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Refereed essays Web of Science
This paper focuses on the identification of the causal relationship between central banks' supervisory guidance and individual bank stability. We propose and test the hypothesis that this causal relationship is mediated by the degree to which banks comply with their central bank's corporate governance recommendations. Specifically, we exploit the fact that there is considerable cross-country heterogeneity ...
In:
Emerging Markets Review
43 (2020), 100694, 19 S.
| Samuel Mutarindwa, Dorothea Schäfer, Andreas Stephan
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Refereed essays Web of Science
A regime shift toward increased inflation expectations is credited with jump-starting the recov- ery from the Great Depression in the United States. What role did inflation expectations play in Germany that experienced a similarly successful economic upturn in the 1930s? We study infla- tion expectations in the German recovery across several methods: we conduct a narrative study of media sources; we estimate ...
In:
Explorations in Economic History
75 (2020), 101305, 18 S.
| Volker Daniel, Lucas ter Steege
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Refereed essays Web of Science
We assess whether compliance with Basel III’s main requirements, the Net Stable Funding Ratio (NSFR) and the risk-weighted Total Capital Ratio (TCR), matters for lending and stability of African banks. Banks with an NSFR or a TCR of at least the required minimum are defined as treatment group in the endogenous treatment estimations. Our results reveal that African banks complying with the capital threshold ...
In:
Journal of International Financial Markets, Institutions & Money
67 (2020), 101201, S. 1-20
| Samuel Mutarindwa, Dorothea Schäfer, Andreas Stephan
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Refereed essays Web of Science
We study the characteristics of inflation targeting as a shock absorber, using quarterly data for a large panel of countries. To overcome an endogeneity problem between monetary regimes and the likelihood of crises, we propose to study large natural disasters. We find that inflation targeting improves macroeconomic performance following such exogenous shocks. It lowers inflation, raises output growth, ...
In:
Journal of International Economics
123 (2020), 103308, 16 S.
| Marcel Fratzscher, Christoph Große Steffen, Malte Rieth
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Refereed essays Web of Science
Motivated by the action plan for a European capital markets union (CMU), this paper analyzes the potential for legal harmonization and convergence in institutional quality to affect capital market integration. Based on hand-collected data on the implementation of EU-directives, our analysis yields three key insights. First, legal harmonization promotes portfolio equity holdings. Second, discrepancies ...
In:
Journal of International Money and Finance
107 (2020), 102217, 19 S.
| Franziska Bremus, Tatsiana Kliatskova
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Refereed essays Web of Science
Regulatory bank levies set incentives for banks to reduce leverage. At the same time, corporate income taxation makes funding through debt more attractive. In this paper, we explore how regulatory levies affect bank capital structure, depending on corporate income taxation. Based on bank balance sheet data from 2006 to 2014 for a panel of EU-banks, our analysis yields three main results: The introduction ...
In:
Journal of Banking & Finance
118 (2020), 105874
| Franziska Bremus, Kirsten Schmidt, Lena Tonzer
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Refereed essays Web of Science
We estimate the effect of government spending shocks on the U.S. economy with a time‐varying parameter vector autoregression. The recent Great Recession period appears to be characterized by uniquely large impulse responses of output to fiscal shocks. Moreover, the particularity of this period is underlined by highly unusual responses of several other variables. The pattern of fiscal shock responses ...
In:
Journal of Money, Credit and Banking
51 (2019), 5, S. 1237-1264
| Mathias Klein, Ludger Linnemann
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Refereed essays Web of Science
The article analyses the empirical relationship between bank credit risk and sovereign credit risk in the euro area, using a system of simultaneous equations identified through heteroskedasticity. We first confirm a two-way causality between both risks, which amplifies initial credit risk shocks. We also document significant credit risk spillovers between sovereigns and banks in the periphery and the ...
In:
Review of Finance
23 (2019), 4, S. 745-775
| Marcel Fratzscher, Malte Rieth
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Refereed essays Web of Science
This paper examines foreign exchange intervention based on novel daily data covering 33 countries from 1995 to 2011. We find that intervention is widely used and an effective policy tool, with a success rate in excess of 80 percent under some criteria. The policy works well in terms of smoothing the path of exchange rates, and in stabilizing the exchange rate in countries with narrow band regimes. ...
In:
American Economic Journal: Macroeconomics
11 (2019), 1, S. 132-156
| Marcel Fratzscher, Oliver Gloede, Lukas Menkhoff, Lucio Sarno, Tobias Stöhr
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Refereed essays Web of Science
The financial crisis led to a deep recession in many industrial countries. While large emerging countries recovered relatively quickly, their performance deteriorated in recent years, despite the modest recovery in advanced economies. The higher divergence of business cycles is closely linked to the Chinese economy. During the crisis, the Chinese fiscal stimulus prevented an abrupt decline in GDP growth ...
In:
The World Economy
42 (2019), 1, S. 122-142
| Ansgar Belke, Christian Dreger, Irina Dubova