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Potential implications of a NSFR on German banks' credit supply and profitability

Schmitt, Matthias; Schmaltz, Christian - 2016

We study how a Net Stable Funding Ratio as defined by the Basel Committee in 2014 (NSFR (2014)) would affect the … profitability of German banks and their capacity to lend. With a NSFR-model that is partially calibrated against reported NSFRs, we … find that 9% of German banks do not comply with the NSFR (2014). This is a significant reduction compared to the 39% that …

Persistent link: https://www.econbiz.de/10011541056

CoCo bonds, bank stability, and earnings opacity

Ludolph, Melina - Leibniz-Institut für Wirtschaftsforschung Halle - 2024 - This version: September 3, 2024

This paper examines the effect of CoCo bonds that qualify as additional tier 1 capital on bank stability and reporting. The results reveal a significant reduction in the distance to insolvency following the hybrid bond issuance due to increased earnings volatility. Banks report less stable net...

Persistent link: https://www.econbiz.de/10015127064

IV Estimation of Spatial Dynamic Panels with Interactive Effects : Large Sample Theory and an Application on Bank Attitude Toward Risk

Cui, Guowei - 2020

The present paper develops a new Instrumental Variables (IV) estimator for spatial, dynamic panel data models with interactive effects under large N and T asymptotics. For this class of models, the only approaches available in the literature are based on quasi-maximum likelihood estimation. The...

Persistent link: https://www.econbiz.de/10012829313

Regional differences in the efficiency of German savings banks

Reichling, Peter; Schulze, Gordon - In: SSRN eLibrary (2018)

German savings banks play a key role in financing German SMEs. Accordingly, the analysis of their efficiency is of economic importance. We apply data envelopment analysis to explore the influence of the financial crisis (2007 to 2008) as well as the Eurozone crisis (since the end of 2009) on the...

Persistent link: https://www.econbiz.de/10012822357

How Well Does the Vasicek-Basel Airb Model Fit the Data? Evidence from a Long Time Series of Corporate Credit Rating Data

Kupiec, Paul - 2014

I develop methods that produce consistent estimates of the Vasicek-Basel IRB (VAIRB) credit risk model parameters. I apply these methods to Moody's data on corporate defaults over the period 1920–2008 and assess the model fit and construct hypothesis tests using bootstrap methods. The results...

Persistent link: https://www.econbiz.de/10013070465

Determinants of External-Debt Crises. A Probit Model

Magomedova, Medeya - 2017

The issue of EDC became increasingly important in the field of development economics primarily because EDC has been occurring more frequent after the deregulation of global financial flows in the 1970s (Tiruneh 2004, Jones 2015) hitting mostly MICs and LICs. Assessing the probability of an EDC...

Persistent link: https://www.econbiz.de/10012946953

How banks respond to negative interest rates : evidence from the Swiss exemption threshold

Basten, Christoph; Mariathasan, Mike - 2018

We analyze the effect of negative monetary policy rates on banks, using detailed supervisory information from Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank reserves exempt from negative rates. More affected banks...

Persistent link: https://www.econbiz.de/10011795014

Estimation of price and income elasticity of residential water demand in the Czech Republic over three decades

Ščasný, Milan; Smutná, Šarlota - 2019

Literature on residential water demand is rich, however, there are few estimates of price and income elasticities for Central and Eastern Europe and for countries undergoing economic or political transitions. To cover this gap, we estimate residential water demand in the Czech Republic - which...

Persistent link: https://www.econbiz.de/10012011289

Demand for industrial and commercial electricity : evidence from Japan

Otsuka, Akihiro - In: Journal of economic structures : JES; the official … 4 (2015), pp. 1-11

This study aims to estimate electricity demand functions in Japan's industrial and commercial sectors. We adopt data from the Energy Consumption Statistics by Prefecture by the Ministry of Economy, Trade and Industry, Japan, to delineate the demand between the industrial and commercial sector....

Persistent link: https://www.econbiz.de/10011386767

Microeconomic models with latent variables : applications of measurement error models in empirical industrial organization and labor economics

Hu, Yingyao - 2015

This paper reviews recent developments in nonparametric identi.cation of mea- surement error models and their applications in applied microeconomics, in particular, in empirical industrial organization and labor economics. Measurement error models describe mappings from a latent distribution to...

Persistent link: https://www.econbiz.de/10010469057