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The effect of peer observation on consumption choices : experimental evidence

Sakha, Sahra; Grohmann, Antonia - 2016

using a lab-in-the-field experiment. We find that those groups that observe each other show lower within group standard …

Persistent link: https://www.econbiz.de/10011434386

The influence of an up-front experiment on respondents’ recording behaviour in payment diaries : evidence from Germany

Sieber, Susann; Schmidt, Tobias - 2015

-of-sales expenditures. We are particularly interested in the effect of a behavioural experiment, eliciting respondents’ risk preferences, on … their recording behaviour. In the experiment, run shortly before the consumers start to fill in the diary, the consumers … literature on incentives. For participants who roll the die, the experiment can be seen as a tool to randomly assign an incentive …

Persistent link: https://www.econbiz.de/10011404296

Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?

Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015

In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few...

Persistent link: https://www.econbiz.de/10011419593

Characterizing the financial cycle : evidence from a frequency domain analysis

Strohsal, Till; Proaño Acosta, Christian; Wolters, Jürgen - 2015

A growing body of literature argues that the financial cycle is considerably longer in duration and larger in amplitude than the business cycle and that its distinguishing features became more pronounced over time. This paper proposes an empirical approach suitable to test these hypotheses. We...

Persistent link: https://www.econbiz.de/10011299043

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with differing results in terms of strength and direction of the relationship. This paper uses models of the multivariate GARCH type which allow for time-variability and regime changes in...

Persistent link: https://www.econbiz.de/10009625556

Disentangling economic recessions and depressions

Candelon, Bertrand; Metiu, Norbert; Straetmans, Stefan - 2013

We propose a nonparametric test that distinguishes “depressions” and “booms” from ordinary recessions and expansions. Depressions and booms are defined as coming from another underlying process than recessions and expansions. We find four depressions and booms in the NBER business cycle...

Persistent link: https://www.econbiz.de/10010202869

Analyzing business and financial cycles using multi-level factor models

Breitung, Jörg; Eickmeier, Sandra - 2014

This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero restrictions on the associated matrix of factor loadings. We suggest a sequential least squares algorithm for minimizing the total sum of squared residuals and a two-step approach based...

Persistent link: https://www.econbiz.de/10010373684

Centrality-based capital allocations

Alter, Adrian; Craig, Ben R.; Raupach, Peter - 2015

We look at the effect of capital rules on a banking system that is connected through correlated credit exposures and interbank lending. The rules, which combine individual bank characteristics and interconnectivity measures of interbank lending, are to minimize a measure of system-wide losses....

Persistent link: https://www.econbiz.de/10010471625

The term structure of interest rates and the macroeconomy : learning about economic dynamics from a FAVAR

Halberstadt, Arne - 2015

Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare two different assumptions on how agents may form their expectations about the economy and yields in a pseudo real time exercise. Based on the no-arbitrage...

Persistent link: https://www.econbiz.de/10010471626

Updating the option implied probability of default methodology

Vilsmeier, Johannes - 2014

In this paper we ‘update’ the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second,...

Persistent link: https://www.econbiz.de/10010471968

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