(2013), 25, 7 S.
| Marcel Fratzscher
Diskussionspapiere 1349 / 2013
This paper investigates the factors influencing banks' decision to engage in advanced risk management, from both a theoretical and an empirical perspective. In recent decades, credit risk management in banks has become highly sophisticated and banks have become more active and advanced in the management of credit risks. We identify two driving factors for risk management: bank competition and sector ...
2013| Dilek Bülbül, Hendrik Hakenes, Claudia Lambert
Diskussionspapiere 1346 / 2013
We explore the impact of large banks and of financial openness for aggregate growth. Large banks matter because of granular effects: if markets are very concentrated in terms of the size distribution of banks, idiosyncratic shocks at the bank-level do not cancel out in the aggregate but can affect macroeconomic outcomes. Financial openness may affect GDP growth in and of itself, and it may also influence ...
2013| Franziska Bremus, Claudia M. Buch
Diskussionspapiere 1348 / 2013
Does the mere presence of big banks affect macroeconomic outcomes? In this paper, we develop a theory of granularity (Gabaix, 2011) for the banking sector, introducing Bertrand competition and heterogeneous banks charging variable markups. Using this framework, we show conditions under which idiosyncratic shocks to bank lending can generate aggregate fluctuations in the credit supply when the banking ...
2013| Franziska Bremus, Claudia M. Buch, Katheryn N. Russ, Monika Schnitzer
Diskussionspapiere 1343 / 2013
Are capital controls and macroprudential measures successful in achieving their objectives? Assessing their effectiveness is complicated by selection bias and endogeneity; countries which change their capital-flow management measures (CFMs) often share specific characteristics and are responding to changes in variables that the CFMs are intended to influence. This paper addresses these challenges by ...
2013| Kristin Forbes, Marcel Fratzscher, Roland Straub
Diskussionspapiere 1344 / 2013
Patterns in cross-border banking have changed since the global financial crisis. This may affect domestic bank market structures and macroeconomic stability in the longer term. In this study, I theoretically and empirically analyze how different modes of cross-border banking impact bank concentration. I use a two- country general equilibrium model with heterogeneous banks developed by De Blas and Russ ...
2013| Franziska Bremus
Diskussionspapiere 1333 / 2013
This paper studies the impact of credit rating agency (CRA) announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012. The employed GARCH models show that CRA downgrade announcements negatively affected the value of the Euro currency and also increased its volatility. Downgrading ...
2013| Christopher F. Baum, Margarita Karpava, Dorothea Schäfer, Andreas Stephan
Referierte Aufsätze Web of Science
We analyze the relationship between asset prices and the trade balance estimating a Bayesian VAR for a broad set of 38 industrialized and emerging market countries. To derive model-based identifying restrictions, we model asset price shocks as news shocks about future productivity in a two-country dynamic stochastic general equilibrium model. Such shocks are found to exert sizable effects on the trade ...
Journal of Money, Credit and Banking
45 (2013), 7, S. 1211-1251
| Marcel Fratzscher, Roland Straub
Referierte Aufsätze Web of Science
We investigate the long run relationship between private consumption, disposable income and wealth approximated by equity and house price indices for a panel of 15 industrialized countries. Consumption, income and wealth are cointegrated in their common components. The impact of house prices exceeds the effect arising from equity wealth. The long run vector is broadly in line with the life cycle permanent ...
Portuguese Economic Journal
11 (2012), 1, S. 21-34
| Christian Dreger, Hans-Eggert Reimers
Diskussionspapiere 1254 / 2012
This paper adopts a flexible framework to assess both short- and long-run business cycle linkages between six Latin American (LA) countries and the four largest economies in the world (namely the US, the Euro area, Japan and China) over the period 1980:I-2011:IV. The result indicate that within the LA region there are considerable differences between countries, success stories coexisting with extremely ...
2012| Guglielmo Maria Caporale, Alessandro Girardi