Auflistung Working Papers nach JEL-Klassifizierung "G18"
Anzeige der Dokumente 1-18 von 18
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Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries
(2014-08-08)Recent empirical evidence suggests that during the last years fiscally weak European countries significantly cut their R&D budgets in an effort to reduce their deficit, according to the spirit of the Fiscal Compact. We ... -
Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets
(2017-01-27)We study circuit breakers in a fragmented, multi-market environment and investigate whether a coordination of circuit breakers is necessary to ensure their effectiveness. In doing so, we analyze 2,337 volatility interruptions ... -
Cross-Border Resolution of Global Banks
(2015-03-01)Most recent regulations establish that resolution of global banking groups shall be done according to bail-in procedures and following a Single Point of Entry (SPE) as opposed to a Multiple Point of Entry (MPE) approach. ... -
Debt Holder Monitoring and Implicit Guarantees: Did the BRRD Improve Market Discipline?
(2018-09-25)This paper argues that the introduction of the Banking Recovery and Resolution Directive (BRRD) improved market discipline in the European bank market for unsecured debt. The different impact of the BRRD on bank bonds ... -
Incentive Effects from Write-down CoCo Bonds: An Empirical Analysis
(2018-05-01)Departing from the principle of absolute priority, CoCo bonds are particularly exposed to bank losses despite not having ownership rights. This paper shows the link between adverse CoCo design and their yields, confirming ... -
Managing Excess Volatility: Design and Effectiveness of Circuit Breakers
(2017-02-02)We investigate different designs of circuit breakers implemented on European trading venues and examine their effectiveness to manage excess volatility and to preserve liquidity. Specifically, we empirically analyze ... -
Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds
(2018-11-01)Are yields of long-maturity bonds distorted by demand pressure of clientele investors, regulatory effects, or default, flight-to-safety or liquidity premiums? Using data on German nominal bonds between 2005 and 2015, we ... -
Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation
(2014-12-01)I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment ... -
Portfolio Similarity and Asset Liquidation in the Insurance Industry
(2018-07-30)An important assumption underlying the designation of some insurers as systemically important is that their overlapping portfolio holdings can result in common selling. We measure the overlap in holdings using cosine ... -
Regulatory Influence on Market Conditions in the Banking Union
(2015-06-02)This paper looks into the specific influence that the European banking union will have on (future) bank client relationships. It shows that the intended regulatory influence on market conditions in principle serves as a ... -
The Demand for Central Clearing: To Clear or Not to Clear, That is the Question
(2018-06-15)This paper is a first attempt at empirically analyzing whether post-crisis regulatory reforms developed by global-standard-setting bodies have created appropriate incentives to centrally clear Over-The-Counter (OTC) ... -
The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
(2016-01-25)In a production economy with trade in financial markets motivated by the desire to share labor-income risk and to speculate, we show that speculation increases volatility of asset returns and investment growth, increases ... -
The Pitfalls of Central Clearing in the Presence of Systematic Risk
(2018-11-08)Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ... -
The Pricing Implications of Oligopolistic Securities Lending Market: A Beneficial Owner Perspective
(2018-06-15)In the last decade, central bank interventions, flights to safety, and the shift in derivatives clearing resulted in exceptionally high demand for high quality liquid assets, such as German treasuries, in the securities ... -
Too Complex to Work: A Critical Assessment of the Bail-in Tool under the European Bank Recovery and Resolution Regime
(2018-02-06)This paper analyzes the bail-in tool under the BRRD and predicts that it will not reach its policy objective. To make this argument, this paper first describes the policy rationale that calls for mandatory private sector ... -
Too Interconnected to Fail: A Survey of the Interbank Networks Literature
(2015-10-01)The banking system is highly interconnected and these connections can be conveniently represented as an interbank network. This survey presents a systematic overview of the recent advances in the theoretical literature on ... -
Understanding the Shift from Micro to Macro-Prudential Thinking: A Discursive Network Analysis
(2016-05-09)While some economists argued for macro-prudential regulation pre-crisis, the macro-prudential approach and its emphasis on endogenously created systemic risk have only gained prominence post-crisis. Employing discourse and ... -
Why MREL Won't Help Much
(2018-01-28)The bail-in tool as implemented in the European bank resolution framework suffers from severe shortcomings. To some extent, the regulatory framework can remove the impediments to the desirable incentive effect of private ...