We study the credit risk of banks in Germany from lending to non-financial firms. We model changes in Expected Credit Loss, which is derived from the guidelines in the IFRS 9 accounting standard. We map the accounting model to a dataset with individual loans as the unit of observation...

We apply the growth-at-risk model of Adrian et al. (2019) to the German commercial real estate (CRE) market. We derive a distribution for CRE price growth four quarters ahead conditional on macro-financial variables. This approach allows us to make probability statements about the downside risk...

We show that banks "extended-and-pretended" their impaired CRE mortgages in the post-pandemic period to avoid writing off their capital, leading to credit misallocation and a buildup of financial fragility. We detect this behavior using loan-level supervisory data on maturity extensions, bank...

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized assets. We address this question in the context of commercial real estate cash flow shocks, which are informationally opaque to holders of commercial mortgage-backed securities...

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized assets. We address this question in the context of commercial real estate cash flow shocks, which are informationally opaque to holders of commercial mortgage-backed securities...

Round numbers affect behavior in various domains, e.g., as prominent thresholds or focal points in bargaining. In line with earlier findings, residential real estate transactions in Germany cluster at round-number prices, but there are also interesting (presumably cultural) differences. We...

Tall buildings are central to facilitating sustainable urbanization and growth in cities worldwide. We estimate average elasticities of city population and built area to aggregate city building heights of 0.12 and -0.17, respectively, indicating that the largest global cities in developing...

Round numbers affect behavior in various domains, e.g., as prominent thresholds or focal points in bargaining. In line with earlier findings, residential real estate transactions in Germany cluster at round-number prices, but there are also interesting (presumably cultural) differences. We...

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized assets. We address this question in the context of commercial real estate cash flow shocks, which are informationally opaque to holders of commercial mortgage-backed securities...

We apply the growth-at-risk model of Adrian et al. (2019) to the German commercial real estate (CRE) market. We derive a distribution for CRE price growth four quarters ahead conditional on macro-financial variables. This approach allows us to make probability statements about the downside risk...

We show that banks "extended-and-pretended" their impaired CRE mortgages in the post-pandemic period to avoid writing off their capital, leading to credit misallocation and a buildup of financial fragility. We detect this behavior using loan-level supervisory data on maturity extensions, bank...

This paper uncovers if and how insurance companies react to shocks to collateral in their portfolio of securitized assets. We address this question in the context of commercial real estate cash flow shocks, which are informationally opaque to holders of commercial mortgage-backed securities...

Following post-pandemic tightening of monetary policy in advanced economies, commercial real estate (CRE) markets have been under pressure globally, including in Germany. This paper explores the channels of CRE impact for the German financial sector, and the potential size of impact for...

The value of the Danish commercial real estate market is large and developments within this market can have widespread implications for the financial system and the real economy. This memo provides an overview of the Danish commercial real estate market. It maps the stock of Danish commercial...

This study provides direct evidence of the value to banks arising from relationship lending by estimating the market premium placed on banking organizations' small business loan portfolios. Using data from the small business loan survey contained in the June bank Call Reports, we find that small...