1,721,092 research outputs found
Bad Banks: Überzeugt das Konzept der Bundesregierung?
Get PDFAm 3. Juli 2009 verabschiedete die Bundesregierung das Bad-Bank-Gesetz mit dem Ziel, die Bankbilanzen zu entlasten und eine drohende Kreditklemme abzuwenden Für Falko Fecht European Business School, Oestrich-Winkel, und Hans Peter Grüner, Universität Mannheim, Ist dieses Modell nicht überzeugend. Der Gesetzentwurf der Bundesregierung enthalte erhebliche Risiken, weil er die Anreize der Banken verzerre. Auch zur Rekapitalisierung der Banken sei dies keine effiziente Methode. Stattdessen sollte sich die Bundesregierung auf die Lösung des Lemon-Problems im Bankensektor konzentrieren und Assets in einer Auktion aufkaufen. Nach Ansicht von Manfred Jäger, Institut der deutschen Wirtschaft, Köln, kann dieses Vorhaben der Bundesregierung nicht ganz gelingen. Zwar sei das das Gesetz zu begrüßen, denn in einigen Fällen werde es helfen. Aber es werde „in ungünstigen, aber nicht unwahrscheinlichen Fällen“ nicht wesentlich zur Verbesserung der Kreditgewährung beitragen, da es zu keiner Lösung des Schuldenüberhangproblems komme. Auch Frank Westermann, Universität Osnabrück, bezweifelt, dass die Ausgestaltung des verabschiedeten Rettungspakets im Rahmen einer Bad Bank ausreicht kann, eine drohende Kreditklemme abzuwenden.Bankenpolitik, Wirtschaftspolitische Wirkungsanalyse, Deutschland, Bad Bank
Incorporating prediction and estimation risk in point-in-time credit portfolio models
Get PDFIn this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the time the prediction is made, the prediction is prone to errors. The model parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated using historical data. The incorporation of prediction and estimation risk generally leads to broader loss distributions and therefore to rising values of risk parameters such as Value at Risk or Expected Shortfall. The level of economic capital required may be strongly underestimated if prediction and estimation risk are ignored. --probability of default,PD,credit risk,default correlation,asset correlation,point in time,value at risk,estimation risk
Real-time macroeconomic data and ex ante predictability of stock returns
Get PDFWe report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante stock-return predictability. 2) The performance of an investor who had to rely on noisy real-time macroeconomic data would have been comparable to the performance of an investor who had access to revised macroeconomic data. 3) In real time, it is important for an investor to know which real-time variable to use for predicting stock returns. --Ex ante predictability of stock returns,real-time macroeconomic data,performance of investment strategies,Germany
Sticky prices in the euro area: a summary of new micro evidence
Get PDFThis paper presents original evidence on price setting in the euro area at the individual level. We use micro data on consumer (CPI) and producer (PPI) prices, as well as survey information. Our main findings are: (i) prices in the euro area are sticky and more so than in the US; (ii) there is evidence of heterogeneity and of asymmetries in price setting behaviour; (iii) downward price rigidity is only slightly more marked than upward price rigidity and (iv) implicit or explicit contracts and coordination failure theories are important, whereas menu or information costs are judged much less relevant by firms. --Price setting,Price stickiness,Consumer prices,Producer prices,survey data
Trade balances of the central and east European EU member states and the role of foreign direct investment
Get PDFGiven the large trade and current account deficits in some of the new EU member states the development of their external economic situation plays a role in assessing their aptitude to enter the European Monetary Union. The empirical analysis with aggregated data indicates that in the eight central and east European EU member states FDI and trade are complementary. This result is confirmed by an FDI enhanced gravity model which makes use of sectoral data provided by the Bundesbank's micro database direct investment (MIDI). The net effect of FDI on the trade balance is ambiguous, but FDI in high-tech industries clearly stimulates exports more than imports. Technological spill-over and the conglomeration of human capital seem to be important factors for the export performance. Against this background the prospects for the Czech Republic, Hungary, Slovenia and the Slovak Republic look more favourable compared to the Baltic states. --foreign direct investment,trade balance,gravity model
Real-time forecasting and political stock market anomalies: evidence for the U.S.
Get PDFUsing monthly data for the period 1953-2003, we apply a real-time modeling approach to investigate the implications of U.S. political stock market anomalies for forecasting excess stock returns. Our empirical findings show that political variables, selected on the basis of widely used model selection criteria, are often included in real-time forecasting models. However, they do not contribute to systematically improving the performance of simple trading rules. For this reason, political stock market anomalies are not necessarily an indication of market inefficiency. --Political stock market anomalies,predictability of stock returns,efficient markets hypothesis,real-time forecasting
Forecasting stock market volatility with macroeconomic variables in real time
Get PDFWe compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of forecasts based on revised macroeconomic data. --Forecasting stock market volatility,Real-time macroeconomic data,Evaluation of forecasting accuracy
Consumer price adjustment under the microscope: Germany in a period of low inflation
Get PDFWe analyse the adjustment of retail and services prices in a period of low inflation, using a set of individual price data from the German Consumer Price Index which covers the years 1998 to 2003. We strong find evidence of time- and state-dependent price adjustment. Most importantly, the differences in ?unconditional? sectoral price flexibility are found to be linked to input price volatility. --price rigidity,price flexibility,Consumer Price Index,Germany
Does diversification improve the performance of German banks? Evidence from individual bank loan portfolios
Get PDFShould banks be diversified or focused? Does diversification indeed lead to enhanced performance and, therefore, greater safety for banks, as traditional portfolio and banking theory would suggest? This paper investigates the link between banks? profitability (ROA) and their portfolio diversification across different industries, broader economic sectors and geographical regions measured by the Herfindahl Index. To explore this issue, we use a unique data set of the individual bank loan portfolios of 983 German banks for the period from 1996 to 2002. The overall evidence we provide shows that there are no large performance benefits associated with diversification since each type of diversification tends to reduce the banks? returns. Moreover, we find that the impact of diversification depends strongly on the risk level. However, it is only for moderate risk levels and in the case of industrial diversification that diversification significantly improves the banks? returns. --focus,diversification,monitoring,bank returns,bank risk
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