Auflistung LIF-SAFE Working Papers nach Titel
Anzeige der Dokumente 146-165 von 334
-
Insight Private Equity
(2013-06-18)We are able to shed light on the black box of restructuring tools private equity investors use to improve the operational performance of their portfolio companies. By building on previous work considering performance ... -
Insurance Activities and Systemic Risk
(2015-12-01)This paper investigates systemic risk in the insurance industry. We first analyze the systemic contribution of the insurance industry vis-à-vis other industries by applying 3 measures, namely the linear Granger causality ... -
Interbank Funding as Insurance Mechanism for (Persistent) Liquidity Shocks
(2015-11-01)The interbank market is important for the efficient functioning of the financial system, transmission of monetary policy and therefore ultimately the real economy. In particular, it facilitates banks' liquidity management. ... -
Interbank Networks and Backdoor Bailouts: Benefiting from other Banks' Government Guarantees
(2018-05-02)This paper explains why banks derive a benefit from being highly interconnected. We show that when banks are protected by government guarantees they can significantly increase their expected returns by channeling funds ... -
International Banking Conglomerates and the Transmission of Lending Shocks Across Borders
(2017-08-01)We investigate how solvency and wholesale funding shocks to 84 OECD parent banks affect the lending of 375 foreign subsidiaries. We find that parent solvency shocks are more important than wholesale funding shocks for ... -
International Capital Markets with Time-Varying Preferences
(2017-08-02)We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on ... -
International Endogenous Growth, Macro Anomalies, and Asset Prices
(2016-07-20)"This paper studies a two-country production economy with complete and frictionless financial markets and international trade in which competition in R&D leads to endogenous new firm creation and economic growth. Current ... -
Investment-Specific Shocks, Business Cycles, and Asset Prices
(2016-03-14)We introduce long-run investment productivity risk in a two-sector production economy to explain the joint behavior of macroeconomic quantities and asset prices. Long-run productivity risk in both sectors, for which we ... -
Job Loss Expectations, Durable Consumption and Household Finances: Evidence from Linked Survey Data
(2019-03-01)Job security is important for durable consumption and household savings. Using surveys, workers express a probability that they will lose their job in the next 12 months. In order to assess the empirical content of these ... -
Leaning Against the Wind: Debt Financing in the Face of Adversity
(2016-12-29)We offer evidence of a new stylized feature of corporate financing decisions: the tendency of managers to rely more on debt financing when earnings prospects are poor. We term this 'leaning against the wind' and consider ... -
Level and Slope of Volatility Smiles in Long-Run Risk Models
(2017-10-16)We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ... -
Life Insurance and Demographic Change: An Empirical Analysis of Surrender Decisions Based on Panel Data
(2016-12-01)Households buy life insurance as part of their liquidity management. The option to surrender such a policy can serve as a buffer when a household faces a liquidity need. In this study, we investigate empirically which ... -
Life Insurance Demand under Health Shock Risk
(2015-06-03)This paper studies the life cycle consumption-investment-insurance problem of a family. The wage earner faces the risk of a health shock that significantly increases his probability of dying. The family can buy long-term ... -
Lighting up the Dark: Liquidity in the German Corporate Bond Market
(2018-09-17)"We study the impact of transparency on liquidity in OTC markets. We do so by providing an analysis of liquidity in a corporate bond market without trade transparency (Germany), and comparing our findings to a market with ... -
Liquidity Coinsurance and Bank Capital
(2014-03-01)Banks can deal with their liquidity risk by holding liquid assets (self-insurance), by participating in interbank markets (coinsurance), or by using flexible financing instruments, such as bank capital (risk-sharing). We ... -
Liquidity Premia in CDS Markets
(2017-07-14)We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ... -
Liquidity Provider Incentives in Fragmented Securities Markets
(2018-07-31)We study the introduction of single-market liquidity provider incentives in fragmented securities markets. Specifically, we analyze the introduction of the Xetra Liquidity Provider Program at Deutsche Boerse from two ... -
Liquidity provision: Normal times vs Crashes
(2019-10-29)We study the role of various trader types in providing liquidity in spot and futures markets based on data from the National Stock Exchange of India for a single large stock. During normal times, short-term traders who ... -
Local Peer Effects and Corporate Investment
(2018-07-07)We examine how a firms' investment behavior affects the investment of a neighboring firm. Economic theory yields ambiguous predictions regarding the direction of firm peer effects and consistent with earlier work, we find ... -
Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods
(2015-03-01)We study whether the presence of low-latency traders (including high-frequency traders (HFTs)) in the pre-opening period contributes to market quality, defined by price discovery and liquidity provision, in the opening ...