Working PaPer SerieS no 1272 / DeCeMBer 2010: THe iMPaCT of PuBliC guaranTeeS on Bank riSk Taking eviDenCe froM a naTural exPeriMenT pptx
Working PaPer SerieS no 1272 / DeCeMBer 2010: THe iMPaCT of PuBliC guaranTeeS on Bank riSk Taking eviDenCe froM a naTural exPeriMenT pptx
... (“Landesbank”)and each federal state bank is a liated with a state (“Bundesland”) or group of states. The a liated savings banks own each a part of their federal state bank. The federal statebanks ... savings banks, rather than to an individual savings bank. In addition to the detailed borrower /bank matched data set, we also use a bank level data set that includes the savings banks and as a ... guarantees bank level Z-scores of savings banks and the control groupconverged, suggesting similar risk taking across the two sets of banks after the removal of guarantees. As an alternative to the bank...
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Working PaPer SerieS no 1273 / DeCeMBer 2010: intereSt rate effeCtS of DeMograPhiC ChangeS in a neW-keyneSian life-CyCle fraMeWork pptx
... policy scenarios.4 Calibration and d em ographic trends4.1 CalibrationWe calibrate the system of steady-state equations to match key features of annual euroarea data, taking, in particular, recent ... quantitative dimension of the reactions, the slow materialization of the demographic changes implies that the real interest rate declines towards the end of the sample by a total of about 50 basis ... for the year 2008 of the summary table ‘Main demographic and macroeconomic assumptions’ for the euro area (EA 16) in the Statistical Annex to European Economy (2009), p. 174.23ECB Working Paper...
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Working Paper Series no 1096 / September 2009: The determinants of Bank capital structure potx
... equity as a percentage of the book value of banks for 2,408 bank- year observations in our sample of the 200 largest publicly traded banks in the U.S. and the EU from the Bankscope database from ... prices and dividends from Thompson Financial’s Datastream database, information about country level economic data from the World Economic Outlook database of the IMF and data on deposit insurance ... driver of banks’ capital structure. The Basel 1 capital requirements and their implementation apply to all relevant banks in the same way and they are of course irrelevant for non-financial firms....
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WORKING PAPER SERIES NO 1376 / SEPTEMBER 2011: THE PRICE OF LIQUIDITY THE EFFECTS OF MARKET CONDITIONS AND BANK CHARACTERISTICS pptx
... a relativelylarge underpricing.Award ratio: a bidder’s award in an auction as a percentage of his demand.Award to total award: a bidder’s award in an auction as a percentage of aggregateaward ... types of banksas classified by the Deutsche Bundesbank: privatebanks, savings banks, cooperatives, branches of foreign banks, Landesbanks,and cooperative central banks. Bidders are all banks thatparticipated ... foreign banks, Landesbanks (savings bank head institutions), and cooperativecentral banks (see the Appendix for details). Table 2 does the same for nonbidding banks,but note that there are no nonbidding...
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WORKING PAPER SERIES NO. 393 / SEPTEMBER 2004: THE DETERMINANTS OF THE OVERNIGHT INTEREST RATE IN THE EURO AREA doc
... particularinterbank market is set up. There are two types of agents in the market, the central bank on one hand and commercial banks on the other hand. The key ingredients of the model are the 7 The ... reserve market and a graphical summary of the theoretical model, as well as a detaileddescription of the data used and a review of predictable patterns in mean and volatility of the overnight rate.2 ... interbank market. In case a bank wants to hold more reserves than it has liquidityavailable, it can borrow at the interbank market. The price paid at the int erbank market is the interbank rate....
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Working PaPer SerieS no 1150 / January 2010: Do bank loanS anD creDit StanDarDS have an effect on outPut? a Panel aPProach for the euro area doc
... 1150January 2010 Working PaPer SerieS no 1150 / January 2010Do bank loanS anD creDit StanDarDS have an effect on outPut? a Panel aPProach for the euro areaby Lorenzo Cappiello,Arjan Kadareja,Christoffer ... structure and as a result they may have to alter the composition of their assets. At the same time, ouridenti…cation does not rely on the textbook notion that the central bank explicitlycan a ect the ... this paper, the loan data refer to outstanding loans to non-…nancial corporations. The source forboth the money and loan data is ECB. As for the interest rates on bank deposits weuse rates on...
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Working PaPer SerieS no 1160 / FeBrUarY 2010: evidence For SUrveY maTTerS The eUro area Bank lending emPirical crediT and oUTPUT groWTh pptx
... spreadsQuarterly averages of daily corporate euro-denominated bond spreadsThomson Financial DatastreamNon-financial BBB corporate bond spreadsQuarterly averages of daily non-financial euro-denominated ... securitizations lead to the removal of the securitized loans from the bank balance sheet, because certain accounting standards view the securitization as a collateralized borrowing by the bank and not ... are the criteria by which banks determine the risk of loan applicants and rank them based on the default likelihood. These are the criteria that a bank follows when taking a lending decision....
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WORKING PAPER SERIES NO 845 / DECEMBER 2007: RUN-PRONE BANKING AND ASSET MARKETS doc
... O WORKING PAPER SERIES NO 845 / DECEMBER 2007In 2007 all ECB publications feature a motif taken from the 20 banknote.RUN-PRONE BANKING AND ASSET MARKETS 1by Marie Hoerova 2This paper ... comments and advice from Bruno Biais, David Easley, Huberto Ennis, Miquel Faig, Florian Heider, Todd Keister, B. Ravikumar, Assaf Razin, Karl Shell, Yi Wen, and seminar participants at the European ... Institute, the European Central Bank, Erasmus University Rotterdam, Tilburg University, Cambridge University, the European Bank for Reconstruction and Development, the Bank of Canada, Cornell...
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WORKING PAPER SERIES NO. 546 / NOVEMBER 2005: THE NATURAL REAL INTEREST RATE AND THE OUTPUT GAP IN THE EURO AREA A JOINT ESTIMATION doc
... necessarily co ntain judgem ents about the determinants of the natural rate. Rather, the approac h they tak e is closer to a pure statisticalmeasur e. C on sequently, variations in the natural rate ... is non-stationary, it should provide an adequate w ay to estimate4 The reason for using this approach is that the bulk of the distribution of the parameters that control for the variance is often ... 2005correlatedwiththeoutputgapandinflation. Fu rtherm ore, the tests show that t he real rategap m ay contain valuable i nform ation about f uture inflation i n the euro area. The generalca veats associated...
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WORKING PAPER SERIES NO. 548 / NOVEMBER 2005: THE LINK BETWEEN INTEREST RATES AND EXCHANGE RATES DO CONTRACTIONARY DEPRECIATIONS MAKE A DIFFERENCE? doc
... with the exception of ,which can adopt any real value. The value of is negative in a contractionarydepreciation and positive in an expansionary depreciation. All shocks are of the zero-mean, ... establish the degree of empirical relevance of the sun spot as a factor merely amplifying fun -damental economic behaviour or rather having a more substantial impact on …nancial and real variables.23Figure ... characterised by a fall in net e xports,which in the cases analysed before, has taken place alongside adverse shocksto risk premia. In the case of Korea and Thailand at the time of the Asiancrisis,...
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