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Koziol, Christian; Koziol, Philipp; Schön, Thomas - Deutsche Bundesbank - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010984740

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

Heterogeneity in lending and sectoral growth: evidence from German bank-level data

Schertler, Andrea; Buch, Claudia M.; von Westernhagen, … - Deutsche Bundesbank - 2006

heterogeneity affects how lending responds to domestic sectoral growth. We document that banks? total lending to German firms reacts …

Persistent link: https://www.econbiz.de/10005082799

Monetary policy and core inflation

Lenza, Michele - Deutsche Bundesbank - 2007

This paper studies optimal monetary policy responses in an economy featuring sectorial heterogeneity in the frequency …

Persistent link: https://www.econbiz.de/10005083240

Towards an explanation of cross-country asymmetries in monetary transmission

Georgiadis, Georgios - Deutsche Bundesbank - 2012

Persistent link: https://www.econbiz.de/10010535439

Exports versus FDI revisited: does finance matter?

Buch, Claudia M.; Kesternich, Iris; Lipponer, Alexander; … - Deutsche Bundesbank - 2010

The crisis on international financial markets that started in 2007 has shown the potential links between the financial sector and the real economy. Exports and foreign direct investment (FDI) have declined, presumably not only because of a lack of demand, but also because of restricted access of...

Persistent link: https://www.econbiz.de/10008518267

Financial constraints and the margins of FDI

Buch, Claudia M.; Kesternich, Iris; Lipponer, Alexander; … - Deutsche Bundesbank - 2009

Recent literature on multinational firms has stressed the importance of low productivity as a barrier to the cross-border expansion of firms. But firms may also need external finance to shoulder the costs of entering foreign markets. We develop a model of multinational firms facing real and...

Persistent link: https://www.econbiz.de/10008533500

Output sensitivity of inflation in the euro area: Indirect evidence from disaggregated consumer prices

Fröhling, Annette; Lommatzsch, Kirsten - Deutsche Bundesbank - 2011

We investigate output sensitivity of inflation in the euro area through a disaggregated analysis using price indices at the COICOP 4-digit level and compare cyclical sensitivity of a newly created index of cyclically sensitive items (ICSP) with that of headline HICP and core price indices. We...

Persistent link: https://www.econbiz.de/10009370684

Interaction of market and credit risk: an analysis of inter-risk correlation and risk aggregation

Hillebrand, Martin; Böcker, Klaus - Deutsche Bundesbank - 2008

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we analytically calculate their interrisk correlation and show how...

Persistent link: https://www.econbiz.de/10005082747