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Time series properties of a rating system based on financial ratios

Krüger, Ulrich; Stötzel, Martin; Trück, Stefan - Deutsche Bundesbank - 2005

This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...

Persistent link: https://www.econbiz.de/10005082757

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 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other...

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

Regulatory capital for market and credit risk interaction: is current regulation always conservative?

Breuer, Thomas; Jandacka, Martin; Rheinberger, Klaus; … - Deutsche Bundesbank - 2008

Kapitals folgt in groben Zügen der Aufteilung in Bank- und Handelsbuch. In der traditionellen Denkweise ist Kreditrisiko … für einzelne Risikokategorien konservativ sei. Werden nämlich Bank- und Handelsbuch als Subportfolios des gesamten … Risikobewertungssituationen eine Trennung von Markt- und Kreditrisiko anhand von Bank- und Handelsbuch nicht möglich ist. Wir zeigen, dass das …

Persistent link: https://www.econbiz.de/10005082774

The Contribution of Rapid Financial Development to Asymmetric Growth of Manufacturing Industries: Common Claims vs. Evidence for Poland

Furstenberg, George M. von - Deutsche Bundesbank - 2004

CEE countries such as Poland started to experience a very high rate of financial development within a few years after emerging from socialism. A review of the literature suggests that this asymmetric development should have been most beneficial for those industry sectors most dependent on...

Persistent link: https://www.econbiz.de/10005083067

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

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

emphasizes structural differences between the bank-based German financial system and the rather market-based Anglo …

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

Financial intermediaries, markets and growth

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

technology when they provide more risk-sharing. Our model predicts that bank-oriented economies should grow slower than more …

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

Dependence on external finance: an inherent industry characteristic?

von Kalckreuth, Ulf; Furstenberg, George M. von - Deutsche Bundesbank - 2006

Rajan and Zingales (1998) use U.S. Compustat firm data for the 1980s to obtain measures of manufacturing sectors? Dependence on External Finance (DEF). They take any differences in these measures to be structural/technological and thus applicable to other countries. Their joint assumptions about...

Persistent link: https://www.econbiz.de/10005083266

Purchase and redemption decisions of mutual fund investors and the role of fund families

Jank, Stephan; Wedow, Michael - Deutsche Bundesbank - 2010

This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. We find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption...

Persistent link: https://www.econbiz.de/10008554261

Measurement matters: Input price proxies and bank efficiency in Germany

Koetter, Michael - Deutsche Bundesbank - 2005

Most bank efficiency studies that use stochastic frontier analysis (SFA) employ each bank's own implicit input price …

Persistent link: https://www.econbiz.de/10005059002

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