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Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - Deutsche Bundesbank - 2009

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10005082768

The German sub-national government bond market: evolution, yields and liquidity

Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2008

a measure of liquidity based on the standard deviation of yields of those bonds that are used to compute the average …

Persistent link: https://www.econbiz.de/10005083318

Financial intermediaries, markets and growth

Fecht, Falko; Huang, Kevin; Martin, Antoine - Deutsche Bundesbank - 2005

We build a model in which financial intermediaries provide insurance to households against a liquidity shock …

Persistent link: https://www.econbiz.de/10005083171

Threshold dynmamics of short-term interest rates: empirical evidence and implications for the term structure

Archontakis, Theofanis; Lemke, Wolfgang - Deutsche Bundesbank - 2007

This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is...

Persistent link: https://www.econbiz.de/10005083162

Are there disadvantaged clienteles in mutual funds?

Jank, Stephan - Deutsche Bundesbank - 2010

This paper studies the flow-performance relationship of three different investor groups in mutual funds: Households, financial corporations, and insurance companies and pension funds, establishing the following findings: Financial corporations have a strong tendency to chase past performance and...

Persistent link: https://www.econbiz.de/10008833257

Consumption, wealth and business cycles: why is Germany different?

Hamburg, Britta; Hoffmann, Mathias; Keller, Joachim - Deutsche Bundesbank - 2005

This paper studies the long-run relationship between consumption, asset wealth and income – the consumption-wealth ratio – in Germany, based on data from 1980 to 2003. Earlier papers for the Anglo-Saxon economies have documented that departures of these three variables from their common...

Persistent link: https://www.econbiz.de/10005083144

Sturm und Drang in money market funds: when money market funds cease to be narrow

Jank, Stephan; Wedow, Michael - Deutsche Bundesbank - 2008

This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of … less liquid papers. By doing so they outperformed other funds as long as liquidity in the market was high. Investing in … the shortening of liquidity caused by the subprime crisis illiquid funds experienced runs, while more liquid funds …

Persistent link: https://www.econbiz.de/10005082763

Updating the option implied probability of default methodology

Vilsmeier, Johannes - Deutsche Bundesbank - 2014

In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...

Persistent link: https://www.econbiz.de/10011161232

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - Deutsche Bundesbank - 2009

“Arbitrage CDOs” have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles...

Persistent link: https://www.econbiz.de/10008509634

Contingent convertible bonds and the stability of bank funding: The case of partial writedown

Bleich, Dirk - Deutsche Bundesbank - 2014

This paper adds to the growing body of literature on the design of Contingent Convertible Bonds (CoCos). We discuss how the design of the loss absorption mechanism affects the stability of bank funding and distinguish between Conversion-to-Equity (CE) CoCos, Principal WriteDown (PWD) CoCos with...

Persistent link: https://www.econbiz.de/10011093852

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