How does international financial integration a

The paper presents a comprehensive data set of all bonds issued by the sixteenGerman states (Länder) since 1992. It thus provides a complete picture of acapital market comparable in size to funds raised in the German fixed incomemarket for corporations. The quantitative analysis reveals that...

Financial globalisation has been associated with divergent current account patterns inemerging market economies. While countries in emerging Asia have been runningsizeable current account surpluses, countries in emerging Europe have been facing largecurrent account deficits. In this paper we...

In this papaer, we put DSGE forecasts in competition with factor forecasts. We focus on these two models since they represent nicely the two opposing forecasting philosophies. The DSGE model on the one hand has a strong theoretical economic background; the factor model on the other hand is mainly...

This paper analyzes the effectiveness of thin-capitalization rules in preventing debt financeby intercompany loans and explores their consequences for corporate decisions. A theoreticaldiscussion emphasizes that limitations of the deduction of interest owed to foreign afiliateswould not only...

This paper investigates the returns and flows of German money marketfunds before and during the liquidity crisis of 2007/2008. The mainfindings of this paper are: In liquid times money market funds enhancedtheir returns by investing in less liquid papers. By doing so they outperformedother funds...

The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977)is widely used to estimate individual efficiency scores. The basic idea lies in the introductionof an additive error term consisting of a noise and an inefficiency term. Most oftenthe assumption of a...

We investigate the relationship between real estate markets and bank distress amongGerman universal and specialized mortgage banks between 1995 and 2004. Higherhouse prices increase the value of collateral, which reduces the probability of bankdistress (PDs). But higher prices at given rents may...

Stress testing has become a crucial point on the Basel II agenda, mainly as Pillar I estimatesdo not explicitly take portfolio concentration into account. We start from the credit portfolioof the German pension insurer being a cross-sectional representation of the German economyand subsequently...

Rating downgrades are known to make subsequent downgrades more likely. We analyze theimpact of this ‘downward momentum’ on credit portfolio risk. Using S&P ratings from 1996to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitiveto previous...