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Tail dependence of financial stocks and CDS markets: Evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - Institut für Weltwirtschaft (IfW) - 2013

means that, surprisingly, the association between stock prices and spreads of the banking sector does not seem to surge in …

Persistent link: https://www.econbiz.de/10010956052

How Resilient is the German Banking System to Macroeconomic Shocks?

Dovern, Jonas; Meier, Carsten-Patrick; Vilsmeier, Johannes - Institut für Weltwirtschaft (IfW) - 2008

Macro-stress testing studies often rely on rather short sample periods due to the limited availability of banking data …. They may fail to appropriately account for the cyclicality in the interaction between the banking system and macroeconomic … to model the interaction between the banking sector and the macroeconomy. Our identified-VAR analysis indicates that the …

Persistent link: https://www.econbiz.de/10005818895

A tale of two debt crises: a stochastic optimal control analysis

Stein, Jerome L. - Institut für Weltwirtschaft (IfW) - 2009

Banks should evaluate whether a borrower is likely to default. The author applies several techniques in the extensive mathematical literature of stochastic optimal control/dynamic programming to derive an optimal debt in an environment where there are risks on both the asset and liabilities...

Persistent link: https://www.econbiz.de/10008561122

Capital Mobility in Euroland ; The Role of Banks

Buch, Claudia M. - Institut für Weltwirtschaft (IfW) - 1999

analyzes the implications of the euro for cross-border banking activities. A portfolio model is used which captures the role of …

Persistent link: https://www.econbiz.de/10005700501

Contagion Between European and US Banks: Evidence from Equity Prices

Fricke, Daniel - Institut für Weltwirtschaft (IfW) - 2010

This paper employs an Extreme Value Theory framework to investigate the existence of contagion between European and US banks. The fact that many regulators have no detailed data sets about interbank cross-exposures raises the necessity of finding market-based indicators in order to analyze the...

Persistent link: https://www.econbiz.de/10008764567

Exporters in the Financial Crisis

Görg, Holger; Spaliara, Marina-Eliza - Institut für Weltwirtschaft (IfW) - 2014

Using a large panel of UK manufacturing firms over the period 2000—2009, we consider how firms responded during the most recent financial crisis, estimating models for export market participation decisions and firm growth and survival. The results indicate that financial variables are highly...

Persistent link: https://www.econbiz.de/10010886868

Network Analysis of the e-MID Overnight Money Market: The Informational Value of Different Aggregation Levels for Intrinsic Dynamic Processes

Finger, Karl; Fricke, Daniel; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2012

In this paper, we analyze the network properties of the Italian e-MID data based on overnight loans during the period 1999-2010. We show that the networks appear to be random at the daily level, but contain significant non-random structure for longer aggregation periods. In this sense, the daily...

Persistent link: https://www.econbiz.de/10010886878

Real Financial Market Exchange Rates and Capital Flows

Leppin, Julian S.; Reitz, Stefan - Institut für Weltwirtschaft (IfW) - 2014

This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...

Persistent link: https://www.econbiz.de/10010886881

Euro Area: Single Currency - National Money Creation

Kooths, Stefan; Roye, Björn van - Institut für Weltwirtschaft (IfW) - 2012

nationally segmented banking systems. As a side effect, the national central banks substitute money market operations for cross …-area-wide regulatory approach is required. In addition to establishing a uniform scheme for banking regulation, supervision and resolution … banking industry. Since CoCos cannot be introduced overnight, national and European banking resolution funds would be needed …

Persistent link: https://www.econbiz.de/10010886947

Friendship between Banks: An Application of an Actor-Oriented Model of Network Formation on Interbank Credit Relations

Finger, Karl; Lux, Thomas - Institut für Weltwirtschaft (IfW) - 2014

This paper investigates the driving forces behind banks’ link formation in the interbank market by applying the stochastic actor oriented model (SAOM) developed in sociology. Our data consists of quarterly networks constructed from the transactions on an electronic platform (e-MID) over the...

Persistent link: https://www.econbiz.de/10010905563