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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

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 … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk …-sensitive way: Compared to a situation without regulation the optimal volume of loans decreases more as the riskiness of …

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

Evaluating the German bank merger wave

Koetter, Michael - Deutsche Bundesbank - 2005

German banks experienced a merger wave throughout the 1990s. However, the success of bank mergers remains a continuous matter of debate. In this paper we suggest a taxonomy as how to evaluate post-merger performance on the basis of cost efficiency (CE). We categorise mergers a success that...

Persistent link: https://www.econbiz.de/10005082779

Regulation, credit risk transfer with CDS, and bank lending

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

Persistent link: https://www.econbiz.de/10010535443

Recovery determinants of distressed banks: Regulators, market discipline, or the environment?

Kick, Thomas; Koetter, Michael; Poghosyan, Tigran - Deutsche Bundesbank - 2010

Based on detailed regulatory intervention data among German banks during 1994-2008, we test if supervisory measures affect the likelihood and the timing of bank recovery. Severe regulatory measures increase both the likelihood of recovery and its duration while weak measures are insignificant....

Persistent link: https://www.econbiz.de/10008595895

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - Deutsche Bundesbank - 2012

thus advance regulation. …

Persistent link: https://www.econbiz.de/10010984712

Real financial market exchange rates and capital flows

Gelman, Maria; Jochem, Axel; Reitz, Stefan - Deutsche Bundesbank - 2013

Foreign exchange rates and capital movements are expected to be closely related to each other as international capital markets become more and more integrated. To account for this fact we construct an index of real effective exchange rates as a weighted average of cross-country asset price...

Persistent link: https://www.econbiz.de/10010957142

Financial market´s appetite for risk: and the challenge of assessing its evolution by risk appetite indicators

Uhlenbrock, Birgit - Deutsche Bundesbank - 2009

Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work therefore seems essential for further improvements. The present paper seeks to contribute to this...

Persistent link: https://www.econbiz.de/10005082768

The changing international transmission of financial shocks: evidence from a classical time-varying FAVAR

Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano - Deutsche Bundesbank - 2011

1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for...

Persistent link: https://www.econbiz.de/10009643168

Financial markets and the current account: emerging Europe versus emerging Asia

Herrmann, Sabine; Winkler, Adalbert - Deutsche Bundesbank - 2008

Financial globalisation has been associated with divergent current account patterns in emerging market economies. While countries in emerging Asia have been running sizeable current account surpluses, countries in emerging Europe have been facing large current account deficits. In this paper we...

Persistent link: https://www.econbiz.de/10005059032