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Performance and regulatory effects of non-compliant loans in German synthetic mortgage-backed securities transactions
Trinkaus, Gaby - Deutsche Bundesbank - 2010
Over the term of a securitization transaction, the concept of non-compliance allows a securitizing bank to classify a …
Persistent link: https://www.econbiz.de/10008534146
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Determinants of European banks' engagement in loan securitization
Hänsel, Dennis N.; Bannier, Christina E. - Deutsche Bundesbank - 2008
-specific and macroeconomic factors influencing an institution's securitization decision. CLO issuance seems to be an appropriate …. Controlling for fixed effects, we find that fixed costs of securitization are surmountable also for smaller institutions …. Interestingly, commercial banks seem to use loan securitization to access capital-market based businesses and the associated fee …
Persistent link: https://www.econbiz.de/10005059000
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Evaluating the calibration of multi-step-ahead density forecasts using raw moments
Knüppel, Malte - Deutsche Bundesbank - 2011
The evaluation of multi-step-ahead density forecasts is complicated by the serial correlation of the corresponding probability integral transforms. In the literature, three testing approaches can be found which take this problem into account. However, these approaches can be computationally...
Persistent link: https://www.econbiz.de/10009646497
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How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2008
Macroeconomic risk assessments play an important role in the forecasts of many institutions. However, to the best of our knowledge their performance has not been investigated yet. In this work, we study the Bank of England?s risk forecasts for inflation. We find that these forecasts do not...
Persistent link: https://www.econbiz.de/10005059017
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Evaluating macroeconomic risk forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2011
Macroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness...
Persistent link: https://www.econbiz.de/10009151246
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How informative are central bank assessments of macroeconomic risks?
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2011
Surveying the forecasting practice of several central banks, we find that all these banks issue statements about risks to their macroeconomic forecasts. Often the balance of these risks is assessed as well. Upward [downward] risks to the forecast commonly imply that the outturn is expected to...
Persistent link: https://www.econbiz.de/10009151247
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The empirical (ir)relevance of the interest rate assumption for central bank forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2013
The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical...
Persistent link: https://www.econbiz.de/10010984733
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Empirical simultaneous confidence regions for path-forecasts
Jordà, Òscar; Knüppel, Malte; Marcellino, Massimiliano - Deutsche Bundesbank - 2010
Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that...
Persistent link: https://www.econbiz.de/10008509092
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Efficient estimation of forecast uncertainty based on recent forecast errors
Knüppel, Malte - Deutsche Bundesbank - 2009
Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the...
Persistent link: https://www.econbiz.de/10008533612
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Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Knüppel, Malte - Deutsche Bundesbank - 2014
Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available...
Persistent link: https://www.econbiz.de/10011124452