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Wealth Shocks, Credit-Supply Shocks, and Asset Allocation : Evidence from Household and Firm Portfolios
Kick, Thomas K. - 2016
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/10012988743
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The role of central bank knowledge and trust for the public's inflation expectations
Mellina, Sathya; Schmidt, Tobias - 2018
Since the financial crisis, central banks have stressed the role of trust and communication in connection with their objectives and strategies for aligning the public's inflation expectations with their own and, consequently, improving the effectiveness of monetary policy. Assessing how much the...
Persistent link: https://www.econbiz.de/10011902079
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Households' Disagreement on Inflation Expectations and Socioeconomic Media Exposure in Germany
Menz, Jan-Oliver - 2016
suggest that household-specific inflation rates and group-specific news consumption accounts for the higher expectation gaps …
Persistent link: https://www.econbiz.de/10012988775
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Mitigating Financial Stress in a Bank-Financed Economy : Equity Injections into Banks or Purchases of Assets?
Kuehl, Michael - 2016
This paper compares the consequences of equity injections into banks with purchases of corporate and government bonds in a financial crisis situation using a New Keynesian model in which non-financial firms predominantly take non-market-based debt from banks instead of issuing securities. Our...
Persistent link: https://www.econbiz.de/10012988728
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Household Saving Behavior and Credit Constraints in the Euro Area
Le Blanc, Julia - 2016
We study the role of household saving behaviour, of individual motives for saving and that of perceived liquidity … constraints in 15 Euro Area countries. The empirical analysis is based on the Household Finance and Consumption Survey, a new … harmonized data set collecting detailed information on wealth holdings, consumption and income at the household level. Since the …
Persistent link: https://www.econbiz.de/10012988731
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M-Press-CreditRisk : A Holistic Micro- and Macroprudential Approach to Capital Requirements
Tente, Natalia - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10012953401
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A Macroeconomic Reverse Stress Test
Grundke, Peter - 2016
Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...
Persistent link: https://www.econbiz.de/10012988674
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Credit Risk Connectivity in the Financial Industry and Stabilization Effects of Government Bailouts
Bosma, Jakob - 2016
We identify the connections between financial institutions from different sectors of the financial industry based on joint extreme movements in credit default swap (CDS) spreads. First, we estimate pairwise co-crash probabilities (CCP) to identify significant connections among 193 international...
Persistent link: https://www.econbiz.de/10012988821
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Bank Regulation and Stability : An Examination of the Basel Market Risk Framework
Alexander, Gordon J. - 2016
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/10012988825
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Does Banknote Quality Affect Counterfeit Detection? Experimental Evidence from Germany and the Netherlands
van der Horst, Frank - 2016
Netherlands and Germany. Participants received a set of 200 banknotes with either a high or a low average soil level, based on the … actual circulation in two different countries. Real-life circulation in both Germany and the Netherlands is in between these …
Persistent link: https://www.econbiz.de/10012988638