Similar Search Results

The price of liquidity: bank characteristics and market conditions

Fecht, Falko; Nyborg, Kjell G.; Rocholl, Jörg - Deutsche Bundesbank - 2008

We study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique … to gauge the extent to which a bank is short or long liquidity. We find that the price a bank pays for liquidity depends … on the liquidity positions of other banks, as well as its own. There is evidence that liquidity squeezes occasionally …

Persistent link: https://www.econbiz.de/10005083283

Banking consolidation and small businessfinance: empirical evidence for Germany

Marsch, Katharina; Schmieder, Christian; Forster-van … - Deutsche Bundesbank - 2007

Since the early 1990s an unprecedented process of consolidation has taken place in the banking sector in most industrialised countries raising concern of policymakers that it may reduce access to credit for the small business sector. While most of the existing empirical studies have focused on...

Persistent link: https://www.econbiz.de/10005082782

International portfolios, capital accumulation and foreign assets dynamics

Coeurdacier, Nicolas; Kollmann, Robert Miguel W. K.; … - Deutsche Bundesbank - 2008

Despite the liberalisation of capital flows among OECD countries, equity home bias remains sizable. We depart from the two familiar explanation of equity home bias: transaction costs that impede international diversification, and terms of trade responses to supply shocks that provide risk...

Persistent link: https://www.econbiz.de/10005083063

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

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a special case. These tests are developed in the framework of...

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

A network view on interbank market freezes

Gabrieli, Silvia; Georg, Co-Pierre - Deutsche Bundesbank - 2014

We study the liquidity allocation among European banks around the Lehman insolvency using a novel dataset of all … segment become sensitive to counterparty characteristics and banks start hoarding liquidity by shortening the maturity of … their interbank lending. This aggregate change in liquidity reallocation is accompanied by a substantial structural change …

Persistent link: https://www.econbiz.de/10011161231

Wealth shocks, credit-supply shocks, and asset allocation: Evidence from household and firm portfolios

Kick, Thomas; Ruprecht, Benedikt; Onali, Enrico; … - Deutsche Bundesbank - 2014

We use a unique dataset with bank clients' security holdings for all German banks to examine how macroeconomic shocks affect asset allocation preferences of households and non-financial firms. Our analysis focuses on two alternative mechanisms which can influence portfolio choice: wealth shocks,...

Persistent link: https://www.econbiz.de/10010957106

Collateral requirements and asset prices

Brumm, Johannes; Grill, Michael; Kubler, Felix; … - Deutsche Bundesbank - 2013

Many assets derive their value not only from future cash flows but also from their ability to serve as collateral. In this paper, we investigate this collateral value and its impact on asset returns in an infinite-horizon general equilibrium model with heterogeneous agents facing collateral...

Persistent link: https://www.econbiz.de/10010957121

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

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

Using a unique data set on German banks' sector specific loan exposures to the real economy and the corresponding write-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...

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

Bank regulation and stability: An examination of the Basel market risk framework

Alexander, Gordon J.; Baptista, Alexandre M.; Yan, Shu - Deutsche Bundesbank - 2012

In attempting to promote bank stability, the Basel Committee on Banking Supervision (2006) provides a framework that seeks to control the amount of tail risk that large banks take in their trading books. However, banks around the world suffered sizeable trading losses during the recent crisis....

Persistent link: https://www.econbiz.de/10010957130

Banks and sovereign risk: A granular view

Buch, Claudia M.; Koetter, Michael; Ohls, Jana - Deutsche Bundesbank - 2013

In this paper, we use detailed data on the sovereign debt holdings of all German banks to analyse the determinants of sovereign debt exposures and the implications of sovereign exposures for bank risk. Our main findings are as follows. First, sovereign bond holdings are heterogeneous across...

Persistent link: https://www.econbiz.de/10010957143