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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 Banks. The conference focused on core aspects of banking reform …
Persistent link: https://www.econbiz.de/10011557140
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Banking and sovereign risk in the euro area
Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2010
through its interaction with the size and structure of national banking sectors. When aggregate risk increases, countries with … large banking sectors and low equity ratios in the banking sector experience greater widening in yield spreads, suggesting …
Persistent link: https://www.econbiz.de/10008564415
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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
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Market conditions, default risk and credit spreads
Tang, Dragon Yongjun; Yan, Hong - Deutsche Bundesbank - 2008
This study empirically examine the impact of market conditions on credit spreads as motivated by recently developed structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads are decreasing in GDP growth rate, but increasing...
Persistent link: https://www.econbiz.de/10005082769
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The German sub-national government bond market: evolution, yields and liquidity
Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2008
The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It thus provides a complete picture of a capital market comparable in size to funds raised in the German fixed income market for corporations. The quantitative analysis reveals...
Persistent link: https://www.econbiz.de/10005083318
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Monetary policy, housing booms and financial (im)balances
Eickmeier, Sandra; Hofmann, Boris - Deutsche Bundesbank - 2010
This paper uses a factor-augmented vector autoregressive model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and asset markets in an integrated setup and to explore the role of monetary policy in the three...
Persistent link: https://www.econbiz.de/10008595899
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The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR
Halberstadt, Arne - Deutsche Bundesbank - 2015
Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare two different assumptions on how agents may form their expectations about the economy and yields in a pseudo real time exercise. Based on the no-arbitrage...
Persistent link: https://www.econbiz.de/10011161229
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Uncertainty and bank wholesale funding
Dinger, Valeriya; Craig, Ben - Deutsche Bundesbank - 2013
In this paper we relate a bank's choice between retail and wholesale liabilities to real economic uncertainty and the resulting volatility of bank loan volumes. We argue that since the volume of retail deposits is slow and costly to adjust to shocks in the volume of bank assets, banks facing...
Persistent link: https://www.econbiz.de/10010957087
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Early warning indicators for the German banking system: A macroprudential analysis
Jahn, Nadya; Kick, Thomas - Deutsche Bundesbank - 2012
Over the past two decades, Germany experienced several periods of banking system instability rather than full …-blown banking system crises. In this paper we introduce a continuous and forward-looking stability indicator for the banking system … spillovers play a significant role across all banking sectors, regional spillovers and the credit-to-GDP ratio are more important …
Persistent link: https://www.econbiz.de/10010957094
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Cyclical implications of minimum capital requirements
Heid, Frank - Deutsche Bundesbank - 2005
Capital requirements play a key role in the supervision and regulation of banks. The Basel Committee on Banking …
Persistent link: https://www.econbiz.de/10005082755