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The dark side of bank wholesale funding
Huang, Rocco; Ratnovski, Lev - 2010
Banks increasingly use short-term wholesale funds to supplement traditional retail deposits. Existing literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad but refinancing good ones. This paper models a "dark side" of...
Persistent link: https://www.econbiz.de/10009640317
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The impact of public guarantees on bank risk taking
Gropp, Reint; Gruendl, Christian; Guettler, Andre - 2010
In 2001, government guarantees for savings banks in Germany were removed following a law suit. We use this natural experiment to examine the effect of government guarantees on bank risk taking, using a large data set of matched bank/borrower information. The results suggest that banks whose...
Persistent link: https://www.econbiz.de/10009640419
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The determinants of bank capital structure
Gropp, Reint; Heider, Florian - 2009
The paper shows that mispriced deposit insurance and capital regulation were of second order importance in determining the capital structure of large U.S. and European banks during 1991 to 2004. Instead, standard cross-sectional determinants of non-financial firms’ leverage carry over to...
Persistent link: https://www.econbiz.de/10009640517
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The debt-equity tax bias : consequences and solutions
Fatica, Serena; Hemmelgarn, Thomas; Nicodeme, Gaetan - Europäische Kommission / Generaldirektion Steuern und …; … - 2012
Persistent link: https://www.econbiz.de/10009661740
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How does the ECB allot liquidity in its weekly main refinancing operations?
Ejerskov, Steen; Moss, Clara Martin; Stracca, Livio - 2003
deviations of the overnight rate from the main refinancing rate. Moreover the paper finds that liquidity has affected the …This paper provides a simple weekly model of the regular supply of liquidity in the euro area, with a view to … understanding the functioning of the euro area money market. The main result of the analysis is that liquidity has normally been …
Persistent link: https://www.econbiz.de/10009635957
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Risk spillover among hedge funds
Klaus, Benjamin; Rzepkowski, Bronka - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10009640467
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Euro area sovereign yield dynamics
Menkveld, Albert J.; Cheung, Yiu C.; Jong, Frank/de - 2004
We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the ten-year government bonds of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...
Persistent link: https://www.econbiz.de/10009639439
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Towards European monetary integration
González, Fernando; Launonen, Simo - 2005
We assess monetary convergence preceding the implementation of the European Monetary Union (EMU) through Kalman filtering estimates of the risk premium of eleven forward exchange rates of European and non-European currencies. Since all participating currencies are in effect identical from...
Persistent link: https://www.econbiz.de/10009639925
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Monetary policy and capital regulation in the US and Europe
Cohen-Cole, Ethan; Morse, Jonathan - 2010
From the onset of the 2007-2009 crisis, the Federal Reserve and the European Central Bank have aggressively lowered interest rates. Both sets of changes are at odds with an anti-inflationary stance of monetary policy; indeed, as the crisis began in August 2007 inflation expectations were high...
Persistent link: https://www.econbiz.de/10009640318
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Booms and busts in China's stock market
Bondt, Gabe J. de; Peltonen, Tuomas A.; Santabárbara, … - 2010
-free interest rate, and a proxy for equity risk premium. It uses the estimated longrun stock price misalignments to date booms and … busts, and analyses equity market reforms and excess liquidity as potential drivers of these stock price misalignments. Our … can be identified. Policy actions, either taking the form of deposit rate changes, equity market reforms or excess …
Persistent link: https://www.econbiz.de/10009640350