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On the economics of crisis contracts
Aptus, Elias; Britz, Volker; Gersbach, Hans - Center for Financial Studies - 2014
We examine the impact of so-called Crisis Contracts on bank managers' risktaking incentives and on the probability of banking crises. Under a Crisis Contract, managers are required to contribute a pre-specified share of their past earnings to finance public rescue funds when a crisis occurs....
Persistent link: https://www.econbiz.de/10010958513
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Contagious stablecoins?
van Buggenum, Hugo; Gersbach, Hans; Zelzner, Sebastian - 2024
Can competing stablecoins produce efficient and stable outcomes? We study competition among stablecoins pegged to a stable currency. They are backed by interest-bearing safe assets and can be redeemed with the issuer or traded in a secondary market. If an issuer sticks to an appropriate...
Persistent link: https://www.econbiz.de/10014492831
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On the importance of sectoral shocks for price-setting
Beck, Guenter W.; Hubrich, Kirstin; Marcellino, Massimiliano - Center for Financial Studies - 2009
We use a novel disaggregate sectoral euro area dataset with a regional breakdown that allows explicit estimation of the sectoral component of price changes (rather than interpreting the idiosyncratic component as sectoral as done in other papers). Employing a new method to extract factors from...
Persistent link: https://www.econbiz.de/10010958536
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Derivatives usage in risk management by U.S. and German non-financial firms: A comparative survey
Bodnar, Gordon M.; Gebhardt, Günther - Center for Financial Studies - 1998
This paper is a comparative study of the responses to the 1995 Wharton School survey of derivative usage among US non … derivative usage is most common, followed closely by interest rate derivatives, with commodity derivatives a distant third. Usage …, firms in the two countries differ notably on issues such as the primary goal of hedging, their choice of instruments, and …
Persistent link: https://www.econbiz.de/10010986461
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Monopoly power limits hedging
Muermann, Alexander; Shore, Stephen H. - Center for Financial Studies - 2008
When a spot market monopolist participates in a derivatives market, she has an incentive to deviate from the spot market monopoly optimum to make her derivatives market position more profitable. When contracts can only be written contingent on the spot price, a risk-averse monopolist chooses to...
Persistent link: https://www.econbiz.de/10010958507
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Weather forecasting for weather derivatives
Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2004
We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes....
Persistent link: https://www.econbiz.de/10010958801
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Weather Forecasting for Weather Derivatives
Campbell, Sean D.; Diebold, Francis X. - Center for Financial Studies - 2004
We take a simple time-series approach to modeling and forecasting daily average temperature in U.S. cities, and we inquire systematically as to whether it may prove useful from the vantage point of participants in the weather derivatives market. The answer is, perhaps surprisingly, yes....
Persistent link: https://www.econbiz.de/10005176448
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Commodity connectedness
Diebold, Francis X.; Liu, Laura; Yilmaz, Kamil - 2017
We use variance decompositions from high-dimensional vector autoregressions to characterize connectedness in 19 key commodity return volatilities, 2011-2016. We study both static (full-sample) and dynamic (rolling-sample) connectedness. We summarize and visualize the results using tools from...
Persistent link: https://www.econbiz.de/10011729743
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Why EMU is irrelevant for the German economy
Posen, Adam - Center for Financial Studies - 1998
No one seems to be neutral about the effects of EMU on the German economy. Roughly speaking, there are two camps: those who see the euro as the advent of a newly open, large, and efficient regime which will lead to improvements in European and in particular in German competitiveness; those who...
Persistent link: https://www.econbiz.de/10010958722
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Sovereign risk, bank funding and investors' pessimism
Faia, Ester - 2016
Data show that sovereign risk reduces liquidity, increases funding cost and risk of banks highly exposed to it. I build a model that rationalizes this fact. Banks act as delegated monitors and invest in risky projects and in risky sovereign bonds. As investors hear rumors of increased sovereign...
Persistent link: https://www.econbiz.de/10011541796