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Credit contagion between financial systems

Podlich, Natalia; Wedow, Michael - Deutsche Bundesbank - 2011

We examine contagion from a number of financial systems to the German financial system using the information content of … evidence for contagion from the US and European financial systems. Our results additionally confirm that the set up of the … financial rescue scheme in Germany partially shielded German banks but not insurance companies from contagion. Overall, our …

Persistent link: https://www.econbiz.de/10010954915

Credit risk connectivity in the financial industry and stabilization effects of government bailouts

Bosma, Jakob; Koetter, Michael; Wedow, Michael - Deutsche Bundesbank - 2012

We identify the connections between financial institutions from different sectors of the financial industry based on joint extreme movements in credit default swap (CDS) spreads. First, we estimate pairwise co-crash probabilities (CCP) to identify significant connections among 193 international...

Persistent link: https://www.econbiz.de/10010957152

CDS spreads and systemic risk: A spatial econometric approach

Keiler, Sebastian; Eder, Armin - Deutsche Bundesbank - 2013

institutes in the sample. In stress tests, up to one fifth of the CDS spread changes are owing to financial contagion. These …

Persistent link: https://www.econbiz.de/10010957156

The relationship between the federal funds rate and the Fed's federal funds rate target: is it open market or open mouth operations?

Thornton, Daniel L. - Deutsche Bundesbank - 2000

It is widely believed that the Fed controls the funds rate by altering the degree of pressure in the reserve market through open market operations when it changes its target for the federal funds rate. Recently, however, several economists have suggested that open market operations may not be...

Persistent link: https://www.econbiz.de/10005083145

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

Inflation and core money growth in the euro area

Neumann, Manfred J. M.; Greiber, Claus - Deutsche Bundesbank - 2004

This paper studies the importance of money for inflation in the euro area. An inflation equation is derived from a small model that combines the supply and demand for money with a Phillips curve and the assumption that inflation expectations develop adaptively. The model's solution attributes an...

Persistent link: https://www.econbiz.de/10005083091

Contagion in the interbank market and its determinants

Memmel, Christoph; Sachs, Angelika - Deutsche Bundesbank - 2011

Carrying out interbank contagion simulations for the German banking sector for the period from the first quarter of … interbank contagion over time. (ii) The loss distribution for each point in time can be condensed into one indicator, the …

Persistent link: https://www.econbiz.de/10010954917

German bank lending during emerging market crises: A bank level analysis

Heid, Frank; Nestmann, Thorsten; Mauro, di; Weder, Beatrice - Deutsche Bundesbank - 2004

This paper studies German bank lending during the Asian and Russian crises, using a bank level data set, which has been compiled from credit data at the Deutsche Bundesbank. Our aim is to gain more insight into the pattern of German bank lending during financial crises in emerging markets. We...

Persistent link: https://www.econbiz.de/10005082775

Estimating Bilateral Exposures in the German Interbank Market: Is there a Danger of Contagion?

Upper, Christian; Worms, Andreas - Deutsche Bundesbank - 2002

contagion depends on the precise pattern of interbank linkages. We use balance sheet information to estimate the matrix of … contagion. We find that the financial safety net (institutional guarantees for saving banks and cooperative banks) considerably … reduces – but does not eliminate – the danger of contagion. Even so, the failure of a single bank could lead to the breakdown …

Persistent link: https://www.econbiz.de/10005083183

The effect of the interbank network structure on contagion and common shocks

Georg, Co-Pierre - Deutsche Bundesbank - 2011

more stable than random networks. Systemic risk via contagion is compared to common shocks and it is shown that both forms …

Persistent link: https://www.econbiz.de/10009372146