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Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
Kiviet, Jan Frederik; Pleus, Milan; Poldermans, Rutger - CESifo - 2015
The performance in finite samples is examined of inference obtained by variants of the Arellano-Bond and the Blundell-Bond GMM estimation techniques for single dynamic panel data models with possibly endogenous regressors and cross-sectional heteroskedasticity. By simulation the effects are...
Persistent link: https://www.econbiz.de/10011124891
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2014
This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for …
Persistent link: https://www.econbiz.de/10010948836
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Rating Assignments: Lessons from International Banks
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2009
This paper estimates ordered logit and probit regression models for bank ratings which also include a country index to … bank ratings assigned by Fitch Ratings are underpinned by fundamental quantitative financial analyses. Also, there is … strong evidence of a country effect. Our model is shown to provide accurate predictions of bank ratings for the period prior …
Persistent link: https://www.econbiz.de/10005000371
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EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?
Caporale, Guglielmo Maria; Matousek, Roman; Stewart, Chris - CESifo - 2010
We model EU countries’ bank ratings using financial variables and allowing for intercept and slope heterogeneity. Our …
Persistent link: https://www.econbiz.de/10008583666
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A Micro Data Approach to the Identification of Credit Crunches
Rottmann, Horst; Wollmershäuser, Timo - CESifo - 2010
This paper presents a micro data approach to the identification of credit crunches. Using a survey among German firms which regularly queries the firms’ assessment of the current willingness of banks to extend credit we estimate the probability of a restrictive credit supply policy by time...
Persistent link: https://www.econbiz.de/10008498992
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Demographic Change and Bank Profitability. Empirical Evidence from German Savings Banks
Berlemann, Michael; Oestmann, Marco; Thum, Marcel - CESifo - 2010
predict the development of bank profitability due to demographic shifts up to 2025. One of the main findings is that the …, allows us estimating the socio-demographic determinants of retail profitability. Using a simulation model, we are able to … the population reduces the customer base, ageing per se increases profitability as older customers typically generate …
Persistent link: https://www.econbiz.de/10008534055
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Electoral Cycles in Savings Bank Lending
Englmaier, Florian; Stowasser, Till - CESifo - 2013
We provide evidence that German savings banks – where local politicians are by law involved in their management – systematically adjust lending policies in response to local electoral cycles. The different timing of county elections across states and the existence of a control group of...
Persistent link: https://www.econbiz.de/10010877845
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Point and Density Forecasts for the Euro Area Using Bayesian VARs
Berg, Tim Oliver; Henzel, Steffen - CESifo - 2014
Recent articles suggest that a Bayesian vector autoregression (BVAR) with shrinkage is a good forecast device even when the number of variables is large. In this paper we evaluate different variants of the BVAR with respect to their forecast accuracy for euro area real GDP growth and HICP...
Persistent link: https://www.econbiz.de/10010877728
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Forecasting GDP at the Regional Level with Many Predictors
Lehmann, Robert; Wohlrabe, Klaus - CESifo - 2012
In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a unique data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden-Württemberg) and Eastern Germany. We overcome the problem of a...
Persistent link: https://www.econbiz.de/10010877940
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Sovereigns versus Banks: Credit, Crises, and Consequences
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2013
Two separate narratives have emerged in the wake of the Global Financial Crisis. One interpretation speaks of private financial excess and the key role of the banking system in leveraging and deleveraging the economy. The other emphasizes the public sector balance sheet over the private and...
Persistent link: https://www.econbiz.de/10010877944