-
Refereed essays Web of Science
Euro area countries and Japan are confronted with similar challenges. Potential output is on a declining trend in the Euro area, and the decrease started well before the financial crisis. In Japan, low-output growth is a striking feature since many years, despite the unconventional monetary policy stance and numerous fiscal stimulus programs provided by the government. According to a growth accounting ...
In:
Asia Europe Journal
15 (2017), 4, S. 363-375
| Christian Dreger
-
Refereed essays Web of Science
The paper aims at measuring the general state intervention in rental housing market in Germany from 1913 through 2015. Four policy classes are considered: Incentives for social housing, tenant protection, housing rationing, and rent controls. Based on a legislation analysis, for each class an index measuring the degree of regulation is constructed. The indices reflect dramatic increases in regulations ...
In:
Urban Research and Practice
10 (2017), 3, S. 267-328
| Konstantin A. Kholodilin
-
Refereed essays Web of Science
(G)ARCH-type models are frequently used for the dynamic modelling and forecasting of risk attached to speculative asset returns. While the symmetric and conditionally Gaussian GARCH model has been generalized in a manifold of directions, model innovations are mostly presumed to stem from an underlying IID distribution. For a cross section of 18 stock market indices, we notice that (threshold) (T)GARCH-implied ...
In:
Quantitative Finance
17 (2017), 1, S. 121-137
| Benjamin Beckers, Helmut Herwartz, Moritz Seidel
-
Refereed essays Web of Science
This paper proposes a rating methodology that is based on a non-linear classification method, a support vector machine, and a non-parametric isotonic regression for mapping rating scores into probabilities of default. We also propose a four data set model validation and training procedure that is more appropriate for credit rating data commonly characterised with cyclicality and panel features. Tests ...
In:
Statistics & Risk Modeling
34 (2017), 1-2, S. 55-67
| Rouslan A. Moro, Wolfgang K. Härdle, Dorothea Schäfer
-
Refereed essays Web of Science
We revisit Ball and Romer’s (1990) canonical model of price setting with menu costs that exhibits multiple equilibria. We show that changes to firms’ markups move nominal and real rigidities in opposite directions. Using game-theoretic tools to derive a unique equilibrium, we find that accounting for agents’ endogenous adjustment of price expectations further weakens the link between real and nominal ...
In:
Economics Letters
156 (2017), S. 129-132
| Philipp König, Alexander Meyer-Gohde
-
Refereed essays Web of Science
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 ...
In:
Journal of Banking & Finance
77 (2017), S. 300-316
| Franziska Bremus, Claudia M. Buch
-
Refereed essays Web of Science
This paper tests whether an increase in insured deposits causes banks to become more risky. We use variation introduced by the U.S. Emergency Economic Stabilization Act in October 2008, which increased the deposit insurance coverage from $100,000 to $250,000 per depositor and bank. For some banks, the amount of insured deposits increased significantly; for others, it was a minor change. Our analysis ...
In:
Journal of Financial Intermediation
29 (2017), S. 81-102
| Claudia Lambert, Felix Noth, Ulrich Schüwer
-
Refereed essays Web of Science
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 ...
In:
Journal of International Money and Finance
70 (2017), S. 26-44
| Michael Ehrmann, Marcel Fratzscher
-
Refereed essays Web of Science
This paper characterizes capital taxation and public debt policy in a quantitative macroeconomic model with an impatient government and uncertainty. The government has access to linear taxes on capital and labor, and to non-state-contingent bonds. Government impatience generates positive and empirically realistic long-run levels of both capital taxes and public debt. Prior predictive analysis shows ...
In:
Journal of Economic Dynamics & Control
85 (2017), S. 1-20
| Malte Rieth
-
Refereed essays Web of Science
We employ a structural global VAR model to analyze whether U.S. unconventional monetary policy shocks, identified through changes in the central bank’s balance sheet, have an impact on financial and economic conditions in emerging market economies (EMEs). Moreover, we study whether international capital flows are an important channel of shock transmission. We find that an expansionary policy shock ...
In:
Journal of International Money and Finance
73 (2017), Part B., S. 275-295
| Pablo Anaya, Michael Hachula, Christian J. Offermanns