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The price of liquidity: bank characteristics and market conditions

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - Deutsche Bundesbank - 2008

We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, we also have data on individual banks' reserve requirements and actual reserve holdings, thus allowing us to gauge the extent to which a bank is short or long...

Persistent link: https://www.econbiz.de/10005083283

A network view on interbank market freezes

Gabrieli, Silvia; Georg, Co-Pierre - Deutsche Bundesbank - 2014

We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all interbank loans settled via the Eurosystem's payment system TARGET2. Following the Lehman insolvency, lenders in the overnight segment become sensitive to counterparty characteristics...

Persistent link: https://www.econbiz.de/10011161231

Cash on trial, mk II : economics, technology and institutions

Birchler, Urs W. (ed., introduction); … - Cash on Trial <Veranstaltung> <2019, Frankfurt am Main>; … - 2019

Persistent link: https://www.econbiz.de/10012112413

The ESRB at 1

Gerlach, Stefan (ed.); Gnan, Ernest (ed.); Ulbrich, Jens (ed.) - Conference on ESRB at 1 <1, 2011, Berlin>; SUERF - The …; … - 2012

SUERF – The European Money and Finance Forum, the Deutsche Bundesbank and the Institute for Monetary and Financial Stability (IMFS) took the opportunity of the first anniversary of this new institution to organise a joint conference in Berlin on 8-9 November 2011. The purpose of this event was...

Persistent link: https://www.econbiz.de/10011711529

Time variation in macro-financial linkages

Prieto, Esteban; Eickmeier, Sandra; Marcellino, Massimiliano - Deutsche Bundesbank - 2013

We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main findings are: (i) The contribution of financial shocks to GDP growth fluctuates from about 20 percent in...

Persistent link: https://www.econbiz.de/10010957086

Understanding global liquidity

Eickmeier, Sandra; Gambacorta, Leonardo; Hofmann, Boris - Deutsche Bundesbank - 2013

We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity...

Persistent link: https://www.econbiz.de/10010957104

A model of mortgage losses and its applications for macroprudential instruments

Hott, Christian - Deutsche Bundesbank - 2013

We develop a theoretical model of mortgage loss rates that evaluates their main underlying risk factors. Following the model, loss rates are positively influenced by the house price level, the loan-to-value of mortgages, interest rates, and the unemployment rate. They are negatively influenced...

Persistent link: https://www.econbiz.de/10010957134

Asset Prices in Taylor Rules: Specification, Estimation, and Policy Implications for the ECB

Siklos, Pierre L.; Werner, Thomas; Bohl, Martin T. - Deutsche Bundesbank - 2004

This paper estimates standard and extended Taylor rules for core countries in the euro area, namely France, Germany and Italy, as well as for the ECB. Forward, backward and forecast-based rules are estimated for a variety of samples since the late 1970s. We are particularly interested in the...

Persistent link: https://www.econbiz.de/10005083096

An estimated DSGE model for the German economy within the euro area

Pytlarczyk, Ernest - Deutsche Bundesbank - 2005

This paper presents an estimated DSGE model for the European Monetary Union. Our approach, contrary to the previous studies, accounts for heterogeneity within the euro area. We advance the empirical literature by estimating an open-economy model with unfiltered data, which is a much more...

Persistent link: https://www.econbiz.de/10005083098

Imperfect Competition, Monetary Policy and Welfare in a Currency Area

Lombardo, Giovanni - Deutsche Bundesbank - 2002

intensiver ist. Die optimale Geldpolitik der Zentralbank der Währungsunion wird ermittelt und mit einer einfachen Taylor … auf die Wohlfahrt und die optimale Geldpolitik. Betrachtet werden zwei Möglichkeiten, wie die Wettbewerbsintensität am … die Geldpolitik effektiver sein, wenn die Länder größere Asymmetrien aufweisen. Diese Ergebnisse legen es nahe, dass die …

Persistent link: https://www.econbiz.de/10005083139

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