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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
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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
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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
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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
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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
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Competition in Germany's minute reserve power market : an econometric analysis
Haucap, Justus; Heimeshoff, Ulrich; Jovanovic, Dragan - 2012
The German reserve power market was subject to important regulatory changes in recent years. A new market design was created by synchronization and interconnection of the four control areas. In this paper, we analyze whether or not the reforms led to lower prices for minute reserve power (MRP)....
Persistent link: https://www.econbiz.de/10009667279
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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
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The export-productivity link for Brazilian manufacturing firms
Cirera, Xavier; Lederman, Daniel; Mañez Castillejo, Juan A. - 2015
This paper explores the link between exports and total factor productivity (TFP) for Brazilian manufacturing firms over the period 2000-2008, both under the assumption of an exogenous or an endogenous law of motion for productivity. The authors first obtain TFP estimates under each alternative...
Persistent link: https://www.econbiz.de/10010507840
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IV Quantile Regression for Group-Level Treatments, with an Application to the Effects of Trade on the Distribution of Wages
Chetverikov, Denis - 2013
We present a methodology for estimating the distributional effects of an endogenous treatment that varies at the group level when there are group-level unobservables, a quantile extension of Hausman and Taylor (1981). Standard quantile regression techniques are inconsistent in this setting, even...
Persistent link: https://www.econbiz.de/10013071528
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The Effect of Board Structure on Firm Performance - New Evidence from Product Market Conditions
Hu, Xiaoyuan - 2019
We study the effect of corporate board structure on firm performance under different product market conditions. Using customer-supplier links to identify exogenous downstream demand shocks, we find that board independence has a more significant effect on firm performance when the firm-specific...
Persistent link: https://www.econbiz.de/10012899406