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Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016

regulation, recovery and resolution, and risk culture. …

Persistent link: https://www.econbiz.de/10011557140

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

models, the measurement and indicators of systemic risk, macroprudential tools and their effectiveness; and to identify …

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

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

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

The stable long-run CAPM and the cross-section of expected returns

Kim, Jeong-Ryeol - Deutsche Bundesbank - 2002

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Persistent link: https://www.econbiz.de/10005083064

Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - Deutsche Bundesbank - 2003

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10005083101

Banks' concentration versus diversification in the loan portfolio: New evidence from Germany

Jahn, Nadya; Memmel, Christoph; Pfingsten, Andreas - Deutsche Bundesbank - 2013

-offs and write-downs, we examine the impact of loan portfolio sector concentration on credit risk. By controlling for common … risk factors, we separate the bank-specific selection and monitoring abilities from the composition of the loan portfolio …

Persistent link: https://www.econbiz.de/10010957127

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 … tests, countercyclical buffer, and setting risk weights for mortgages with different loan-to-value and loan-to-income ratios. …

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

Quantifying the components of the banks' net interest margin

Busch, Ramona; Memmel, Christoph - Deutsche Bundesbank - 2014

management for the customers, the bearing of credit risk, and term transformation. For the year 2012, the costs of liquidity and … payment management correspond, in the median, to 47%, the bearing of credit risk to 16%, and earnings from term transformation …

Persistent link: https://www.econbiz.de/10010957140

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - Deutsche Bundesbank - 2012

interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on … lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk …

Persistent link: https://www.econbiz.de/10010957144