Skip to content!

Topic Financial Markets

clear
0 filter(s) selected
close
Go to page
remove add
892 results, from 621
  • Externe Monographien

    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 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
  • 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 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 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 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 1333 / 2013

    Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis

    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
  • Refereed essays Web of Science

    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
  • Externe Monographien

    The "Celtic Crisis": Guarantees, Tranparency and Systemic Liquidity Risk

    Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign's funding risks. Employing methods from the literature on global ...

    Ottawa: Bank of Canada, 2013, III, 42 S.
    (Working Paper / Bank of Canada ; 31)
    | Philipp König, Kartik Anand, Frank Heinemann
892 results, from 621
keyboard_arrow_up