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Bubbles and incentives: A post-mortem of the Neuer Markt in Germany

von Kalckreuth, Ulf; Silbermann, Leonid - Deutsche Bundesbank - 2010

This paper aims to shed light on some of the major allocative consequences of financial market bubbles. In March 1997, the Neuer Markt in Germany opened. Six years later, in June 2003, it closed forever. In the interim period lay the spectacular rise and fall of the first and most important...

Persistent link: https://www.econbiz.de/10008534148

CDS spreads and systemic risk: A spatial econometric approach

Keiler, Sebastian; Eder, Armin - Deutsche Bundesbank - 2013

This study applies a novel way of measuring, quantifying and modelling the systemic risk within the financial system. The magnitude of risk spill over effects is gauged by introducing a specific weighting scheme. This approach originally stems from spatial econometrics. The methodology allows...

Persistent link: https://www.econbiz.de/10010957156

The stable long-run CAPM and the cross-section of expected returns

Kim, Jeong-Ryeol - Deutsche Bundesbank - 2002

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical results regarding the relation between market Beta and...

Persistent link: https://www.econbiz.de/10005083064

A note on the coefficient of determination in regression models with infinite-variance variables

Loretan, Michael Stanislaus; Kurz-Kim, Jeong-Ryeol - Deutsche Bundesbank - 2007

providing a brief survey of theoretical results on estimation and hypothesis testing in regression models with infinite …

Persistent link: https://www.econbiz.de/10005083093

A rental-equivalence index for owner-occupied housing in West Germany 1985 to 1998

Kurz, Claudia; Hoffmann, Johannes - Deutsche Bundesbank - 2004

In this paper, we review the German practice of imputing the costs of owner-occupied housing by increasing the relative weight of actual rents in the CPI. As the structure of owner-occupied housing differs substantially from that of rental housing, this variant of the imputation method may cause...

Persistent link: https://www.econbiz.de/10005083156

Rent indices for housing in West Germany 1985 to 1998

Hoffmann, Johannes; Kurz, Claudia - Deutsche Bundesbank - 2002

-Economic Panel, we perform a hedonic analysis of housing rents and compile different price indices. Overall, we conclude that there …

Persistent link: https://www.econbiz.de/10005083285

Taxing banks: An evaluation of the German bank levy

Buch, Claudia M.; Hilberg, Björn; Tonzer, Lena - Deutsche Bundesbank - 2014

Bank distress can have severe negative consequences for the stability of the financial system, the real economy, and for public finances. Regimes for the restructuring and resolution of banks, financed by bank levies and fiscal backstops, seek to reduce these costs. Bank levies attempt to...

Persistent link: https://www.econbiz.de/10011122559

Saving and learning: Theory and evidence from saving for child's college

Zhu, Junyi - Deutsche Bundesbank - 2012

status and the child's true ability. Next, I test the implications of the model from the Panel Study of Income Dynamics …

Persistent link: https://www.econbiz.de/10010957083

Estimation of linear dynamic panel data models with time-invariant regressors

Kripfganz, Sebastian; Schwarz, Claudia - Deutsche Bundesbank - 2013

This paper considers estimation methods and inference for linear dynamic panel data models with unit …-invariant variables in a dynamic version of the Hausman and Taylor (1981) model. We propose a two-stage estimation procedure to identify … errors are adjusted to take into account the first-stage estimation uncertainty. As potential first-stage estimators we …

Persistent link: https://www.econbiz.de/10010957091

Early warning indicators for the German banking system: A macroprudential analysis

Jahn, Nadya; Kick, Thomas - Deutsche Bundesbank - 2012

panel regression techniques, we identify significant macroprudential early warning indicators (such as asset price …

Persistent link: https://www.econbiz.de/10010957094