Now showing items 1-20 of 476

    • Trust Me! I am a European Central Banker 

      Bursian, Dirk; Fürth, Sven (2012-06-01)
      In the aftermath of the financial crisis, the ECB has experienced an unprecedented deterioration in the level of trust. This raises the question as to what factors determine trust in central banking. We use a unique ...
    • Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach 

      Adams, Zeno; Füss, Roland; Gropp, Reint (2012-09-01)
      In this paper, we develop a state-dependent sensitivity value-at-risk (SDSVaR) approach that enables us to quantify the direction, size, and duration of risk spillovers among financial institutions as a function of the ...
    • Does Mood Affect Trading Behavior? 

      Kaustia, Markku; Rantapuska, Elias (2012-11-09)
      We test whether investor mood affects trading with data on all stock market transactions in Finland, utilizing variation in daylight and local weather. We find some evidence that environmental mood variables (local weather, ...
    • Bank and Sovereign Debt Risk Connection 

      Pariès, Matthieu Darracq; Faia, Ester; Palenzuel, Diego Rodriguez (2013-01-01)
      Euro area data show a positive connection between sovereign and bank risk, which increases with banks’ and sovereign long run fragility. We build a macro model with banks subject to moral hazard and liquidity risk (sudden ...
    • Does sophistication affect long-term return expectations? Evidence from financial advisers' exam scores 

      Kaustia, Markku; Lehtoranta, Antti; Puttonen, Vesa (2013-01-22)
      We use unique data fromfinancial advisers’ professional exam scores and combine it with other variables to create an index of financial sophistication. Using this index to explain long-term stock return expectations, we ...
    • Option-Implied Information and Predictability of Extreme Returns 

      Vilkov, Grigory; Xiao, Yan (2013-01-28)
      We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market ...
    • Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios 

      Calvet, Laurent; Sodini, Paolo (2013-03-21)
      This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested In risky assets is an increasing and concave function of financial wealth, ...
    • Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization 

      Branger, Nicole; Kraft, Holger; Meinerding, Christoph (2013-04-18)
      This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...
    • Hidden Gems and Borrowers with Dirty Little Secrets: Investment in Soft Information, Borrower Self-selection and Competition 

      Gropp, Reint; Gruendl, Christian; Guettler, Andre (2013-05-01)
      This paper empirically examines the role of soft information in the competitive interaction between relationship and transaction banks. Soft information can be interpreted as a valuable signal about the quality of a firm ...
    • Who Invests in Home Equity to Exempt Wealth from Bankruptcy? 

      Corradin, Stefano; Gropp, Reint; Huizinga, Harry; Laeven, Luc (2013-05-01)
      Homestead exemptions to personal bankruptcy allow households to retain their home equity up to a limit determined at the state level. Households that may experience bankruptcy thus have an incentive to bias their portfolios ...
    • Euro Membership and Fiscal Reaction Functions 

      Weichenrieder, Alfons J.; Zimmer, Jochen (2013-05-10)
      The paper uses fiscal reaction functions for a panel of euro-area countries to investigate whether euro membership has reduced the responsiveness of countries to shocks in the level of inherited debt compared to the period ...
    • Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility 

      Kraft, Holger; Seifried, Frank Thomas (2013-05-10)
      We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the ...
    • Trust in Government and Fiscal Adjustments 

      Bursian, Dirk; Weichenrieder, Alfons J.; Zimmer, Jochen (2013-06-04)
      The paper looks at the determinants of fiscal adjustments as reflected in the primary surplus of countries. Our conjecture is that governments will usually find it more attractive to pursue fiscal adjustments in a situation ...
    • Insight Private Equity 

      Gill, Andrej; Visnjic, Nikolai (2013-06-18)
      We are able to shed light on the black box of restructuring tools private equity investors use to improve the operational performance of their portfolio companies. By building on previous work considering performance ...
    • Performance Benefits of Tight Control 

      Gill, Andrej; Visnjic, Nikolai (2013-06-18)
      This study investigates the transition from being a listed company with a dispersed ownership structure to being a privately held company with a concentrated ownership structure. We consider a sample of private equity ...
    • Trust in the Monetary Authority 

      Bursian, Dirk; Faia, Ester (2013-07-01)
      Trust in policy makers fluctuates significantly over the cycle and affects the transmission mechanism. Despite this it is absent from the literature. We build a monetary model embedding trust cycles; the latter emerge as ...
    • Input-Output-Based Measures of Systemic Importance 

      Aldasoro, Iñaki; Angeloni, Ignazio (2013-08-01)
      The analyses of intersectoral linkages of Leontief (1941) and Hirschman (1958) provide a natural way to study the transmission of risk among interconnected banks and to measure their systemic importance. In this paper we ...
    • Optimal Policy and Taylor Rule Cross-Checking Under Parameter Uncertainty 

      Bursian, Dirk; Roth, Markus (2013-09-26)
      We examine whether the robustifying nature of Taylor rule cross-checking under model uncertainty carries over to the case of parameter uncertainty. Adjusting monetary policy based on this kind of cross-checking can improve ...
    • Game-Theoretic Foundations of Monetary Equilibrium 

      Camera, Gabriele; Gioffré, Alessandro (2013-09-30)
      Monetary theorists have advanced an intriguing notion: we exchange money to make up for a lack of enforcement, when it is difficult to monitor and sanction opportunistic behaviors. We demonstrate that, in fact, monetary ...
    • Two Monetary Models with Alternating Markets 

      Camera, Gabriele; Chien, YiLi (2013-10-28)
      We present a thought-provoking study of two monetary models: the cash-in-advance and the Lagos and Wright (2005) models. We report that the different approach to modeling money — reduced-form vs. explicit role — neither ...

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