies

Women are still in the clear minority among the financial sector’s top decision-making bodies. According to DIW Berlin’s Women Executives Barometer, at the end of 2016, 21 percent of the supervisory and administrative board members of the 100 largest banks were female. The number has stagnated compared to last year. Since 2010, when the discussion about the gender quota for supervisory boards gained ...

Companies Should Have More Women on All Levels of the Hierarchy: Seven Questions for Elke Holst