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Refereed essays Web of Science
We study the relationship between crowding and performance in the active mutual fund industry. Using the equity holdings overlap of 17,364 global funds, we find that funds that crowd into the same stocks underperform passive benchmark funds by 1.4% per year. The negative returns to crowding can at least in part be explained by excess demand for liquidity and the associated discount for holding liquid ...
In:
Journal of Banking & Finance
164 (2024), 107202, 17 S.
| Tanja Artiga Gonzalez, Teodor Dyakov, Justus Inhoffen, Evert Wipplinger
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Diskussionspapiere 2100 / 2024
Using a data-driven approach to identify structural vector autoregressive models, we examine key factors influencing the US dollar exchange rate across eight advanced economies from 1980 to 2022. We find that shocks to inflation expectations, which are closely tied to unfunded government transfer payments, have a pronounced effect on the US dollar’s value. This underscores the fiscal dimension of exchange ...
2024| Kerstin Bernoth, Helmut Herwartz, Lasse Trienens
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Refereed essays Web of Science
We study the impact of renewable energy on forward markets for electricity. Previous literature shows that forward prices are determined by time-varying demand and volatile spot prices. We introduce supply risk from renewable generation and find that stochastic renewable output mitigates income risk for generating firms, in particular when negative shocks to renewable output have large positive price ...
In:
The Energy Journal
45 (2024), 5, S. 105-123
| Sebastian Schwenen, Karsten Neuhoff
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Externe Monographien
Financing entrepreneurship spurs innovation and economic growth. Digital financial platforms that crowdfund equity for entrepreneurs have emerged globally, yet they remain poorly understood. We model equity crowdfunding in terms of the relationship between the number of investors and the amount of money raised per pitch. We examine heterogeneity in the average amount raised per pitch that is associated ...
Bonn:
IZA,
2023,
27 S.
(Discussion Paper Series / Forschungsinstitut zur Zukunft der Arbeit ; 16679)
| Saul Estrin, Susanna Khavul, Alexander S. Kritikos, Jonas Löher
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Refereed essays Web of Science
Recent proposals for a European deposit insurance scheme (EDIS) favor a reinsurance framework. In this paper, we use a regime-switching open economy DSGE model with bank defaults to assess the relative efficiency of such a scheme. We find that reinsurance by EDIS is more effective in stabilizing real activity, credit, and welfare than a national fiscal backstop. We demonstrate that risk-weighted contributions ...
In:
Journal of Money, Credit and Banking
(2025), im Ersch. [online first: 2024-12-02]
| Marius Clemens, Stefan Gebauer, Tobias König
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Refereed essays Web of Science
The system of business income taxation consists of two instruments, namely a statutory tax rate and a depreciation allowance on investment. We will show in this paper that by acting on both instruments simultaneously it is possible to achieve both a growth and a fiscal net revenue target even in cases when a trade-off prevails when each instrument is used individually.As will be shown in the paper, ...
In:
Journal of Macroeconomics
81 (2024), 103606, 20 S.
| Marius Clemens, Werner Röger
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Externe Monographien
We study sovereign external debt crises over the past 200 years, with a focus on creditor losses, or “haircuts”. Our sample covers 327 sovereign debt restructurings with external private creditors over 205 default spells since 1815. Creditor losses vary widely (from none to 100%), but the statistical distribution has remained remarkably stable over two centuries, with an average haircut of around 45 ...
Cambridge, Mass.:
National Bureau of Economic Research,
2024,
53 S.
(NBER Working Paper Series ; 32599)
| Clemens M. Graf von Luckner, Josefin Meyer, Carmen M. Reinhart, Christoph Trebesch
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Workshop
The 4th annual Workshop for Women in Macroeconomics, Finance and Economic History is being organized by the DIW Berlin. The aim is to bring together female academic researchers and practitioners to promote and exchange ideas in the field of Macroeconomics, Finance, and Economic History. We invite contributions, including, but not limited to macroeconomic and financial stability, interactions...
02.05.2024| Laura Alfaro, Christina Gathmann, Aude Pommeret
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Infographic
07.02.2024
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Diskussionspapiere 2078 / 2024
The low degree of stock market participation (SMP) is one of the big puzzles in finance. Numerous determinants have been proposed. We put these determinants into a structure that is derived from a standard static portfolio model. Then we discuss arguments put forward regarding specific SMP determinants and the empirical evidence that has been provided. The focus of our survey is on the identification ...
2024| Lukas Menkhoff, Jannis Westermann