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Sovereign default swap market efficiency and country risk in the eurozone
Gündüz, Yalin; Kaya, Orcun - Deutsche Bundesbank - 2013
This paper uses sovereign CDS spread changes and their volatilities as a proxy for the informational efficiency of the … functions efficiently for sovereign CDS markets even during the crisis. In contrast, both semi-parametric methods and the dual … addressing persistent sovereign uncertainty. We provide evidence of causality from volatility in CDS prices to sovereign risk …
Persistent link: https://www.econbiz.de/10010984736
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The SSM at 1
Laeven, Luc; Draghi, Mario; Dombret, Andreas R.; … - SUERF - The European Money and Finance Forum; Deutsche …; … - 2016
On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...
Persistent link: https://www.econbiz.de/10011557140
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Cross-border liquidity, relationships and monetary policy: Evidence from the Euro area interbank crisis
Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - Deutsche Bundesbank - 2014
We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...
Persistent link: https://www.econbiz.de/10011161234
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A single composite financial stress indicator and its real impact in the euro area
Islami, Mevlud; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2013
In this paper, we construct a single composite financial stress indicator (FSI) which aims to predict developments in the real economy in the euro area. Our FSI was shown to perform better than the Euro STOXX 50 volatility index for the recent banking crisis and the euro-area sovereign debt...
Persistent link: https://www.econbiz.de/10010957158
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Equity returns in the banking sector in the wake of the great recession and the European sovereign debt crisis
Chan-Lau, Jorge A.; Liu, Estelle X.; Schmittmann, Jochen M. - Deutsche Bundesbank - 2013
This study finds that equity returns in the banking sector in the wake of the Great Recession and the European sovereign debt crisis have been driven mainly by weak growth prospects and heightened sovereign risk and to a lesser extent, by deteriorating funding conditions and investor sentiment....
Persistent link: https://www.econbiz.de/10010957160
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Crises, rescues, and policy transmission through international banks
Buch, Claudia M.; Koch, Cathérine Tahmee; Koetter, Michael - Deutsche Bundesbank - 2011
The World Financial Crisis has shaken the fundamentals of international banking and triggered a downward spiral of asset prices. To prevent a further meltdown of markets, governments have intervened massively through rescues measures aimed at recapitalizing banks and through liquidity support....
Persistent link: https://www.econbiz.de/10009283655
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What predicts financial (in)stability? A Bayesian approach
Eidenberger, Judith; Neudorfer, Benjamin; Sigmund, Michael - Deutsche Bundesbank - 2014
This paper contributes to the literature on early warning indicators by applying a Bayesian model averaging approach. Our analysis, based on Austrian data, is carried out in two steps: First, we construct a quarterly financial stress index (AFSI) quantifying the level of stress in the Austrian...
Persistent link: https://www.econbiz.de/10011122558
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Pro-cyclical capital regulation and lending
Behn, Markus; Haselmann, Rainer; Wachtel, Paul - Deutsche Bundesbank - 2014
We use a quasi-experimental research design to examine the effect of model-based capital regulation introduced under the Basel II agreement on the pro-cyclicality of bank lending and firms' access to funds during a recession. In response to an exogenous shock to credit risk in the German...
Persistent link: https://www.econbiz.de/10011093849
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Cash holdings of German open-end equity funds: Does ownership matter?
Dötz, Niko; Weth, Mark - Deutsche Bundesbank - 2013
In the light of the recent financial crisis, the discussion on the nature of runs and on the stabilizing role of liquidity holdings has intensified. This paper explores the cash management conducted by German open-end equity funds for the period between 2005 and 2010. Since ownership structures...
Persistent link: https://www.econbiz.de/10010984710
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Price discovery on traded inflation expectations: does the financial crisis matter?
Schulz, Alexander; Stapf, Jelena - Deutsche Bundesbank - 2009
We analyze contributions of different markets to price discovery on traded inflation expectations and how it changed during the financial crisis. The quicker information is processed on one market and the less one market is disrupted by the financial crisis the more valuable is its information...
Persistent link: https://www.econbiz.de/10005049667