We study differences in the price paid for liquidity across banks using price data atthe individual bank level. Unique to this paper, we also have data on individualbanks’ reserve requirements and actual reserve holdings, thus allowing us to gaugethe extent to which a bank is short or long...

Interest rate derivatives are among the most actively traded financial instruments in the main currency areas. With values of positions reacting immediately to the underlying index of daily interbank rates, manipulation has become an increasing challenge for the operational implementation of...

[...]We address several questions in this paper. First,how could macro markets be useful to the average person?Second, how large are the potential benefits from diversificationif these markets were to be introduced andused optimally? Third, can existing financial marketsachieve a similar degree...

[...]Inflation targeting in New Zealand followed legislationthat mandated a Policy Targets Agreement (PTA)between the elected government and the newlyindependent central bank, which resulted in a jointlydecided numerical target for inflation.[...]

We analyze the effect of enhanced annuities on an insurer engaging in individualunderwriting. We use a frailty model for the heterogeneity of the insured populationand model the individual underwriting by a random variable that positivelycorrelates with the corresponding frailty factor. For a...

In the last few years it has been possible to observe decreasing interest margins forGerman universal banks. At the same time, institutions increasingly moved partof their business from interest to fee-earning activities. This study analyzes thedeterminants of non-interest income and its impact...

Despite extensive research interest in the last decade, the banking literature has notreached a consensus on the impact of bank mergers on deposit rates. In particular,results on the dynamics of deposit rates surrounding bank mergers vary substantiallyacross studies. In this paper, we aim for a...

Auch wenn die grundsätzliche Idee von Hedge Funds schon mehr als ein halbes Jahrhundertbesteht, so hat diese Anlageform doch erst in den letzten Jahren an Bedeutunggewonnen, und zwar sowohl in der Praxis als auch in der der akademischen Forschung.Dabei sind Hedge Funds in die größere Klasse...

As is well known, the uncovered interest rate parity fails in the short run but usually holds in the long run. This paper analyses the long and short run interest rate parity of 10 mayor OECD currencies and finds that there is a long run failure of the uncovered interest rate parity condition...

Ron Davidson kritisiert in seiner Stellungnahme die Analyse der Vorteilhaftigkeit von Zerobondsbei konstantem Steuersatz (Kapitel B unseres Beitrags in ZfB, 69. Jg. (1999), H. 1, 83-114).Seine Anmerkungen gehen davon aus, unsere explizite Modellannahme einer Cash-Flow-Barwertmaximierungin Frage...