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Formal and informal risk sharing in LDCs: theory and empirical evidence

Dubois, Pierre; Jullien, Bruno; Magnac, Thierry - 2008

We develop and estimate a model of dynamic interactions in which commitment is limited and contracts are incomplete to explain the patterns of income and consumption growth in village economies of less developed countries. Households can insure each other through both formal contracts and...

Persistent link: https://www.econbiz.de/10010264280

Happiness and the persistence of income shocks

Bayer, Christian; Juessen, Falko - 2012

We reassess the empirical effect of income and employment on self-reported well-being. Our analysis makes use of a novel two-step estimation procedure that allows applying instrumental variable regressions with ordinal observable data. As suggested by the theory of incomplete markets, we...

Persistent link: https://www.econbiz.de/10010283993

Verbriefungen: eine Finanzinnovation und ihre fatalen Folgen

Erber, Georg - In: DIW Wochenbericht 75 (2008) 43, pp. 668-677

Die weltweite Finanzmarktkrise beruht zu einem wesentlichen Teil auf dem Handel mit Verbriefungen, deren Risiken aufgrund manipulierter Ratings erheblich unterschätzt wurden. Die Ursachen der Krise sind demnach weitgehend unstrittig; das Ausmaß der Krise lässt sich aber gegenwärtig kaum...

Persistent link: https://www.econbiz.de/10011601903

Der Wettbewerb um schwache Regulierung hat uns geschadet: Sechs Fragen an Georg Erber

Wittenberg, Erich; Erber, Georg - In: DIW Wochenbericht 75 (2008) 43, pp. 669

Persistent link: https://www.econbiz.de/10011601904

Securitization and lending standards: evidence from the wholesale loan market

Kara, Alper; Marqués-Ibáñez, David; Ongena, Steven - 2011

We investigate the effect of securitization activity on banks’ lending standards using evidence from pricing behavior … aggressive on their loan pricing practices. This suggests that securitization activity lead to laxer credit standards …. Macroeconomic factors also play a large role explaining the impact of securitization activity on bank lending standards: banks more …

Persistent link: https://www.econbiz.de/10011605408

Are Banks Different? Evidence from International Data

Buch, Claudia M. - 2000

Pecking order models of international finance suggest that countries should become less reliant on international bank lending as they develop. Reduced information costs are one of the factors behind this trend towards disintermediation. This paper presents a simple model on the choice between...

Persistent link: https://www.econbiz.de/10010260449

Market efficiency in the emerging securitized real estate markets

Schindler, Felix - 2010

This paper tests the random walk hypothesis and market efficiency for twelve emerging as well as for four developed securitized real estate markets from 1992 to 2009. Random walk properties of equity prices influence return dynamics, and market efficiency is often considered an essential...

Persistent link: https://www.econbiz.de/10010300506

Downside risk optimization in securitized real estate markets

Kroencke, Tim Alexander; Schindler, Felix - 2010

Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of...

Persistent link: https://www.econbiz.de/10010300508

Linkages between international securitized real estate markets: Further evidence from time-varying and stochastic cointegration

Schindler, Felix; Voronkova, Svitlana - 2010

This paper analyzes long-run co-movements between international real estate stock markets and between regions based on bivariate and multivariate tests for cointegration. While the topic has been analyzed in previous studies such as Gallo and Zhang (2009) and Yunus (2009) among others, this...

Persistent link: https://www.econbiz.de/10010301690

Main flaws of the collateralized debt obligation's valuation before and during the 2008/2009 global turmoil

Benešová, Petra; Teplý, Petr - 2010

As a result of the 2008 financial crisis, the world credit markets stalled significantly and raised the doubts of market participants and policymakers about the proper and fair valuation of financial derivatives and structured products such as collateralized debt obligations (CDOs). The aim of...

Persistent link: https://www.econbiz.de/10010322285