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Banking and sovereign risk in the euro area

Gerlach, Stefan; Schulz, Alexander; Wolff, Guntram B. - 2010

We study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. We show that …

Persistent link: https://www.econbiz.de/10003971081

Fool the markets? : Creative accounting, fiscal transparency and sovereign risk premia

Bernoth, Kerstin (contributor); … - 2006

We investigate the effects of official fiscal data and creative accounting signals on interest rate spreads between bond yields in the European Union. Our model predicts that risk premia contained in government bond spreads should increase in both, the official fiscal position and the expected...

Persistent link: https://www.econbiz.de/10003339184

Fiscal institutions, fiscal policy and sovereign risk premia

Hallerberg, Mark (contributor); … - 2006

. The results are robust to controlling for country fixed effects and different estimation methodologies. …

Persistent link: https://www.econbiz.de/10003383604

How will Basel II affect bank lending to emerging markets? : An analysis based on German bank level data /Thilo Liebig ...

Liebig, Thilo; Porath, Daniel; Weder, Beatrice; Wedow, … - 2004

This paper investigates whether the new Basel Accord will induce a change in bank lending to emerging markets using a comprehensive new data set on German banks` foreign exposure. We test two interlinked hypotheses on the conditions under which the change in the regulatory capital would leave...

Persistent link: https://www.econbiz.de/10002398646

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"Arbitrage CDOs" have recorded an explosive growth during the years before the outbreak of the financial crisis. In the present paper we discuss potential sources of such arbitrage opportunities, in particular arbitrage gains due to mispricing. For this purpose we examine the risk profiles of...

Persistent link: https://www.econbiz.de/10003891104

Long-run links among money, prices, and output : world-wide evidence

Herwartz, Helmut; Reimers, Hans-Eggert - 2001

Regarding inflation as being a monetary phenomenon in the long-run is a widely-held view in modern macro economics. We analyse this topic by means of a P-star model. Based on the quantity theory of money, this approach explains inflation via a supposed equilibrium price level (P-star), which...

Persistent link: https://www.econbiz.de/10011419407

Credit risk factor modeling and the Basel II IRB approach

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2003

Persistent link: https://www.econbiz.de/10002133114

Forecasting credit portfolio risk

Hamerle, Alfred (contributor); Liebig, Thilo (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002133168

Heterogeneity in money holdings across euro area countries : the role of housing

Setzer, Ralph; Noord, Paul Joseph van den; Wolff, Guntram B. - 2010

In this paper we examine why monetary aggregates of euro area Member States have developed differently since the … inception of the euro. We derive a money demand equation that incorporates housing wealth and collateral as well as substitution … connected with structural features of the housing market. -- Money ; housing ; national contribution ; euro area …

Persistent link: https://www.econbiz.de/10003958719

The macroeconomic effects of exogenous fiscal policy shocks in Germany : a disaggregated SVAR analysis

Heppke-Falk, Kirsten H. (contributor); … - 2006

We investigate the short-term effects of fiscal policy shocks on the German economy following the SVAR approach by Blanchard and Perotti (2002). We find that direct government expenditure shocks increase output and private consumption on impact with low statistical significance, while they...

Persistent link: https://www.econbiz.de/10003398413