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Refereed essays Web of Science
Foreign exchange rate expectations play a central role in virtually all monetary models for the open economy. Therefore, it is extremely important to gain empirical insights into the expectations formation process. In this paper, we use a unique disaggregated data set to model the expectations of file Yen/USD exchange rate of about 50 leading foreign exchange rate professionals. The survey includes ...
In:
International Journal of Finance and Economics
13 (2008), 4, S. 360-367
| Christian Dreger, Georg Stadtmann
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FINESS Working Papers 2.1 / 2008
We explore the impact of concentration in the banking markets on the capital structure of publicly quoted non-financial firms in the EU15 over the period 1997- 2005, an era marked by intensive merger activity in the banking sector. Our main finding is a negative and significant relationship between the degree of concentration of European bank markets and the market leverage of firms, indicating the ...
2008| Lieven Baert, Rudi Vander Vennet
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FINESS Working Papers 1.1c / 2008
The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper investigates whether the nominal exchange rate regime has an impact on RIP. The analysis is based on 15 annual ...
2008| Christian Dreger
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Weekly Report 7 / 2008
In the midst of the international financial crisis, the German federal government passed the Risk Limitation Act in autumn 2007. In spring 2008 the Bundestag has finally decided on the law. The domestic private equity/buyout providers, which have not previously been subject to banking supervision, are among the main addressees of the act. Among others, "objectionable macroeconomic activities of financial ...
2008| Dorothea Schäfer, Alexander Fisher
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Diskussionspapiere 814 / 2008
This paper analyzes the response of the European stock markets to the monetary policy shocks by the European Central Bank using the heteroskedasticity based approach of Rigobon (2003). We find that monetary policy tightening has a heterogeneous impact on the Euro Area sectors on the day the monetary policy is publicly announced. Furthermore, we provide statistical evidence against the use of the popular ...
2008| Konstantin A. Kholodilin, Alberto Montagnoli, Oreste Napolitano, Boriss Siliverstovs
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Diskussionspapiere 819 / 2008
The real interest partity (RIP) condition combines two cornerstones in international finance, uncovered interest parity (UIP) and ex ante purchasing power parity (PPP). The extent of deviation from RIP is therefore an indicator of the lack of product and financial market integration. This paper investigates whether the nominal exchange rate regime has an impact on RIP. The analysis is based on 15 annual ...
2008| Christian Dreger
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Refereed essays Web of Science
The Chinese government is building the largest public credit information database on earth. The Credit Registry Center of the People's Bank of China registers more than 600 million consumers of which 110 million have a credit relationship with a financial institution. The Center is a public utility monopoly which collects information from banks and non-bank institutions - a unique approach developed ...
In:
China Economic Review
19 (2008), 4, S. 537-550
| Nicola Jentzsch
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Diskussionspapiere 784 / 2008
This paper investigates the determinants of liability maturity choice in transition markets. We formulate a model of firm value maximization that describes managers' choice of optimal debt structure. The theoretical predictions are tested using a unique panel of 4,300 Ukrainian firms during the period 2000-2005. Our estimates confirm the importance of liquidity, signaling, maturity matching, and agency ...
2008| Andreas Stephan, Oleksandr Talavera, Andriy Tsapin
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Refereed essays Web of Science
We investigate the impact of measures of uncertainty on firms' capital investment behavior using a panel of U.S. firms. Increases in firm-specific and CAPM-based measures have a significant negative effect on investment spending, while market-based uncertainty has a positive impact
In:
Economics Letters
98 (2008), 3, S. 282-287
| Christopher F. Baum, Mustafa Caglayan, Oleksandr Talavera
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Diskussionspapiere 757 / 2007
In the era of Basel II a powerful tool for bankruptcy prognosis is vital for banks. The tool must be precise but also easily adaptable to the bank's objections regarding the relation of false acceptances (Type I error) and false rejections (Type II error). We explore the suitability of Smooth Support Vector Machines (SSVM), and investigate how important factors such as selection of appropriate accounting ...
2007| Wolfgang Härdle, Yuh-Jye Lee, Dorothea Schäfer, Yi-Ren Yeh