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Topic Financial Markets

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Externe referierte Aufsätze

Asset Prices, News Shocks, and the Trade Balance

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 ...

In: Journal of Money, Credit and Banking 45 (2013), 7, S. 1211-1251 | Marcel Fratzscher, Roland Straub
Zeitungs- und Blogbeiträge

Big Banks and Macroeconomic Outcomes

In: (10.07.2013), [Online-Artikel] | Franziska Bremus, Claudia M. Buch, Katheryn N. Russ, Monika Schnitzer

On Using Markov Switching Time Series Models to Verify Structural Identifying Restrictions and to Assess Public Debt Sustainability: Thesis

The first paper in this thesis deals with the issue of whether there are bubble components in stock prices. This is joint research with Wenjuan Chen (Free Universtiy Berlin). We investigate existing bivariate structural vector autoregressive (SVAR) models and test their identifying restriction by means of a Markov switching (MS) in heteroskedasticity model. We use data from six different countries ...

Florence: European University Institute, 2013, 111 S. | Anton Velinov
Diskussionspapiere 1336 / 2013

Institutional Herding in Financial Markets: New Evidence through the Lens of a Simulated Model

Due to data limitations and the absence of testable, model-based predictions, theory and evidence on herd behavior are only loosely connected. This paper contributes towards closing this gap in the herding literature. We use numerical simulations of a herd model to derive new, theory-based predictions for aggregate herding intensity. Using high-frequency, investor-specific trading data we confirm the ...

2013| Christopher Boortz, Simon Jurkatis, Stephanie Kremer, Dieter Nautz
Diskussionspapiere 1322 / 2013

Clustering Properties of Merger Waves: Space, Time or Industry?

We study the degree of agglomeration of acquisition activity within clusters of temporal, geographic and industrial proximity based on almost 600,000 individual transactions. The findings indicate that significant clustering occurs in time and across industries, while the results on geographic clustering are mixed. This supports the view that merger waves are mostly driven by neoclassical motives. ...

2013| Florian Szücs
Diskussionspapiere 1346 / 2013

Granularity in Banking and Growth: Does Financial Openness Matter?

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

Big Banks and Macroeconomic Outcomes: Theory and Cross-Country Evidence of Granularity

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

Capital Controls and Macroprudential Measures: What Are They Good For?

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

Cross-Border Banking, Bank Market Structures and Market Power: Theory and Cross-Country Evidence

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 1349 / 2013

What Influences Banks' Choice of Risk Management Tools? Theory and Evidence

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
733 results, from 521