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DIW Discussion Papers 1781 / 2019
We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock leads to a short-run increase in the credit risk of non-financial corporations. This dysfunctionality of the credit channel is driven by the crisis-dominated post-2009 ...
2019| Chi Hyun Kim, Lars Other
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DIW Discussion Papers 1780 / 2019
This article studies the evolution of housing rents in St. Petersburg between 1880 and 1917, covering an eventful period of Russian and world history. We collect and digitize over 5,000 rental advertisements from a local newspaper, which we use together with geo-coded addresses and detailed structural characteristics to construct a quality-adjusted rent price index in continuous time. We provide the ...
2019| Konstantin A. Kholodilin, Leonid Limonov, Sofie R. Waltl
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DIW Discussion Papers 1778 / 2019
In the shadow of homeownership and public housing, social policy through the regulation of private rental markets is a neglected and underestimated field of social policy. This paper, therefore, presents unique new data on the development of private tenancy legislation through the binary coding of rent control, the protection of tenants from eviction, and rental housing rationing laws across more than ...
2019| Konstantin A. Kholodilin, Sebastian Kohl, Yulia Prozorova, Julien Licheron
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DIW Discussion Papers 1768 / 2018
This paper analyzes links between institutional harmonization and bilateral portfolio debt and equity holdings at the sectoral level. Motivated by the action plan for the European Capital Markets Union, we examine the potential for legal harmonization and convergence in institutional quality to affect financial structures. Our analysis yields three key insights. First, legal harmonization across the ...
2018| Franziska Bremus, Tatsiana Kliatskova
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DIW Discussion Papers 1757 / 2018
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 ...
2018| Franziska Bremus, Kirsten Schmidt, Lena Tonzer
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DIW Discussion Papers 1755 / 2018
This paper investigates the evolution of inflation dynamics in the five largest ASEAN countries between 1997 and 2017. To account for changes in the monetary policy frameworks since the Asian Financial Crisis (AFC), the analysis is based on country-specific Phillips Curves allowing for time-varying parameters. The paper finds evidence of a higher degree of forward-looking dynamics and a better anchoring ...
2018| Geraldine Dany-Knedlik, Juan Angel Garcia
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DIW Discussion Papers 1754 / 2018
We estimate the effect of government spending shocks on the US 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 ...
2018| Mathias Klein, Ludger Linnemann
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DIW Discussion Papers 1749 / 2018
We develop a structural vector autoregressive framework that combines external instruments and heteroskedasticity for identification of monetary policy shocks. We show that exploiting both types of information sharpens structural inference, allows testing the relevance and exogeneity condition for instruments separately using likelihood ratio tests, and facilitates the economic interpretation of the ...
2018| Thore Schlaak, Malte Rieth, Maximilian Podstawski
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DIW Discussion Papers 1740 / 2018
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 ...
2018| Christian Bayer, Chi Hyun Kim, Alexander Kriwoluzky
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DIW Discussion Papers 1739 / 2018
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 ...
2018| Samuel Mutarindwa, Dorothea Schäfer, Andreas Stephan