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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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Repo funding and internal capital markets in the financial crisis
Düwel, Cornelia - Deutsche Bundesbank - 2013
markets) during the financial crisis has affected their provision of funds to their foreign branches and subsidiaries via bank … likely to withdraw bank-internal funds from their branches and subsidiaries located abroad. Among the three events, the … rescue of Bear Stearns triggered the largest contraction on internal capital markets from the part of the parent bank …
Persistent link: https://www.econbiz.de/10010984715
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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
policymakers' efforts to strengthen bank capitalization. …
Persistent link: https://www.econbiz.de/10010957160
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Extraordinary measures in extraordinary times: Public measures in support of the financial sector in the EU and the United States
Stolz, Stéphanie Marie; Wedow, Michael - Deutsche Bundesbank - 2010
monetary policy actions and bank rescue measures have become increasingly intertwined. However, there are important differences …, not only between the EU and the United States (e.g. with regard to the involvement of the central bank), but also within …
Persistent link: https://www.econbiz.de/10008548749
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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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Moral hazard and bail-out in fiscal federations: evidence for the German Länder
Heppke-Falk, Kirsten H.; Wolff, Guntram B. - Deutsche Bundesbank - 2007
We identify investor moral hazard in the German fiscal federation. Our identification strategy is based on a variable, which was used by the German Federal Constitutional Court as an indicator to determine eligibility of two German states (Länder) to a bail-out, the interest payments-to-revenue...
Persistent link: https://www.econbiz.de/10005083197
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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
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Fiscal institutions, fiscal policy and sovereign risk premia
Hallerberg, Mark; Wolff, Guntram B. - Deutsche Bundesbank - 2006
We investigate the effect of fiscal institutions such as the strength of the finance minister in the budget process and deficits on interest spreads contained in bond yields of the countries now belonging to the Eurozone. Deficits significantly increase risk premia measured by relative swap...
Persistent link: https://www.econbiz.de/10005083235
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Decomposition of country-specific corporate bond spreads
Dötz, Niko - Deutsche Bundesbank - 2014
This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...
Persistent link: https://www.econbiz.de/10011122560
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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