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A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function

Behr, Andreas - Deutsche Bundesbank - 2003

In our analysis we discuss several dynamic panel data estimators proposed in the literature and assess their performance in Monte Carlo simulations. It is a well known fact that the natural choice, the least squares dummy variable estimator is biased in the context of dynamic estimation. The...

Persistent link: https://www.econbiz.de/10005083105

Unit roots and cointegration in panels

Breitung, Jörg; Pesaran, Mohammad Hashem - Deutsche Bundesbank - 2005

This paper provides a review of the literature on unit roots and cointegration in panels where the time dimension (T), and the cross section dimension (N) are relatively large. It distinguishes between the first generation tests developed on the assumption of the cross section independence, and...

Persistent link: https://www.econbiz.de/10005083230

Panel estimation of state dependent adjustment when the target is unobserved

von Kalckreuth, Ulf - Deutsche Bundesbank - 2008

Understanding adjustment processes has become central in economics. Empirical analysis is fraught with the problem that the target is usually unobserved. This paper develops, simulates and applies GMM methods for estimating dynamic adjustment models in a panel data context with partially...

Persistent link: https://www.econbiz.de/10005083264

A solution to the problem of too many instruments in dynamic panel data GMM

Mehrhoff, Jens - Deutsche Bundesbank - 2009

The well-known problem of too many instruments in dynamic panel data GMM is dealt with in detail in Roodman (2009, Oxford Bull. Econ. Statist.). The present paper goes one step further by providing a solution to this problem: factorisation of the standard instrument set is shown to be a valid...

Persistent link: https://www.econbiz.de/10008533611

Disentangling economic recessions and depressions

Candelon, Bertrand; Metiu, Norbert; Straetmans, Stefan - Deutsche Bundesbank - 2013

We propose a nonparametric test that distinguishes 'depressions' and 'booms' from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle between...

Persistent link: https://www.econbiz.de/10010957100

Bank risk taking and competition: Evidence from regional banking markets

Kick, Thomas; Prieto, Esteban - Deutsche Bundesbank - 2013

This study investigates the bank competition-stability nexus using a unique regulatory dataset provided by the Deutsche Bundesbank over the period 1994 to 2010. First, we use outright bank defaults as the most direct measure of bank risk available and contrast the results to weaker forms of bank...

Persistent link: https://www.econbiz.de/10010957108

Slippery slopes of stress: ordered failure events in German banking

Koetter, Michael; Kick, Thomas - Deutsche Bundesbank - 2007

Outright bank failures without prior indication of financial instability are very rare. Supervisory authorities monitor banks constantly. Thus, they usually obtain early warning signals that precede ultimate failure and, in fact, banks can be regarded as troubled to varying degrees before...

Persistent link: https://www.econbiz.de/10005082759

The importance of qualitative risk assessment in banking supervision before and during the crisis

Kick, Thomas; Pfingsten, Andreas - Deutsche Bundesbank - 2011

Banking supervision requires regular inspection and assessment of financial institutions. In Germany this task is carried out by the central bank ('Deutsche Bundesbank, BBK') in cooperation with the Federal Financial Supervisory Authority ('Bundesanstalt für Finanzdienstleistungsaufsicht,...

Persistent link: https://www.econbiz.de/10009277828

Towards an explanation of cross-country asymmetries in monetary transmission

Georgiadis, Georgios - Deutsche Bundesbank - 2012

I quantify the importance of financial structure, labor market rigidities and industry mix for cross-country asymmetries in monetary transmission. To do so, I determine how closely the impulse responses to a monetary policy shock obtained from country-specific vectorautoregressive (VAR) models...

Persistent link: https://www.econbiz.de/10010957093

Inefficient or just different? Effects of heterogeneity on bank efficiency scores

Bos, Jaap W. B.; Heid, Frank; Koetter, Michael; Kolari, … - Deutsche Bundesbank - 2005

In this paper, we show the importance of accounting for heterogeneity among sample firms in stochastic frontier … assumptions regarding the nature of heterogeneity can be modeled and the extent to which the respective empirical specifications … studies in particular should account for heterogeneity across sample firms. Especially when efficiency measures are employed …

Persistent link: https://www.econbiz.de/10005082784