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Industries and the bank lending effects of bank credit demand and monetary policy in Germany
Arnold, Ivo J. M.; Kool, Clemens J. M.; Raabe, Katharina - Deutsche Bundesbank - 2006
This paper presents evidence on the industry effects of bank lending in Germany and identifies the industry effects of bank lending associated with changes in monetary policy and industryspecific bank credit demand. To this end, we estimate individual bank lending functions for 13 manufacturing...
Persistent link: https://www.econbiz.de/10005083133
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Monetary policy effects on bank loans in Germany: A panel-econometric analysis
Worms, Andreas - Deutsche Bundesbank - 2001
A crucial condition for the existence of a credit channel through bank loans is that monetary policy should be able to change bank loan supply. This paper contributes to the discussion on this issue by presenting empirical evidence from dynamic panel estimations based on a dataset that comprises...
Persistent link: https://www.econbiz.de/10005083166
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Measuring option implied degree of distress in the US financial sector using the entropy principle
Matros, Philipp; Vilsmeier, Johannes - Deutsche Bundesbank - 2012
We estimate time series of option implied Probabilities of Default (PoDs) for 19 major US financial institutions from 2002 to 2012. These PoDs are estimated as mass points of entropy based risk neutral densities and subsequently corrected for maturity dependence. The obtained time series are...
Persistent link: https://www.econbiz.de/10010957111
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The multivariate option iPoD framework: assessing systemic financial risk
Matros, Philipp; Vilsmeier, Johannes - Deutsche Bundesbank - 2014
We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...
Persistent link: https://www.econbiz.de/10010957132
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Interbank lending and monetary policy transmission: evidence for Germany
Ehrmann, Michael; Worms, Andreas - Deutsche Bundesbank - 2001
This paper presents empirical evidence on the behaviour of interbank lending in Germany after a monetary policy impulse. Our VAR analysis shows that following a monetary contraction, the banking system as a whole attracts additional funds from foreign banks. Whereas small cooperative and savings...
Persistent link: https://www.econbiz.de/10005083202
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What macroeconomic shocks affect the German banking system? Analysis in an integrated micro-macro model
Blank, Sven; Dovern, Jonas - Deutsche Bundesbank - 2009
We analyze what macroeconomic shocks affect the soundness of the German banking system and how this, in turn, feeds back into the macroeconomic environment. Recent turmoils on the international financial markets have shown very clearly that assessing the degree to which banks are vulnerable to...
Persistent link: https://www.econbiz.de/10008509632
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Dynamic Q-investment functions for Germany using panel balance sheet data and a new algorithm for the capital stock at replacement values
Bellgardt, Egon; Behr, Andreas - Deutsche Bundesbank - 2002
models, GMM and direct bias correction. The results show that marginal as well as average Q influence investment … für zwei alternative Schätztechniken, GMM und eine direkte Biaskorrektur, verglichen. Es zeigt sich, dass sowohl das …
Persistent link: https://www.econbiz.de/10005083058
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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 … of the standard instrument set is shown to be a valid transformation for ensuring consistency of GMM. Monte Carlo …
Persistent link: https://www.econbiz.de/10008533611
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A comparison of dynamic panel data estimators: Monte Carlo evidence and an application to the investment function
Behr, Andreas - Deutsche Bundesbank - 2003
sample properties of the GMM-methods. In the case of endogenous predetermined regressors, the system-estimator proposed by … Blundell and Bond is unbiased and most efficient, while direct bias corrected estimators perform similar to the GMM … die bekannt günstigen Eigenschaften von GMM-Schätzern bei großer Beobachtungszahl wider. Im Falle endogener …
Persistent link: https://www.econbiz.de/10005083105
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Trend growth expectations and US house prices before and after the crisis
Hoffmann, Mathias; Krause, Michael U.; Laubach, Thomas - Deutsche Bundesbank - 2012
We provide an analysis that might help distinguish rationally justified movements in house prices from potentially non-rational movements, using a two-sector business cycle model, in which investment in housing is subject to collateral constraints. A large portion of the evolution of U.S. house...
Persistent link: https://www.econbiz.de/10010957113