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Regulation and Competition in German Banking: An Assessment
Fischer, Karl-Hermann; Pfeil, Christian - Center for Financial Studies - 2003
derived from imperfect competition in markets for financial services is implied, which banks exercise vis-à-vis their loan and … deposit customers. In the past, bank regulation has often been blamed for undermining competition and the functioning of … industry, competition and regulation are deeply interrelated as most regulatory institutions, even if they do not explicitly …
Persistent link: https://www.econbiz.de/10010986452
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Regulation and Competition in German Banking: An Assessment
Fischer, Karl-Hermann; Pfeil, Christian - Center for Financial Studies - 2003
derived from imperfect competition in markets for financial services is implied, which banks exercise vis-à-vis their loan and … deposit customers. In the past, bank regulation has often been blamed for undermining competition and the functioning of … industry, competition and regulation are deeply interrelated as most regulatory institutions, even if they do not explicitly …
Persistent link: https://www.econbiz.de/10005022411
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Special issue: Competition among banks - good or bad? : Selected papers from a conference held in Frankfurt am Main, April 7 - 8, 2000
Allen, Franklin (contributor) - 2001
Persistent link: https://www.econbiz.de/10001646103
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The impact of health insurance on stockholding: A regression discontinuity approach
Christelis, Dimitris; Georgarakos, Dimitris; … - Center for Financial Studies - 2014
Using data from the US Health and Retirement Study, we study the causal effect of increased health insurance coverage through Medicare and the associated reduction in health-related background risk on financial risk-taking. Given the onset of Medicare at age 65, we identify our effect of...
Persistent link: https://www.econbiz.de/10010986481
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Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models
Warne, Anders; Coenen, Günter; Christoffel, Kai - Center for Financial Studies - 2014
The predictive likelihood is of particular relevance in a Bayesian setting when the purpose is to rank models in a forecast comparison exercise. This paper discusses how the predictive likelihood can be estimated for any subset of the observable variables in linear Gaussian state-space models...
Persistent link: https://www.econbiz.de/10010986379
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The volatility of realized volatility
Corsi, Fulvio; Kretschmer, Uta; Mittnik, Stefan; … - Center for Financial Studies - 2005
Using unobservable conditional variance as measure, latentvariable approaches, such as GARCH and stochasticvolatility models, have traditionally been dominating the empirical finance literature. In recent years, with the availability of highfrequency financial market data modeling realized...
Persistent link: https://www.econbiz.de/10010986437
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New Keynesian versus old Keynesian government spending multipliers
Cogan, John F.; Cwik, Tobias J.; Taylor, John B.; … - Center for Financial Studies - 2009
Renewed interest in fiscal policy has increased the use of quantitative models to evaluate policy. Because of modeling uncertainty, it is essential that policy evaluations be robust to alternative assumptions. We find that models currently being used in practice to evaluate fiscal policy...
Persistent link: https://www.econbiz.de/10010958577
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Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
Hautsch, Nikolaus - Center for Financial Studies - 2007
We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...
Persistent link: https://www.econbiz.de/10010958610
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Surprising comparative properties of monetary models: Results from a new data base
Taylor, John B.; Wieland, Volker - Center for Financial Studies - 2009
In this paper we investigate the comparative properties of empirically-estimated monetary models of the U.S. economy. We make use of a new data base of models designed for such investigations. We focus on three representative models: the Christiano, Eichenbaum, Evans (2005) model, the Smets and...
Persistent link: https://www.econbiz.de/10010958611
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Value-at-Risk and expected shortfall for rare events
Mittnik, Stefan; Yener, Tina - Center for Financial Studies - 2008
We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture...
Persistent link: https://www.econbiz.de/10010958774