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Deutsche Bundesbank
(34 results)-
White Papers
Firm-Specific Productivity Risk Over The Business Cycle: Facts And Aggregate Implications
June 16, 2009, 12:00am PDT
This paper investigates this question in the context of a heterogeneous firm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in...
Provided by Deutsche Bundesbank
-
White Papers
Financial Markets~ Appetite For Risk - And The Challenge Of Assessing Its Evolution By Risk Appetite Indicators
June 30, 2009, 12:00am PDT
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work...
Provided by Deutsche Bundesbank
-
White Papers
Banks~ Exposure To Interest Rate Risk, Their Earnings From Term Transformation, And The Dynamics Of The Term Structure
September 10, 2010, 12:00am PDT
The authors use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation....
Provided by Deutsche Bundesbank
-
White Papers
Banking And Sovereign Risk In The Euro Area
May 17, 2010, 12:00am PDT
The authors study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. They show that an aggregate risk factor is a main driver of spreads. This factor...
Provided by Deutsche Bundesbank
-
White Papers
Monetary Policy, Housing Booms And Financial (Im)Balances
May 14, 2010, 12:00am PDT
This paper uses a Factor-Augmented Vector Autoregressive Model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and...
Provided by Deutsche Bundesbank
-
White Papers
Loan Supply In Germany During The Financial Crisis
May 3, 2010, 12:00am PDT
Distinguishing pure supply effects from other determinants of price and quantity in the market for loans is a notoriously difficult problem. Using German data, the authors employ Bayesian vector...
Provided by Deutsche Bundesbank
-
White Papers
Bank Capital Regulation, The Lending Channel And Business Cycles
December 29, 2009, 12:00am PST
This paper develops a Dynamic Stochastic General Equilibrium (DSGE) model to study how the instability of the banking sector can amplify and propagate business cycles. The model builds on...
Provided by Deutsche Bundesbank
-
White Papers
Price Discovery On Traded Inflation Expectations: Does The Financial Crisis Matter?
September 7, 2009, 12:00am PDT
The authors analyze contributions of different markets to price discovery on traded inflation expectations and how it changed during the financial crisis. The quicker information is processed on...
Provided by Deutsche Bundesbank
-
White Papers
The Debt Brake: Business Cycle And Welfare Consequences Of Germany~s New Fiscal Policy Rule
August 18, 2009, 12:00am PDT
In a New Keynesian DSGE model with non-Ricardian consumers, the authors show that automatic stabilization according to a countercyclical spending rule following the idea of the debt brake is well...
Provided by Deutsche Bundesbank
-
White Papers
Transmission Of Nominal Exchange Rate Changes To Export Prices And Trade Flows And Implications For Exchange Rate Policy
August 10, 2009, 12:00am PDT
The authors discuss how the welfare ranking of fixed and flexible exchange rate regimes in a New Open Economy Macroeconomics model depends on the interplay between the degree of exchange rate...
Provided by Deutsche Bundesbank
-
White Papers
The Effects Of Knowledge Management On Innovative Success - An Empirical Analysis Of German Firms
June 16, 2009, 12:00am PDT
The aim of this paper is to analyze the effects of knowledge management on the innovation success of firms in Germany. Using a matching procedure on data from the German Innovation Survey of 2003...
Provided by Deutsche Bundesbank
-
White Papers
Opting Out Of The Great Inflation: German Monetary Policy After The Breakdown Of Bretton Woods
May 12, 2009, 12:00am PDT
During the turbulent 1970s and 1980s the Bundesbank established an outstanding reputation in the world of central banking. Germany achieved a high degree of domestic stability and provided safe...
Provided by Deutsche Bundesbank
-
White Papers
Knowledge Sourcing: Legitimacy Deficits For MNC Subsidiaries?
April 6, 2009, 12:00am PDT
Multinational Corporations (MNC) search increasingly for lead market knowledge and technological expertise around the globe. The authors investigate whether their subsidiaries gain access to these...
Provided by Deutsche Bundesbank
-
White Papers
Financial Exchange Rates And International Currency Exposures
September 1, 2008, 12:00am PDT
The goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, the authors construct a database of...
Provided by Deutsche Bundesbank
-
White Papers
Financial Integration, Specialization And Systemic Risk
May 23, 2008, 12:00am PDT
This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate...
Provided by Deutsche Bundesbank
-
White Papers
Foreign (In)Direct Investment And Corporate Taxation
August 8, 2008, 12:00am PDT
This paper investigates the role of corporate taxation with respect to a multinational's investment decision, in which the multinational can pursue either a direct or an indirect investment...
Provided by Deutsche Bundesbank
-
White Papers
Integration Of Financial Markets And National Price Levels: The Role Of Exchange Rate Volatility
March 25, 2008, 12:00am PDT
How does international financial integration affect national price levels? To analyze this question, this paper formulates a two-country open economy sticky-price model under either segmented or...
Provided by Deutsche Bundesbank
-
White Papers
Financial Markets And The Current Account - Emerging Europe Versus Emerging Asia
February 22, 2008, 12:00am PST
Financial globalization has been associated with divergent current account patterns in emerging market economies. While countries in emerging Asia have been running sizeable current account...
Provided by Deutsche Bundesbank
-
White Papers
Monetary Policy And Core Inflation
November 30, 2007, 12:00am PST
This paper studies optimal monetary policy responses in an economy featuring sartorial heterogeneity in the frequency of price adjustments. It shows that a central bank facing heterogeneous...
Provided by Deutsche Bundesbank
-
White Papers
International Cooperation On Innovation: Empirical Evidence For German And Portuguese Firms
November 5, 2007, 12:00am PST
In this paper the authors investigate the factors that lead firms to cooperate with partners from foreign countries on innovation activities. Portuguese and German data from the harmonized...
Provided by Deutsche Bundesbank
-
White Papers
Uncertainty About Perceived Inflation Target And Monetary Policy
July 1, 2007, 12:00am PDT
The authors analyze the interaction between private agents' uncertainty about inflation target and the central bank's data uncertainty. In this model, private agents update their perceived...
Provided by Deutsche Bundesbank
-
White Papers
Margins Of International Banking: Is There A Productivity Pecking Order In Banking, Too?
October 26, 2009, 12:00am PDT
Modern trade theory emphasizes firm-level productivity differentials to explain the cross-border activities of non-financial firms. This paper tests whether a productivity pecking order also...
Provided by Deutsche Bundesbank
-
White Papers
Asset Correlations And Credit Portfolio Risk - An Empirical Analysis
September 28, 2007, 12:00am PDT
In credit risk modeling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, the authors estimate asset correlations from...
Provided by Deutsche Bundesbank
-
White Papers
Welfare Effects Of Financial Integration
August 20, 2007, 12:00am PDT
This paper compares four forms of inter-regional financial risk sharing: segmentation, integration trough the secured interbank market, integration trough the unsecured interbank market,...
Provided by Deutsche Bundesbank
-
White Papers
Does Regional Redistribution Spur Growth?
November 24, 2008, 12:00am PST
After the German reunification, interregional subsidies accounted for approximately four percent of gross fixed capital investment in the new federal states. The authors show that between 1992 and...
Provided by Deutsche Bundesbank
-
White Papers
Long-Run Growth Expectations And "Global Imbalances"
February 4, 2011, 12:00am PST
This paper examines to what extent the build-up of 'Global imbalances' since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents' perceptions of long-run growth...
Provided by Deutsche Bundesbank
-
White Papers
Financing Constraints, Firm Level Adjustment Of Capital And Aggregate Implications
June 10, 2008, 12:00am PDT
Following a positive shock, financing constraints will prolong or impede economic expansion that would have been optimal in an unconstrained environment. The study of dynamic adjustment therefore...
Provided by Deutsche Bundesbank
-
White Papers
Macroeconomic Factors And Micro-Level Bank Risk
September 1, 2010, 12:00am PDT
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. The authors analyze this link using a Factor-Augmented Vector AutoRegressive model...
Provided by Deutsche Bundesbank
-
White Papers
Monetary Policy And Bank Distress: An Integrated Micro-Macro Approach
March 3, 2008, 12:00am PST
Evidence on the interdependency between monetary policy and the state of the banking system is scarce. The authors suggest an integrated micro-macro approach with two core virtues. First, they...
Provided by Deutsche Bundesbank
-
White Papers
Robust Monetary Policy In A New Keynesian Model With Imperfect Interest Rate Pass-through
February 7, 2011, 12:00am PST
The authors use robust control to study how a central bank in an economy with imperfect interest rate pass-through conducts monetary policy if it fears that its model could be misspecified. The...
Provided by Deutsche Bundesbank
-
White Papers
Toward A Taylor Rule For Fiscal Policy
January 17, 2011, 12:00am PST
This paper presents a procedure to determine policy feedback rules in Dynamic Stochastic General Equilibrium (DSGE) models. The authors illustrate their approach with fiscal feedback rules for tax...
Provided by Deutsche Bundesbank
-
White Papers
The Impact Of Fiscal Policy On Economic Activity Over The Business Cycle - Evidence From A Threshold VAR Analysis
March 25, 2011, 12:00am PDT
Does the state of the business cycle matter for the effects of fiscal policy shocks on GDP? This paper analyses quarterly German data from 1976 to 2009 in a threshold SVAR, expanding the SVAR...
Provided by Deutsche Bundesbank
-
White Papers
Testing For Contemporary Fiscal Policy Discretion With Real Time Data
August 27, 2007, 12:00am PDT
The authors propose a method for indentifying discretionary fiscal policy with real time data. The starting point is the observation that automatic stabilizers should depend on true GDP, while...
Provided by Deutsche Bundesbank
-
White Papers
Communication, Decision-Making And The Optimal Degree Of Transparency Of Monetary Policy Committees
February 11, 2008, 12:00am PST
This paper develops a theoretical model of dynamic decision-making of a monetary policy committee with heterogeneous members. It investigates the optimal transparency, and the optimal way of...
Provided by Deutsche Bundesbank
-
White Papers
Testing For Contemporary Fiscal Policy Discretion With Real Time Data
August 27, 2007, 12:00am PDT
The authors propose a method for indentifying discretionary fiscal policy with real time data. The starting point is the observation that automatic stabilizers should depend on true GDP, while...
Provided by Deutsche Bundesbank
-
White Papers
The Impact Of Fiscal Policy On Economic Activity Over The Business Cycle - Evidence From A Threshold VAR Analysis
March 25, 2011, 12:00am PDT
Does the state of the business cycle matter for the effects of fiscal policy shocks on GDP? This paper analyses quarterly German data from 1976 to 2009 in a threshold SVAR, expanding the SVAR...
Provided by Deutsche Bundesbank
-
White Papers
Toward A Taylor Rule For Fiscal Policy
January 17, 2011, 12:00am PST
This paper presents a procedure to determine policy feedback rules in Dynamic Stochastic General Equilibrium (DSGE) models. The authors illustrate their approach with fiscal feedback rules for tax...
Provided by Deutsche Bundesbank
-
White Papers
Robust Monetary Policy In A New Keynesian Model With Imperfect Interest Rate Pass-through
February 7, 2011, 12:00am PST
The authors use robust control to study how a central bank in an economy with imperfect interest rate pass-through conducts monetary policy if it fears that its model could be misspecified. The...
Provided by Deutsche Bundesbank
-
White Papers
Monetary Policy And Bank Distress: An Integrated Micro-Macro Approach
March 3, 2008, 12:00am PST
Evidence on the interdependency between monetary policy and the state of the banking system is scarce. The authors suggest an integrated micro-macro approach with two core virtues. First, they...
Provided by Deutsche Bundesbank
-
White Papers
Macroeconomic Factors And Micro-Level Bank Risk
September 1, 2010, 12:00am PDT
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. The authors analyze this link using a Factor-Augmented Vector AutoRegressive model...
Provided by Deutsche Bundesbank
-
White Papers
Financing Constraints, Firm Level Adjustment Of Capital And Aggregate Implications
June 10, 2008, 12:00am PDT
Following a positive shock, financing constraints will prolong or impede economic expansion that would have been optimal in an unconstrained environment. The study of dynamic adjustment therefore...
Provided by Deutsche Bundesbank
-
White Papers
Long-Run Growth Expectations And "Global Imbalances"
February 4, 2011, 12:00am PST
This paper examines to what extent the build-up of 'Global imbalances' since the mid-1990s can be explained in a purely real open-economy DSGE model in which agents' perceptions of long-run growth...
Provided by Deutsche Bundesbank
-
White Papers
Does Regional Redistribution Spur Growth?
November 24, 2008, 12:00am PST
After the German reunification, interregional subsidies accounted for approximately four percent of gross fixed capital investment in the new federal states. The authors show that between 1992 and...
Provided by Deutsche Bundesbank
-
White Papers
Welfare Effects Of Financial Integration
August 20, 2007, 12:00am PDT
This paper compares four forms of inter-regional financial risk sharing: segmentation, integration trough the secured interbank market, integration trough the unsecured interbank market,...
Provided by Deutsche Bundesbank
-
White Papers
Asset Correlations And Credit Portfolio Risk - An Empirical Analysis
September 28, 2007, 12:00am PDT
In credit risk modeling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, the authors estimate asset correlations from...
Provided by Deutsche Bundesbank
-
White Papers
Margins Of International Banking: Is There A Productivity Pecking Order In Banking, Too?
October 26, 2009, 12:00am PDT
Modern trade theory emphasizes firm-level productivity differentials to explain the cross-border activities of non-financial firms. This paper tests whether a productivity pecking order also...
Provided by Deutsche Bundesbank
-
White Papers
Uncertainty About Perceived Inflation Target And Monetary Policy
July 1, 2007, 12:00am PDT
The authors analyze the interaction between private agents' uncertainty about inflation target and the central bank's data uncertainty. In this model, private agents update their perceived...
Provided by Deutsche Bundesbank
-
White Papers
International Cooperation On Innovation: Empirical Evidence For German And Portuguese Firms
November 5, 2007, 12:00am PST
In this paper the authors investigate the factors that lead firms to cooperate with partners from foreign countries on innovation activities. Portuguese and German data from the harmonized...
Provided by Deutsche Bundesbank
-
White Papers
Monetary Policy And Core Inflation
November 30, 2007, 12:00am PST
This paper studies optimal monetary policy responses in an economy featuring sartorial heterogeneity in the frequency of price adjustments. It shows that a central bank facing heterogeneous...
Provided by Deutsche Bundesbank
-
White Papers
Financial Markets And The Current Account - Emerging Europe Versus Emerging Asia
February 22, 2008, 12:00am PST
Financial globalization has been associated with divergent current account patterns in emerging market economies. While countries in emerging Asia have been running sizeable current account...
Provided by Deutsche Bundesbank
-
White Papers
Integration Of Financial Markets And National Price Levels: The Role Of Exchange Rate Volatility
March 25, 2008, 12:00am PDT
How does international financial integration affect national price levels? To analyze this question, this paper formulates a two-country open economy sticky-price model under either segmented or...
Provided by Deutsche Bundesbank
-
White Papers
Foreign (In)Direct Investment And Corporate Taxation
August 8, 2008, 12:00am PDT
This paper investigates the role of corporate taxation with respect to a multinational's investment decision, in which the multinational can pursue either a direct or an indirect investment...
Provided by Deutsche Bundesbank
-
White Papers
Financial Integration, Specialization And Systemic Risk
May 23, 2008, 12:00am PDT
This paper studies the implications of cross-border financial integration for financial stability when banks' loan portfolios adjust endogenously. Banks can be subject to sectoral and aggregate...
Provided by Deutsche Bundesbank
-
White Papers
Financial Exchange Rates And International Currency Exposures
September 1, 2008, 12:00am PDT
The goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, the authors construct a database of...
Provided by Deutsche Bundesbank
-
White Papers
Knowledge Sourcing: Legitimacy Deficits For MNC Subsidiaries?
April 6, 2009, 12:00am PDT
Multinational Corporations (MNC) search increasingly for lead market knowledge and technological expertise around the globe. The authors investigate whether their subsidiaries gain access to these...
Provided by Deutsche Bundesbank
-
White Papers
Opting Out Of The Great Inflation: German Monetary Policy After The Breakdown Of Bretton Woods
May 12, 2009, 12:00am PDT
During the turbulent 1970s and 1980s the Bundesbank established an outstanding reputation in the world of central banking. Germany achieved a high degree of domestic stability and provided safe...
Provided by Deutsche Bundesbank
-
White Papers
The Effects Of Knowledge Management On Innovative Success - An Empirical Analysis Of German Firms
June 16, 2009, 12:00am PDT
The aim of this paper is to analyze the effects of knowledge management on the innovation success of firms in Germany. Using a matching procedure on data from the German Innovation Survey of 2003...
Provided by Deutsche Bundesbank
-
White Papers
Transmission Of Nominal Exchange Rate Changes To Export Prices And Trade Flows And Implications For Exchange Rate Policy
August 10, 2009, 12:00am PDT
The authors discuss how the welfare ranking of fixed and flexible exchange rate regimes in a New Open Economy Macroeconomics model depends on the interplay between the degree of exchange rate...
Provided by Deutsche Bundesbank
-
White Papers
The Debt Brake: Business Cycle And Welfare Consequences Of Germany~s New Fiscal Policy Rule
August 18, 2009, 12:00am PDT
In a New Keynesian DSGE model with non-Ricardian consumers, the authors show that automatic stabilization according to a countercyclical spending rule following the idea of the debt brake is well...
Provided by Deutsche Bundesbank
-
White Papers
Price Discovery On Traded Inflation Expectations: Does The Financial Crisis Matter?
September 7, 2009, 12:00am PDT
The authors analyze contributions of different markets to price discovery on traded inflation expectations and how it changed during the financial crisis. The quicker information is processed on...
Provided by Deutsche Bundesbank
-
White Papers
Bank Capital Regulation, The Lending Channel And Business Cycles
December 29, 2009, 12:00am PST
This paper develops a Dynamic Stochastic General Equilibrium (DSGE) model to study how the instability of the banking sector can amplify and propagate business cycles. The model builds on...
Provided by Deutsche Bundesbank
-
White Papers
Loan Supply In Germany During The Financial Crisis
May 3, 2010, 12:00am PDT
Distinguishing pure supply effects from other determinants of price and quantity in the market for loans is a notoriously difficult problem. Using German data, the authors employ Bayesian vector...
Provided by Deutsche Bundesbank
-
White Papers
Monetary Policy, Housing Booms And Financial (Im)Balances
May 14, 2010, 12:00am PDT
This paper uses a Factor-Augmented Vector Autoregressive Model (FAVAR) estimated on U.S. data in order to analyze monetary transmission via private sector balance sheets, credit risk spreads and...
Provided by Deutsche Bundesbank
-
White Papers
Banking And Sovereign Risk In The Euro Area
May 17, 2010, 12:00am PDT
The authors study the determinants of sovereign bond spreads in the euro area since the introduction of the euro. They show that an aggregate risk factor is a main driver of spreads. This factor...
Provided by Deutsche Bundesbank
-
White Papers
Banks~ Exposure To Interest Rate Risk, Their Earnings From Term Transformation, And The Dynamics Of The Term Structure
September 10, 2010, 12:00am PDT
The authors use a unique dataset of German banks' exposure to interest rate risk to derive the following statements about their exposure to this risk and their earnings from term transformation....
Provided by Deutsche Bundesbank
-
White Papers
Financial Markets~ Appetite For Risk - And The Challenge Of Assessing Its Evolution By Risk Appetite Indicators
June 30, 2009, 12:00am PDT
Assessments of investors' risk appetite/aversion stance via indicators often yields results which seem unsatisfactory (see e.g. Illing and Aaron (2005)). Understanding how such indicators work...
Provided by Deutsche Bundesbank
-
White Papers
Firm-Specific Productivity Risk Over The Business Cycle: Facts And Aggregate Implications
June 16, 2009, 12:00am PDT
This paper investigates this question in the context of a heterogeneous firm RBC model with persistent firm-level productivity shocks and lumpy capital adjustment, where cyclical changes in...
Provided by Deutsche Bundesbank
-
White Papers
Communication, Decision-Making And The Optimal Degree Of Transparency Of Monetary Policy Committees
February 11, 2008, 12:00am PST
This paper develops a theoretical model of dynamic decision-making of a monetary policy committee with heterogeneous members. It investigates the optimal transparency, and the optimal way of...
Provided by Deutsche Bundesbank
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