Nach dem Ausbruch der internationalen Finanzkrise wird hier eine erste Bilanz für den deutschen Bankensektor gezogen. Dabei zeigt sich: Es bestehen weiterhin erhebliche Risiken. Die systemische Relevanz einzelner Banken ist sogar noch gestiegen. Wesentlich für die Zukunftsfähigkeit des...

In real world situations the fundamental value of an asset is ambiguous. Recent theory has incorporated ambiguity in the dividend process and the information observed by investors, and studied its effect on asset prices. In this paper we experimentally study trader reaction to ambiguity when...

This paper examines the determinant factors of going public decision of the Indian firms. Both pre IPO and post IPO factors are identified. Pre IPO factors are identified by comparing pre IPO characteristics of public firms with that of private firms using a probit regression model. Post IPO...

Money demand specifications exhibits instability, especially for long spans of data. This paper reconsiders the welfare cost of inflation for the US economy using a flexible timevarying cointegration methodology to estimate the money demand function. We find evidence that the time-varying...

This paper investigates the causal relationship between asset prices and per capita output across 50 US states and the District of Columbia over 1975 to 2012. A bootstrap panel Granger causality approach is applied on a trivariate VAR comprising of real house prices, real stock prices and real...

This paper investigates whether changes in monetary transmission mechanism respond to variations in asset prices. We distinguish between bull and bear markets and employ a TVP- VAR approach with stochastic volatility to assess the evolution of the monetary policy in relation to housing and stock...

This paper shows that fluctuations in the U.S. equity returns signal information about the behavior of the returns of energy, metal and agricultural commodity futures. We find that asymmetry plays an important role in this relationship. In addition, while asymmetry seems to be more relevant for...

We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities...

This paper establishes conditions under which the classical CAPM holds in equilibrium. Our derivation uses simple arguments to clarify and extend results available in the literature. We show that if agents are risk averse in the sense of mean-preserving-spread (MPS) the CAPM will necessarily...

This paper aims at establishing the link between economic performance, financial depth and financial stability in the European Union from 1998 to 2011. We use the standard framework – both in terms of variables and econometric method – of Beck and Levine (2004) to estimate these...