In this paper, we develop a financial stress index for France that can be used as a real-time composite indicator for the state of financial stability in France. We take 17 financial variables from different market segments and extract a common stress component using a dynamic approximate factor...

We study the impact of monetary conditions on the supply of mortgage credit by banks to households. Using comprehensive credit register data from Hungary, we first establish a "bank-lending-to-households" channel by showing that monetary conditions affect the supply of mortgage credit in volume....

Sovereign governments owe debt to many foreign creditors and can choose which creditors to favor when making payments. This paper documents the de facto seniority structure of sovereign debt using new data on defaults (missed payments or arrears) and creditor losses in debt restructuring...

Neben Frühindikatoren und Übertragungsmechanismen werden Lösungsansätze diskutiert. Bei den multilateralen Ansätzen führt die Einführung von Referenzzonen nicht weiter, die Behinderung des internationalen Kapitalverkehrs ist mit erheblichen Wohlfahrtsverlusten verbunden. Der...

The currency crises of the 1990s all exhibit a divergence of the nominal and the real exchange rate together with an increase in the negative current account. The nominal rate does not reflect inflation differences fully and the ensuing real appreciation leads to a negative current account. This...

Changes in exchange rates have become a prominent issue in Germany and Japan - due to the enormous appreciation of the Deutschmark and the Yen. Conventional wisdom suggests that economic activity will be negatively affected if a currency is going through a phase of appreciation. The paper...

This paper studies external sovereign bonds as an asset class. We compile a new database of 266,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering up to 91 countries. Our main insight is that, as in...

Sind die Maßnahmen des Europäischen Stabilitätsmechanismus geeignet, Schuldenkrisen wie die in Griechenland und Portugal künftig zu verhindern? Eindeutig nicht, denn private Investoren profitieren nach wie vor von den hohen Zinsen der notleidenden Staatsschuldtitel, ohne angemessen an den...

The financial crisis 2008-2009 and the European sovereign debt crisis have shown that stress on financial markets is important for analyzing and forecasting economic activity. Since financial stress is not directly observable but is presumably reflected in many financial market variables, it is...

Pecking order models of international finance suggest that countries should become less reliant on international bank lending as they develop. Reduced information costs are one of the factors behind this trend towards disintermediation. This paper presents a simple model on the choice between...