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Wealth shocks, credit-supply shocks, and asset allocation : evidence from household and firm portfolios

Kick, Thomas; Ruprecht, Benedikt; Onali, Enrico; … - 2014

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...

Persistent link: https://www.econbiz.de/10010258831

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - 2012

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...

Persistent link: https://www.econbiz.de/10009528878

Moral suasion in regional government bond markets

Ohls, Jana - 2017

In the context of the German regional government bond market, this paper studies the hypothesis that governments use moral suasion to persuade home government-owned banks to hold more home government debt. The empirical approach makes use of German banks' ownership structure, heterogeneity in...

Persistent link: https://www.econbiz.de/10011755947

Backtesting macroprudential stress tests

Ramadiah, Amanah; Fricke, Daniel; Caccioli, Fabio - 2020

In this paper, we consider models of price-mediated contagion in a banking networkof common asset holdings. For these models, the literature proposed two alternativeclasses of liquidation dynamics:threshold dynamics(banks liquidate their invest-ment portfolios only after they have defaulted),...

Persistent link: https://www.econbiz.de/10012258918

CBDC and banks : disintermediating fast and slow

Bidder, Rhys; Jackson, Timothy P.; Rottner, Matthias - 2024

We examine the impact of central bank digital currency (CBDC) on banks and the broader economy - drawing on novel survey evidence and using a structural macroeconomic model with endogenous bank runs. A substantial share of German respondents would include CBDCs in their portfolio in normal times...

Persistent link: https://www.econbiz.de/10014558876

Structural change within versus across firms : evidence from the United States

Ding, Xiang; Fort, Teresa C.; Redding, Stephen; Schott, … - 2022

Persistent link: https://www.econbiz.de/10013206940

Pandemic shock and economic divergence : political economy before and after the black death

Bosshart, Luis; Dittmar, Jeremiah - 2021

Persistent link: https://www.econbiz.de/10012655840

Social institutions and economic inequality : modeling the onset of the Kuznets curve

Alvarez-Pereira, Brais; Bale, Catherine S. E.; Furtado, … - 2015

Theoretical models of the Kuznets Curve have been purely analytical with little contribution towards an understanding of the timing of the process and the presence of additional mechanisms affecting its timing. This paper proposes an agent-based version of Acemoglu and Robinson's model of the...

Persistent link: https://www.econbiz.de/10012057437

How does democracy cause growth?

Boese-Schlosser, Vanessa; Eberhardt, Markus - 2023 - This version: July 6th, 2023

institutions which drive this relationship using data from the Varieties of Democracy project. We sketch how incentives and … opportunities as well as the distribution of political power shaped by underlying institutions, in combination with the extent of … selection into institutional change, and run horse races between underlying institutions. We find that freedom of expression …

Persistent link: https://www.econbiz.de/10014334859

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - 2014

momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially …

Persistent link: https://www.econbiz.de/10010471006