Thema Finanzmärkte

The Term Structure of Redenomination Risk

This paper assesses redenomination risk in the euro area. We first estimate daily default-risk-free yield curves for French, German, and Italian bonds that can be redenominated and for bonds that cannot. Then, we extract the compensation for redenomination risk from the yield spreads between these two types of bonds. Redenomination risk primarily shows up at the short end of yield curves. At the height ...

Systematic Intervention and Currency Risk Premia

Using data for the trades of 19 central banks intervening in currency markets, we show that leaning against the wind by individual central banks leads to "systematic intervention" in the aggregate central banking sector. This systematic intervention is driven by and impacts on the same factors that drive currency excess returns: carry, momentum, value, and a dollar factor. The sensitivity of an individual ...

The Impact of Institutions on Bank Governance and Stability: Evidence from African Countries

This paper sheds new light on how African countries’ legal systems and institutions influence the governance and stability of their banks. We find that institutional factors, in particular the legal family of origin, political stability, contract enforcement and strength of investor protection promote central corporate governance reforms. Using a difference-in-difference approach, we also reveal that ...

A Stabilization Fund Can Make the Euro Area More Crisis-Proof

Reorganizing European fiscal policy is a main topic in current reform considerations. In particular, the creation of a European stabilization mechanism is being discussed. This study examines the macroeconomic effects of a stabilization fund, the economic consequences of which are analyzed in an equilibrium model. The model shows that a stabilization fund reduces economic fluctuations and is thus a ...

Ein Stabilisierungsfonds kann den Euroraum krisenfester machen

Eine Neugestaltung der europäischen Fiskalpolitik ist ein Kernthema aktueller Reformüberlegungen. Dabei wird insbesondere über die Schaffung eines europäischen Stabilisierungsmechanismus diskutiert. Diese Studie befasst sich mit den zu erwartenden makroökonomischen Auswirkungen eines Stabilisierungsfonds, dessen konjunkturelle Folgen in einem Gleichgewichtsmodell untersucht werden. Es zeigt sich, dass ...

Eine neue Finanzarchitektur für die Europäische Union ist lange überfällig: Kommentar

The Relation between Monetary Policy and the Stock Market in Europe

We use a cointegrated structural vector autoregressive model to investigate the relation between euro area monetary policy and the stock market. Since there may be an instantaneous causal relation we consider long-run identifying restrictions for the structural shocks and also use (conditional) heteroskedasticity in the residuals for identification purposes. Heteroskedasticity is modelled by a Markov-switching ...

Wie man aus einer Mücke einen Elefanten macht: wieso das Target-System ein Anker der Stabilität für Deutschland und Europa ist

Die Forderungen der Bundesbank gegenüber der Europäischen Zentralbank (EZB) aus dem Zahlungssystem Target2 nähern sich der 1000-Milliarden-Euro-Marke. Einige deutsche Ökonomen warnen vor enormen Risiken und Verlusten für Deutschland. Eine genaue Ursachenanalyseund Risikoeinschätzung zeigt aber deutlich, dass ein dysfunktionales Interbankensystem sowie der Abzug von Kapital deutscher Banken aus den ...

A Novel Sampling Strategy for Surveying High-Worth Individuals - An Application Using the Socio-Economic Panel

High-worth individuals are typically underrepresented or completely missing in population surveys. The lack of a register-based sampling frame on high-worth individuals in many countries challenged previous attempts to sample high-worth individuals in voluntary scientific surveys. In a novel research design, we draw on register data on the shareholding structures of companies as a sampling frame. Our ...

Zehn Jahre Lehmann: Erinnern ist Schutz