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Stochastic frontier analysis by means of maximum likelihood and the method of moments
Behr, Andreas; Tente, Sebastian - Deutsche Bundesbank - 2008
The stochastic frontier analysis (Aigner et al., 1977, Meeusen and van de Broeck, 1977) is widely used to estimate individual efficiency scores. The basic idea lies in the introduction of an additive error term consisting of a noise and an inefficiency term. Most often the assumption of a...
Persistent link: https://www.econbiz.de/10005082812
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A hierarchical Archimedean copula for portfolio credit risk modelling
Puzanova, Natalia - Deutsche Bundesbank - 2011
portfolio credit risk within the structural framework. To allow for a stronger dependence within sub-portfolios than between … specification based on a gamma mixture of powers. This model allows for lower tail dependence, resulting in a more conservative …
Persistent link: https://www.econbiz.de/10009372144
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A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
Puzanova, Natalia - Deutsche Bundesbank - 2011
-tail dependence of the intra-sector copula is increasing in the absolute values of skewness parameters. Furthermore, I show that the …This paper introduces a multivariate pure-jump Lévy process which allows for skewness and excess kurtosis of single … asset returns and for asymptotic tail dependence in the multivariate setting. It is termed Variance Compound Gamma (VCG …
Persistent link: https://www.econbiz.de/10010954914
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Evaluating macroeconomic risk forecasts
Knüppel, Malte; Schultefrankenfeld, Guido - Deutsche Bundesbank - 2011
forecasts can be tested. We find that the Pearson mode skewness outperforms the standard third-moment-based skewness as a …
Persistent link: https://www.econbiz.de/10009151246
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Modelling and measuring business risk and the resiliency of retail banks
Chaffai, Mohamed; Dietsch, Michel - Deutsche Bundesbank - 2013
The recent banking crisis has revealed the existence of strong resiliency factors in the retail banking business model. On average, retail banks suffered less than other financial institutions from unexpected market changes. This paper proposes a new methodology to measure retail banks' business...
Persistent link: https://www.econbiz.de/10010957105
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Dynamic Q-investment functions for Germany using panel balance sheet data and a new algorithm for the capital stock at replacement values
Bellgardt, Egon; Behr, Andreas - Deutsche Bundesbank - 2002
The paper explores the investment behaviour of German firms in the context of the Qapproach, which plays a dominant role in empirical investment research. The analysis is based on the Deutsche Bundesbank's corporate balance sheet statistics. The panel data set contains some 2,300 German firms'...
Persistent link: https://www.econbiz.de/10005083058
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Exploring the role of uncertainty for corporate investment decisions in Germany
von Kalckreuth, Ulf - Deutsche Bundesbank - 2000
The impact of uncertainty on firms? investment outlays is subject to an ongoing debate. Theory identifies several channels. Irreversibility, financing constraints and risk aversion make a negative relationship between uncertainty and investment likely. On the other hand, the ability of firms to...
Persistent link: https://www.econbiz.de/10005083086
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Exports versus FDI in German manufacturing: firm performance and participation in international markets
Arnold, Jens Matthias; Hussinger, Katrin - Deutsche Bundesbank - 2006
This paper tests some of the predictions of recent advances in trade theory that have focused on different trade patterns of firms within the same sector. Helpman, Melitz and Yeaple (2005) develop a model in which innate productivity differences between firms determine the degree of...
Persistent link: https://www.econbiz.de/10005083169
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The Economic Impact of Venture Capital
van Pottelsberghe de la Potterie, Bruno; Romain, Astrid - Deutsche Bundesbank - 2004
This paper attempts to evaluate the macroeconomic impact of venture capital (VC). We test the assumption that VC is similar in several respects to business R&D performed by large firms and therefore contributes to economic growth through two main channels: innovation and absorptive capacity. The...
Persistent link: https://www.econbiz.de/10005083275
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Financing constraints, firm level adjustment of capital and aggregate implications
von Kalckreuth, Ulf - Deutsche Bundesbank - 2008
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 offers a direct way of verifying the presence of financing constraints and assessing their...
Persistent link: https://www.econbiz.de/10005083281