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Procyclical leverage in Europe and its role in asset pricing

Baltzer, Markus; Koehl, Alexandra; Reitz, Stefan - 2019

balance-sheet indicators for asset pricing. In particular, leverage shows a procyclical behavior with a positive price of risk …

Persistent link: https://www.econbiz.de/10011987800

Uncertainty about QE effects when an interest rate peg is anticipated

Gerke, Rafael; Giesen, Sebastian; Kienzler, Daniel - 2018

After hitting the lower bound on interest rates, the Eurosystem engaged in a public sector purchase programme (PSPP) and forward guidance (FG). We use prior and posterior predictive analysis to evaluate the importance of parameter uncertainty in an analysis of these policies. We model FG as an...

Persistent link: https://www.econbiz.de/10011846905

Unemployment insurance and cultural transmission : theory and application to European unemployment

Michau, Jean-Baptiste (contributor) - 2009

This paper emphasizes the two-way causality between the provision of unemployment insurance and the cultural transmission of work ethic. Values affect the size of the moral-hazard problem and, hence, the policy to be implemented. Conversely, when parents rationally choose how much effort to...

Persistent link: https://www.econbiz.de/10003868513

Out of sight, out of mind? : on the risk of sub-custodian structures

Droll, Thomas; Podlich, Natalia; Wedow, Michael - 2015

long and frequently reach across several countries. The risk that securities are lost or the return to their owners delayed … Depositories (CSDs) play a beneficial role in the management of sub-custodian structures, since chains where a CSD is the first sub …-custodian reduce the country risk in sub-custodian structures. When we analyse the choice of a CSD as first sub-custodian, we find that …

Persistent link: https://www.econbiz.de/10011334614

Doom loop, trilemma, and moral hazard : which narrative of the banking union did stock market investors buy?

Körner, Tobias; Papageorgiou, Michael - 2024

returns of banks are positively related to sovereign risk, with Greek banks experiencing extremely high abnormal returns. By … contrast, abnormal returns are not robustly related to bank risk. These findings reveal market expectations consistent with the …

Persistent link: https://www.econbiz.de/10015051532

Multinational banks’ deleveraging in the crisis driven by pre-crisis characteristics and behavior

Frey, Rainer - 2015

risk taking, both high average income and a strong balance sheet expansion in the pre-crisis period are found to be …

Persistent link: https://www.econbiz.de/10011299079

The effects of government bond purchases on leverage constraints of banks and non-financial firms

Kühl, Michael - 2016

This paper investigates how government bond purchases affect leverage-constrained banks and non-financial firms by utilising a stochastic general equilibrium model. My results indicate that government bond purchases not only reduce non-financial firms' borrowing costs, amplified through a...

Persistent link: https://www.econbiz.de/10011541061

External financing and economic activity in the euro area : why are bank loans special?

Aldasoro, Iñaki; Unger, Robert - 2017

Using a Bayesian vector autoregression (BVAR) identified with a mix of sign and zero restrictions, we show that a restrictive bank loan supply shock has a strong and persistent negative impact on real GDP and the GDP deflator. This result comes about even though flows of other sources of...

Persistent link: https://www.econbiz.de/10011632175

On measuring uncertainty and its impact on investment : cross-country evidence from the euro area

Meinen, Philipp; Röhe, Oke - 2016

Investment fell sharply in the euro area after the financial crisis and has not yet returned to pre-crisis levels in many core economies. Focusing on the four largest euro-area countries, this paper investigates the role of uncertainty for investment dynamics. By doing so, we compare five...

Persistent link: https://www.econbiz.de/10011571047

To sign or not to sign? : on the response of prices to financial and uncertainty shocks

Meinen, Philipp; Röhe, Oke - 2018

Based on SVAR models identified by sign restrictions, we estimate the macroeconomic effects of financial and uncertainty shocks in the euro area and the US, paying particular attention to their effects on prices. While our results confirm that such disturbances are important drivers of output...

Persistent link: https://www.econbiz.de/10011897983