International Banking and Cross-border Effects of Regulation: Lessons from Germany
Jana Ohls, Markus Pramor, Lena Tonzer
Abstract
We analyze the inward and outward transmission of regulatory changes through German banks’ (international) loan portfolio. Overall, our results provide evidence for international spillovers of prudential instruments, these spillovers are however quite heterogeneous between types of banks and can only be observed for some instruments. For instance, foreign banks located in Germany reduce their loan growth to the German economy in response to a tightening of sector-specific capital buffers, local reserve requirements and loan to value ratios in their home country. Furthermore, from the point of view of foreign countries, tightening reserve requirements was effective in reducing lending inflows from German banks. Finally, we find that business and financial cycles matter for lending decisions.
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A Fresh Look at the Labor Market Height Premium in Germany
Frieder Kropfhäußer
Economics Bulletin,
No. 3,
2016
Abstract
I use data from the German Socio-Economic Panel Study (SOEP) to analyze the relationship between height and wages in a sample of young German workers. My results show that the crude height wage premium documented in the literature is explained by unobserved heterogeneity on the sibling level. This contradicts the findings of a labor market height premium in Germany using OLS and Hausman-Taylor estimators as well as the Swedish finding of a height effect remaining after controlling for sibling fixed effects.
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European Firms after the Crisis – New Insights from the 5th Vintage of the CompNet Firm-level-based Database
Elena Ashtari Tafti, Richard Bräuer, Sante De Pinto, Marco Grazioli, Matthias Mertens, Daniel Stöhlker, Marta Tagliabue
,
2016
Abstract
This report intends to shed light on the competitive stance of European firms after the crisis. In line with CompNet cutting-edge approach, we take a firm-level perspective to analyse the competitive position of European firms by drawing from the new vintage of the firm-level-based CompNet database. This micro-level approach allows us to ascertain the extent in which firms performances are heterogeneous across EU, also in relation of possible determinants of such performance.
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Informal or Formal Financing? Evidence on the Co-Funding of Chinese Firms
Hans Degryse, Liping Lu, Steven Ongena
Journal of Financial Intermediation,
2016
Abstract
Different modes of external finance provide heterogeneous benefits for the borrowing firms. Informal finance offers informational advantages whereas formal finance is scalable. Using unique survey data from China, we find that informal finance is associated with higher sales growth for small firms but lower sales growth for large firms. We identify a complementary effect between informal and formal finance for the sales growth of small firms, but not for large firms. Co-funding, thereby simultaneously using the informational advantage of informal finance and the scalability of formal finance, is therefore the optimal choice for small firms.
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The Role of Complexity for Bank Risk during the Financial Crisis: Evidence from a Novel Dataset
Thomas Krause, Talina Sondershaus, Lena Tonzer
Abstract
We construct a novel dataset to measure banks’ complexity and relate it to banks’ riskiness. The sample covers stock listed Euro area banks from 2007 to 2014. Bank stability is significantly affected by complexity, whereas the direction of the effect differs across complexity measures. This heterogeneity advises against the use of a single complexity measure when evaluating the implications of bank complexity.
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The Diablo 3 Economy: An Agent Based Approach
Makram El-Shagi, Gregor von Schweinitz
Computational Economics,
No. 2,
2016
Abstract
Designers of MMOs such as Diablo 3 face economic problems much like policy makers in the real world, e.g. inflation and distributional issues. Solving economic problems through regular updates (patches) became as important to those games as traditional gameplay issues. In this paper we provide an agent framework inspired by the economic features of Diablo 3 and analyze the effect of monetary policy in the game. Our model reproduces a number of features known from the Diablo 3 economy such as a heterogeneous price development, driven almost exclusively by goods of high quality, a highly unequal wealth distribution and strongly decreasing economic mobility. The basic framework presented in this paper is meant as a stepping stone to further research, where our evidence is used to deepen our understanding of the real-world counterparts of such problems. The advantage of our model is that it combines simplicity that is inherent to model economies with a similarly simple observable counterpart (namely the game environment where real agents interact). By matching the dynamics of the game economy we can thus easily verify that our behavioral assumptions are good approximations to reality.
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Uncertainty, Bank Lending, and Bank-level Heterogeneity
Claudia M. Buch, Manuel Buchholz, Lena Tonzer
IMF Economic Review,
No. 4,
2015
Abstract
We analyze how uncertainty affects bank lending. We measure uncertainty as the cross-sectional dispersion of shocks to bank-level variables. Comparing this measure of uncertainty in banking to more traditional measures of uncertainty, we find similar but no identical patterns. Higher uncertainty in banking has negative effects on bank lending. This effect is heterogeneous across banks: lending by banks that are better capitalized and have higher liquidity buffers tends to be affected less. Also, the degree of internationalization matters, as loan supply by banks in financially open countries is affected less by uncertainty. The impact of the ownership status of the individual bank is less important, in contrast.
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Banks and Sovereign Risk: A Granular View
Claudia M. Buch, Michael Koetter, Jana Ohls
Abstract
We identify the determinants of all German banks’ sovereign debt exposures between 2005 and 2013 and test for the implications of these exposures for bank risk. Larger, more capital market affine, and less capitalised banks hold more sovereign bonds. Around 15% of all German banks never hold sovereign bonds during the sample period. The sensitivity of sovereign bond holdings by banks to eurozone membership and inflation increased significantly since the collapse of Lehman Brothers. Since the outbreak of the sovereign debt crisis, banks prefer sovereigns with lower debt ratios and lower bond yields. Finally, we find that riskiness of government bond holdings affects bank risk only since 2010. This confirms the existence of a nexus between government debt and bank risk.
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Censored Fractional Response Model: Estimating Heterogeneous Relative Risk Aversion of European Households
Qizhou Xiong
IWH Discussion Papers,
No. 11,
2015
Abstract
This paper estimates relative risk aversion using the observed shares of risky assets and characteristics of households from the Household Finance and Consumption Survey of the European Central Bank. Given that the risky share is a fractional response variable belonging to [0, 1], this paper proposes a censored fractional response estimation method using extremal quantiles to approximate the censoring thresholds. Considering that participation in risky asset markets is costly, I estimate both the heterogeneous relative risk aversion and participation cost using a working sample that includes both risky asset holders and non-risky asset holders by treating the zero risky share as the result of heterogeneous self-censoring. Estimation results show lower participation costs and higher relative risk aversion than what was previously estimated. The estimated median relative risk aversions of eight European countries range from 4.6 to 13.6. However, the results are sensitive to households’ perception of the risky asset market return and volatility.
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On the Trail of Core–periphery Patterns in Innovation Networks: Measurements and New Empirical Findings from the German Laser Industry
Wilfried Ehrenfeld, Toralf Pusch, Muhamed Kudic
Annals of Regional Science,
No. 1,
2015
Abstract
It has been frequently argued that a firm’s location in the core of an industry’s innovation network improves its ability to access information and absorb technological knowledge. The literature has still widely neglected the role of peripheral network positions for innovation processes. In addition to this, little is known about the determinants affecting a peripheral actors’ ability to reach the core. To shed some light on these issues, we have employed a unique longitudinal dataset encompassing the entire population of German laser source manufacturers (LSMs) and laser-related public research organizations (PROs) over a period of more than two decades. The aim of our paper is threefold. First, we analyze the emergence of core–periphery (CP) patterns in the German laser industry. Then, we explore the paths on which LSMs and PROs move from isolated positions toward the core. Finally, we employ non-parametric event history techniques to analyze the extent to which organizational and geographical determinates affect the propensity and timing of network core entries. Our results indicate the emergence and solidification of CP patterns at the overall network level. We also found that the paths on which organizations traverse through the network are characterized by high levels of heterogeneity and volatility. The transition from peripheral to core positions is impacted by organizational characteristics, while an organization’s geographical location does not play a significant role.
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