Professor Dr Melina Ludolph

Professor Dr Melina Ludolph
Current Position

since 9/21

Economist in the Department of Laws, Regulations and Factor Markets

Halle Institute for Economic Research (IWH) – Member of the Leibniz Association

since 9/21

Assistant Professor

Otto von Guericke University Magdeburg

Research Interests

  • banking regulation
  • financial stability
  • financial crises
  • applied econometrics

Melina Ludolph joined the institute in September 2021. She is Assistant Professor at Otto von Guericke University Magdeburg. Her research focuses on banking regulation, financial stability, financial crises, and applied econometrics.

Melina Ludolph received her master's degree and her PhD from Humboldt-Universität zu Berlin.

Your contact

Professor Dr Melina Ludolph
Professor Dr Melina Ludolph
Mitglied - Department Laws, Regulations and Factor Markets
Send Message +49 345 7753-773

Publications

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The Nexus between Loan Portfolio Size and Volatility: Does Bank Capital Regulation Matter?

Franziska Bremus Melina Ludolph

in: Journal of Banking and Finance, June 2021

Abstract

This paper analyzes the effects of bank capital regulation on the link between bank size and volatility. Using bank-level data for 27 advanced economies over the 2000–2014 period, we estimate a power law that relates the volume of a bank’s loan portfolio to the volatility of loan growth. Our analysis reveals, first, that more stringent capital regulation weakens the size-volatility nexus. Hence, in countries with more stringent capital regulation, large banks show, ceteris paribus, lower loan portfolio volatility. Second, the effect of tighter capital requirements on the size-volatility nexus becomes stronger for the upper tail of the bank size distribution. This is in line with capitalization decreasing with bank size, such that larger banks tend to be more affected by increasing capital requirements. Third, in countries with higher sectoral capital buffers, the size-volatility nexus is weaker.

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Working Papers

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The Adverse Effect of Contingent Convertible Bonds on Bank Stability

Melina Ludolph

in: IWH Discussion Papers, No. 1, 2022

Abstract

This paper examines the impact of issuing contingent convertible (CoCo) bonds on bank risk. I apply a matching-based difference-in-differences approach to banklevel data for 246 publicly traded European banks and 61 CoCo issues from 2008−2018. My estimation results reveal that issuing CoCo bonds that meet the criteria for additional tier 1 (AT1) capital results in significantly higher z-scores one to three years after the issuance. Rather than having a net negative impact, issuing CoCos seems to impede a positive time trend towards greater bank stability. This study adds to the empirical literature on the risk-effect of contingent convertibles by identifying the causal effect of AT1 CoCo bonds on reported risk changes over a three-year post-treatment horizon based on a comprehensive sample of European banks. The results confirm theoretical predictions that currently outstanding CoCo bonds create incentives for excessive risk-taking.

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