Deutsche Bundesbank

Displaying 1-33 of 33 results

  • White Papers // Mar 2011

    The Impact Of Fiscal Policy On Economic Activity Over The Business Cycle - Evidence From A Threshold VAR Analysis

    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 approach by Blanchard and Perotti (2002). In a linear benchmark SVAR, the analysis finds that hiking...

    Provided By Deutsche Bundesbank

  • White Papers // Feb 2011

    Robust Monetary Policy In A New Keynesian Model With Imperfect Interest Rate Pass-through

    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 effects of the central bank's concern for robustness can be summarized as follows. First, depending on the shock,...

    Provided By Deutsche Bundesbank

  • White Papers // Feb 2011

    Long-Run Growth Expectations And "Global Imbalances"

    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 are based on filtering observed changes in productivity. The authors show that long-run growth estimates based on filtering U.S....

    Provided By Deutsche Bundesbank

  • White Papers // Jan 2011

    Toward A Taylor Rule For Fiscal Policy

    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 instruments in a standard medium-scale DSGE model. First, they approximate the optimal dynamic behavior of the economy using simple linear feedback rules....

    Provided By Deutsche Bundesbank

  • White Papers // Dec 2010

    Price-Level Targeting When There Is Price-Level Drift

    This paper has shown that optimal monetary policy may display considerable price-level drift. Proponents of price-level targeting have argued that the costs of eliminating the price-level drift may be reduced if the central bank responds flexibly by returning the price level only gradually to the target path (Gaspar et al.,...

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2010

    NAIRU Estimates For Germany: New Evidence On The Inflation-unemployment Trade-off

    The paper estimates the NAIRU from a Phillips curve relationship in the state-space framework. To identify the inflation-unemployment trade-off the authors account for a time-varying inflation trend to control for the part of inflation that is not affected by the cyclical component of unemployment. In addition they use shifts in...

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2010

    Banks~ Exposure To Interest Rate Risk, Their Earnings From Term Transformation, And The Dynamics Of The Term Structure

    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. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2010

    Macroeconomic Factors And Micro-Level Bank Risk

    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 (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal Funds rate, house price inflation,...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    What Drives Portfolio Investments Of German Banks In Emerging Capital Markets?

    After decades of steady liberalization and financial market development, emerging capital markets experienced unparalleled capital inflows in the aftermath of the emerging markets crisis in the 1990s. This paper studies portfolio investment decisions of German banks in 30 emerging capital markets using monthly data from 2002 to 2007. The use...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    Purchase And Redemption Decisions Of Mutual Fund Investors And The Role Of Fund Families

    This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. The authors find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption rates. Furthermore, family size...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    Banking And Sovereign Risk In The Euro Area

    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 also plays an important indirect role for risk spreads through its interaction with the size and...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    Monetary Policy, Housing Booms And Financial (Im)Balances

    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 asset markets in an integrated setup and to explore the role of monetary policy in the three imbalances that were observed prior...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    Loan Supply In Germany During The Financial Crisis

    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 autoregressive models with sign restrictions on the impulse response functions in order to enquire the role of loan supply and monetary...

    Provided By Deutsche Bundesbank

  • White Papers // Mar 2010

    Exports Versus FDI Revisited: Does Finance Matter?

    The crisis on international financial markets that started in 2007 has shown the potential links between the financial sector and the real economy. Exports and Foreign Direct Investment (FDI) have declined, presumably not only because of a lack of demand, but also because of restricted access of firms to external...

    Provided By Deutsche Bundesbank

  • White Papers // Dec 2009

    Bank Capital Regulation, The Lending Channel And Business Cycles

    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 Bernanke, Gertler and Gilchrist (BGG) (1999), who consider credit demand friction due to agency cost, but it deviates from BGG in...

    Provided By Deutsche Bundesbank

  • White Papers // Oct 2009

    Margins Of International Banking: Is There A Productivity Pecking Order In Banking, Too?

    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 determines international banking activities. Using a novel dataset that contains all German banks' international activities, the authors estimate the ordered probability of a presence abroad (extensive...

    Provided By Deutsche Bundesbank

  • White Papers // Oct 2009

    Financial Constraints And The Margins Of FDI

    Recent paper on multinational firms has stressed the importance of low productivity as a barrier to the cross-border expansion of firms. But firms may also need external finance to shoulder the costs of entering foreign markets. The authors develop a model of multinational firms facing real and financial barriers to...

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2009

    Price Discovery On Traded Inflation Expectations: Does The Financial Crisis Matter?

    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 one market and the less one market is disrupted by the financial crisis the more valuable is its information for central banks...

    Provided By Deutsche Bundesbank

  • White Papers // Aug 2009

    The Debt Brake: Business Cycle And Welfare Consequences Of Germany~s New Fiscal Policy Rule

    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 suited both to steer the economy and in terms of welfare. In particular, the adjustment account set up to record...

    Provided By Deutsche Bundesbank

  • White Papers // Aug 2009

    Export-Supporting FDI

    Wholesale and retail trade affiliates owned by parent firms in manufacturing account for a considerable fraction of overall affiliate sales. Although quantitatively important, this Export-Supporting FDI (ESFDI) activity has received little attention in the literature. This paper includes ESFDI into a model of trade and horizontal FDI with heterogeneous rms....

    Provided By Deutsche Bundesbank

  • White Papers // Aug 2009

    Transmission Of Nominal Exchange Rate Changes To Export Prices And Trade Flows And Implications For Exchange Rate Policy

    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 pass-through and the elasticity of substitution between home and foreign goods. They identify combinations of these two parameters for...

    Provided By Deutsche Bundesbank

  • White Papers // Jun 2009

    Financial Markets~ Appetite For Risk - And The Challenge Of Assessing Its Evolution By Risk Appetite Indicators

    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 therefore seems essential for further improvements. The present paper seeks to contribute to this evolution, focusing on the "Global Risk Appetite Index" (GRAI) class of...

    Provided By Deutsche Bundesbank

  • White Papers // Jun 2009

    The Effects Of Knowledge Management On Innovative Success - An Empirical Analysis Of German Firms

    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 ("Mannheim Innovation Panel"), the authors pair firms applying knowledge management with twin firms with similar characteristics...

    Provided By Deutsche Bundesbank

  • White Papers // Jun 2009

    Changes In Import Pricing Behaviour: The Case Of Germany

    Since changes in import prices feed into consumer prices and thus might affect monetary policy decisions, policymakers need to establish whether or not German importers' long-run pricing behavior has changed. Of particular interest are any shifts in the importance of cost pass-through and pricing-to-market for import pricing in Germany that...

    Provided By Deutsche Bundesbank

  • White Papers // Jun 2009

    Firm-Specific Productivity Risk Over The Business Cycle: Facts And Aggregate Implications

    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 uncertainty correspond naturally to cyclical changes in the cross-sectional dispersion of firm-specific Solow residual innovations. The authors use a unique German firm-level data...

    Provided By Deutsche Bundesbank

  • White Papers // May 2009

    Opting Out Of The Great Inflation: German Monetary Policy After The Breakdown Of Bretton Woods

    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 haven for investors in times of turmoil in the international financial system. Eventually the Bundesbank provided the role model for the...

    Provided By Deutsche Bundesbank

  • White Papers // Apr 2009

    Knowledge Sourcing: Legitimacy Deficits For MNC Subsidiaries?

    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 valuable sources of host country knowledge to the same degree as domestic rivals. They develop a theoretical framework for "Why" and "How" a lack of...

    Provided By Deutsche Bundesbank

  • White Papers // Jan 2009

    Sturm Und Drang In Money Market Funds: When Money Market Funds Cease To Be Narrow

    This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other funds as...

    Provided By Deutsche Bundesbank

  • White Papers // Dec 2008

    The Price Of Liquidity: Bank Characteristics And Market Conditions

    The authors study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, they also have data on individual banks' reserve requirements and actual reserve holdings, thus allowing one to gauge the extent to which a bank is short...

    Provided By Deutsche Bundesbank

  • White Papers // Dec 2008

    International Financial Competitiveness And Incentives To Foreign Direct Investment

    In this paper an index of financial competitiveness is calculated that corresponds to the market-to-book ratio of inward FDI stocks. For a panel of five advanced economies from 1980 to 2006 it is shown that price competitiveness, stable inflation rates and registered patents have a positive impact on the index....

    Provided By Deutsche Bundesbank

  • White Papers // Nov 2008

    Does Regional Redistribution Spur Growth?

    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 2005 infrastructure and (small) business aid had a negative net impact on regional economic growth. This suggests that regional redistribution was ineffective,...

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2008

    Financial Exchange Rates And International Currency Exposures

    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 international currency exposures for a large panel of countries over 1990-2004. They show that trade-weighted exchange rate indices are insufficient to...

    Provided By Deutsche Bundesbank

  • White Papers // Aug 2008

    Foreign (In)Direct Investment And Corporate Taxation

    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 strategy. The latter involves at least three corporate entities and opens up enhanced opportunities for international tax planning. The existence of preferential...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    Loan Supply In Germany During The Financial Crisis

    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 autoregressive models with sign restrictions on the impulse response functions in order to enquire the role of loan supply and monetary...

    Provided By Deutsche Bundesbank

  • White Papers // Mar 2010

    Exports Versus FDI Revisited: Does Finance Matter?

    The crisis on international financial markets that started in 2007 has shown the potential links between the financial sector and the real economy. Exports and Foreign Direct Investment (FDI) have declined, presumably not only because of a lack of demand, but also because of restricted access of firms to external...

    Provided By Deutsche Bundesbank

  • White Papers // Dec 2009

    Bank Capital Regulation, The Lending Channel And Business Cycles

    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 Bernanke, Gertler and Gilchrist (BGG) (1999), who consider credit demand friction due to agency cost, but it deviates from BGG in...

    Provided By Deutsche Bundesbank

  • White Papers // Oct 2009

    Financial Constraints And The Margins Of FDI

    Recent paper on multinational firms has stressed the importance of low productivity as a barrier to the cross-border expansion of firms. But firms may also need external finance to shoulder the costs of entering foreign markets. The authors develop a model of multinational firms facing real and financial barriers to...

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2009

    Price Discovery On Traded Inflation Expectations: Does The Financial Crisis Matter?

    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 one market and the less one market is disrupted by the financial crisis the more valuable is its information for central banks...

    Provided By Deutsche Bundesbank

  • White Papers // Aug 2009

    The Debt Brake: Business Cycle And Welfare Consequences Of Germany~s New Fiscal Policy Rule

    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 suited both to steer the economy and in terms of welfare. In particular, the adjustment account set up to record...

    Provided By Deutsche Bundesbank

  • White Papers // Aug 2009

    Export-Supporting FDI

    Wholesale and retail trade affiliates owned by parent firms in manufacturing account for a considerable fraction of overall affiliate sales. Although quantitatively important, this Export-Supporting FDI (ESFDI) activity has received little attention in the literature. This paper includes ESFDI into a model of trade and horizontal FDI with heterogeneous rms....

    Provided By Deutsche Bundesbank

  • White Papers // Aug 2009

    Transmission Of Nominal Exchange Rate Changes To Export Prices And Trade Flows And Implications For Exchange Rate Policy

    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 pass-through and the elasticity of substitution between home and foreign goods. They identify combinations of these two parameters for...

    Provided By Deutsche Bundesbank

  • White Papers // Jun 2009

    The Effects Of Knowledge Management On Innovative Success - An Empirical Analysis Of German Firms

    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 ("Mannheim Innovation Panel"), the authors pair firms applying knowledge management with twin firms with similar characteristics...

    Provided By Deutsche Bundesbank

  • White Papers // Jun 2009

    Changes In Import Pricing Behaviour: The Case Of Germany

    Since changes in import prices feed into consumer prices and thus might affect monetary policy decisions, policymakers need to establish whether or not German importers' long-run pricing behavior has changed. Of particular interest are any shifts in the importance of cost pass-through and pricing-to-market for import pricing in Germany that...

    Provided By Deutsche Bundesbank

  • White Papers // May 2009

    Opting Out Of The Great Inflation: German Monetary Policy After The Breakdown Of Bretton Woods

    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 haven for investors in times of turmoil in the international financial system. Eventually the Bundesbank provided the role model for the...

    Provided By Deutsche Bundesbank

  • White Papers // Apr 2009

    Knowledge Sourcing: Legitimacy Deficits For MNC Subsidiaries?

    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 valuable sources of host country knowledge to the same degree as domestic rivals. They develop a theoretical framework for "Why" and "How" a lack of...

    Provided By Deutsche Bundesbank

  • White Papers // Dec 2008

    The Price Of Liquidity: Bank Characteristics And Market Conditions

    The authors study differences in the price paid for liquidity across banks using price data at the individual bank level. Unique to this paper, they also have data on individual banks' reserve requirements and actual reserve holdings, thus allowing one to gauge the extent to which a bank is short...

    Provided By Deutsche Bundesbank

  • White Papers // Dec 2008

    International Financial Competitiveness And Incentives To Foreign Direct Investment

    In this paper an index of financial competitiveness is calculated that corresponds to the market-to-book ratio of inward FDI stocks. For a panel of five advanced economies from 1980 to 2006 it is shown that price competitiveness, stable inflation rates and registered patents have a positive impact on the index....

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2008

    Financial Exchange Rates And International Currency Exposures

    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 international currency exposures for a large panel of countries over 1990-2004. They show that trade-weighted exchange rate indices are insufficient to...

    Provided By Deutsche Bundesbank

  • White Papers // Aug 2008

    Foreign (In)Direct Investment And Corporate Taxation

    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 strategy. The latter involves at least three corporate entities and opens up enhanced opportunities for international tax planning. The existence of preferential...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    What Drives Portfolio Investments Of German Banks In Emerging Capital Markets?

    After decades of steady liberalization and financial market development, emerging capital markets experienced unparalleled capital inflows in the aftermath of the emerging markets crisis in the 1990s. This paper studies portfolio investment decisions of German banks in 30 emerging capital markets using monthly data from 2002 to 2007. The use...

    Provided By Deutsche Bundesbank

  • White Papers // Oct 2009

    Margins Of International Banking: Is There A Productivity Pecking Order In Banking, Too?

    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 determines international banking activities. Using a novel dataset that contains all German banks' international activities, the authors estimate the ordered probability of a presence abroad (extensive...

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2010

    NAIRU Estimates For Germany: New Evidence On The Inflation-unemployment Trade-off

    The paper estimates the NAIRU from a Phillips curve relationship in the state-space framework. To identify the inflation-unemployment trade-off the authors account for a time-varying inflation trend to control for the part of inflation that is not affected by the cyclical component of unemployment. In addition they use shifts in...

    Provided By Deutsche Bundesbank

  • White Papers // Nov 2008

    Does Regional Redistribution Spur Growth?

    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 2005 infrastructure and (small) business aid had a negative net impact on regional economic growth. This suggests that regional redistribution was ineffective,...

    Provided By Deutsche Bundesbank

  • White Papers // Feb 2011

    Long-Run Growth Expectations And "Global Imbalances"

    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 are based on filtering observed changes in productivity. The authors show that long-run growth estimates based on filtering U.S....

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2010

    Macroeconomic Factors And Micro-Level Bank Risk

    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 (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal Funds rate, house price inflation,...

    Provided By Deutsche Bundesbank

  • White Papers // Feb 2011

    Robust Monetary Policy In A New Keynesian Model With Imperfect Interest Rate Pass-through

    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 effects of the central bank's concern for robustness can be summarized as follows. First, depending on the shock,...

    Provided By Deutsche Bundesbank

  • White Papers // Jan 2011

    Toward A Taylor Rule For Fiscal Policy

    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 instruments in a standard medium-scale DSGE model. First, they approximate the optimal dynamic behavior of the economy using simple linear feedback rules....

    Provided By Deutsche Bundesbank

  • White Papers // Mar 2011

    The Impact Of Fiscal Policy On Economic Activity Over The Business Cycle - Evidence From A Threshold VAR Analysis

    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 approach by Blanchard and Perotti (2002). In a linear benchmark SVAR, the analysis finds that hiking...

    Provided By Deutsche Bundesbank

  • White Papers // Jun 2009

    Firm-Specific Productivity Risk Over The Business Cycle: Facts And Aggregate Implications

    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 uncertainty correspond naturally to cyclical changes in the cross-sectional dispersion of firm-specific Solow residual innovations. The authors use a unique German firm-level data...

    Provided By Deutsche Bundesbank

  • White Papers // Jan 2009

    Sturm Und Drang In Money Market Funds: When Money Market Funds Cease To Be Narrow

    This paper investigates the returns and flows of German money market funds before and during the liquidity crisis of 2007/2008. The main findings of this paper are: In liquid times money market funds enhanced their returns by investing in less liquid papers. By doing so they outperformed other funds as...

    Provided By Deutsche Bundesbank

  • White Papers // Jun 2009

    Financial Markets~ Appetite For Risk - And The Challenge Of Assessing Its Evolution By Risk Appetite Indicators

    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 therefore seems essential for further improvements. The present paper seeks to contribute to this evolution, focusing on the "Global Risk Appetite Index" (GRAI) class of...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    Purchase And Redemption Decisions Of Mutual Fund Investors And The Role Of Fund Families

    This paper investigates the purchases and redemptions of a large cross-sectional sample of German equity funds. The authors find that investors punish bad performance by selling their shares, but also have a tendency to sell winners. Investors in large fund families show higher sales and redemption rates. Furthermore, family size...

    Provided By Deutsche Bundesbank

  • White Papers // Sep 2010

    Banks~ Exposure To Interest Rate Risk, Their Earnings From Term Transformation, And The Dynamics Of The Term Structure

    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. The systematic factor for the exposure to interest rate risk moves in sync with the shape of the term...

    Provided By Deutsche Bundesbank

  • White Papers // Dec 2010

    Price-Level Targeting When There Is Price-Level Drift

    This paper has shown that optimal monetary policy may display considerable price-level drift. Proponents of price-level targeting have argued that the costs of eliminating the price-level drift may be reduced if the central bank responds flexibly by returning the price level only gradually to the target path (Gaspar et al.,...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    Banking And Sovereign Risk In The Euro Area

    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 also plays an important indirect role for risk spreads through its interaction with the size and...

    Provided By Deutsche Bundesbank

  • White Papers // May 2010

    Monetary Policy, Housing Booms And Financial (Im)Balances

    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 asset markets in an integrated setup and to explore the role of monetary policy in the three imbalances that were observed prior...

    Provided By Deutsche Bundesbank