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Investor fears and risk premia for rare events

Schwarz, Claudia - Deutsche Bundesbank - 2014

This paper uses the method developed by Bollerslev and Todorov (2011b) to estimate risk premia for extreme events for the US and the German stock markets. The method extracts jump tail measures from high-frequency futures price data and from options data. In a second step, jump tail...

Persistent link: https://www.econbiz.de/10010957155

The German sub-national government bond market: evolution, yields and liquidity

Schulz, Alexander; Wolff, Guntram B. - Deutsche Bundesbank - 2008

The paper presents a comprehensive data set of all bonds issued by the sixteen German states (L¨ander) since 1992. It … concentrate to a greater extend on large issues or issue joint bonds with other L¨ander (Jumbos), others rely more on … comparatively small but frequent issues. Moreover, some L¨ander issue a significant volume-share of their bonds in foreign …

Persistent link: https://www.econbiz.de/10005083318

Market transparency and the marking precision of bond mutual fund managers

Cici, Gjergji; Gibson, Scott; Gündüz, Yalin; Merrick, … - Deutsche Bundesbank - 2014

We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US …. Disseminated bonds show large and statistically significant decreases in mark dispersion around three key TRACE system rollout … events. Dispersion for large, investment grade bonds fell 20% to 83% after the start of TRACE reporting. A difference …

Persistent link: https://www.econbiz.de/10010984744

Political risk and export promotion: evidence from Germany

Moser, Christoph; Nestmann, Thorsten; Wedow, Michael - Deutsche Bundesbank - 2006

Political risk represents an important hidden transaction cost that reduces international trade. This paper investigates the claim that German public export credit guarantees (Hermes guarantees) mitigate this friction to trade flows and hence promote exports. We employ an empirical trade gravity...

Persistent link: https://www.econbiz.de/10005083292

Recent developments in quantitative models of sovereign default

Stähler, Nikolai - Deutsche Bundesbank - 2011

The current crisis and discussions, in the euro area in particular, show that sovereign debt crises/defaults are no longer restricted to developing economies. After crises in many Latin American countries, the literature on quantitative dynamic macro-models of sovereign default has been...

Persistent link: https://www.econbiz.de/10009283656

Who trades on momentum?

Baltzer, Markus; Jank, Stephan; Smajlbegovic, Esad - Deutsche Bundesbank - 2014

Using a unique data set that contains the complete ownership structure of the German stock market, we study the momentum and contrarian trading of different investor groups. Foreign investors and financial institutions, and especially mutual funds, are momentum traders, whereas private...

Persistent link: https://www.econbiz.de/10011161233

Relationship lending in the interbank market and the price of liquidity

Bräuning, Falk; Fecht, Falko - Deutsche Bundesbank - 2012

This paper empirically investigates the effect of interbank relationship lending on banks' access to liquidity. Our analysis is based on German interbank payment data which we use to create a panel of unsecured overnight loans between 1079 distinct borrower-lender pairs. The data shows that...

Persistent link: https://www.econbiz.de/10010984709

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard; de Raaij, Gabriela - Deutsche Bundesbank - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10005083070

Investment Behaviour of German Equity Fund Managers

Arnswald, Torsten - Deutsche Bundesbank - 2001

In order to shed light on the "black box" of institutional equity investing in a systematic manner, I conducted a broadly based questionnaire which received a large response from German mutual fund companies. The survey asked fund managers for their basic views and practices and for insights...

Persistent link: https://www.econbiz.de/10005083125

Financial intermediaries, markets and growth

Fecht, Falko; Huang, Kevin; Martin, Antoine - Deutsche Bundesbank - 2005

We build a model in which financial intermediaries provide insurance to households against a liquidity shock. Households can also invest directly on a financial market if they pay a cost. In equilibrium, the ability of intermediaries to share risk is constrained by the market. This can be...

Persistent link: https://www.econbiz.de/10005083171