The Role of Securitization in Bank Liquidity and Funding Management
Elena Loutskina
Journal of Financial Economics,
No. 3,
2011
Abstract
This paper studies the role of securitization in bank management. I propose a new index of “bank loan portfolio liquidity” which can be thought of as a weighted average of the potential to securitize loans of a given type, where the weights reflect the composition of a bank loan portfolio. I use this new index to show that by allowing banks to convert illiquid loans into liquid funds, securitization reduces banks' holdings of liquid securities and increases their lending ability. Furthermore, securitization provides banks with an additional source of funding and makes bank lending less sensitive to cost of funds shocks. By extension, the securitization weakens the ability of the monetary authority to affect banks' lending activity but makes banks more susceptible to liquidity and funding crisis when the securitization market is shut down.
Read article
Extreme Risks in Financial Markets and Monetary Policies of the Euro-candidates
Hubert Gabrisch, Lucjan T. Orlowski
Comparative Economic Studies,
No. 4,
2011
Abstract
This study investigates extreme tail risks in financial markets of the euro-candidate countries and their implications for monetary policies. Our empirical tests show the prevalence of extreme risks in the conditional volatility series of selected financial variables, that is, interbank rates, equity market indexes and exchange rates. We argue that excessive instability of key target and instrument variables should be mitigated by monetary policies. Central banks in these countries will be well-advised to use both standard and unorthodox (discretionary) tools of monetary policy while steering their economies out of the financial crisis and through the euro-convergence process.
Read article
The Quantity Theory Revisited: A New Structural Approach
Makram El-Shagi, Sebastian Giesen
Abstract
While the long run relation between money and inflation is well established, empirical evidence on the adjustment to the long run equilibrium is very heterogeneous. In this paper we show, that the development of US consumer price inflation between 1960Q1 and 2005Q4 is strongly driven by money overhang. To this end, we use a multivariate state space framework that substantially expands the traditional vector error correction approach. This approach allows us to estimate the persistent components of velocity and GDP. A sign restriction approach is subsequently used to identify the structural shocks to the signal equations of the state space model, that explain money growth, inflation and GDP growth. We also account for the possibility that measurement error exhibited by simple-sum monetary aggregates causes the consequences of monetary shocks to be improperly identified by using a Divisia monetary aggregate. Our findings suggest that when the money is measured using a reputable index number, the quantity theory holds for the United States.
Read article
Distance Functions for Matching in Small Samples
Eva Dettmann, Christian Schmeißer, Claudia Becker
Computational Statistics & Data Analysis,
No. 5,
2011
Abstract
The development of ‘standards’ for the application of matching algorithms in empirical evaluation studies is still an outstanding goal. The first step of the matching procedure is the choice of an appropriate distance function. In empirical evaluation situations often the sample sizes are small. Moreover, they consist of variables with different scale levels which have to be considered explicitly in the matching process. A simulation is performed which is directed towards these empirical challenges and supplements former studies in this respect. The choice of the analysed distance functions is determined by the results of former theoretical studies and recommendations in the empirical literature. Thus, two balancing scores (the propensity score and the index score) and the Mahalanobis distance are considered. Additionally, aggregated statistical distance functions not yet used for empirical evaluation are included. The matching outcomes are compared using non-parametric scale-specific tests for identical distributions of the characteristics in the treatment and the control groups. The simulation results show that, in small samples, aggregated statistical distance functions are the better choice for summarising similarities in differently scaled variables compared to the commonly used measures.
Read article
07.12.2010 • 68/2010
Weiterhin sinkender Energieverbrauch in Mehrfamilienhäusern
Der Energieverbrauch für Raumwärme in Mehrfamilienhäusern ist rückläufig. Das zeigen die aktuellen Ergebnisse des ista-IWH-Energieeffizienz-index für die Abrechnungsperiode 2009. Gegenüber 2006 ist der bundesweite Indexwert von 107 auf 98,5 gesunken. Dies entspricht einem Rückgang des durchschnittlichen Energiebedarfs um rund 13,4 Kilowattstunden je Quadratmeter Wohnfläche (kWh/m2) pro Jahr bzw. um rund –8,9%.
Gauging the Potential for Social Unrest
Walter Hyll, Oded Stark, Doris A. Behrens
Public Choice,
2010
Abstract
It stands to reason that social unrest does not erupt out of the blue. Although there are a great many reasons why social dismay might descend into social disorder, only few yardsticks or indices can plausibly be used to gauge the potential for social unrest (PSU). If policy makers want to undertake public action to prevent social dismay escalating into social disruption, they obviously need to draw on practical sensors. This paper assesses critically the adequacy of two such measures, the polarization (P) index, and the total relative deprivation (TRD) index. The paper proposes a tentative guide to selecting between these two measures. A review of three stylized scenarios suggests that, where income redistributions reduce the number of distinct income groups, and when each group is characterized by a strong sense of within-group identity, the P index surpasses the TRD index as a basis for predicting PSU. When the within-group identification is weak, however, it is better to use the TRD index to predict PSU.
Read article
Is there a Superior Distance Function for Matching in Small Samples?
Eva Dettmann, Claudia Becker, Christian Schmeißer
Abstract
The study contributes to the development of ’standards’ for the application of matching algorithms in empirical evaluation studies. The focus is on the first step of the matching procedure, the choice of an appropriate distance function. Supplementary o most former studies, the simulation is strongly based on empirical evaluation ituations. This reality orientation induces the focus on small samples. Furthermore, ariables with different scale levels must be considered explicitly in the matching rocess. The choice of the analysed distance functions is determined by the results of former theoretical studies and recommendations in the empirical literature. Thus, in the simulation, two balancing scores (the propensity score and the index score) and the Mahalanobis distance are considered. Additionally, aggregated statistical distance functions not yet used for empirical evaluation are included. The matching outcomes are compared using non-parametrical scale-specific tests for identical distributions of the characteristics in the treatment and the control groups. The simulation results show that, in small samples, aggregated statistical distance functions are the better
choice for summarising similarities in differently scaled variables compared to the
commonly used measures.
Read article
Energy Efficient Homes in Germany: Lower Energy Requirement in the East and the South – Results of the ista-IWH-Energy-Efficiency-Index 2007
Claus Michelsen
Wirtschaft im Wandel,
No. 9,
2009
Abstract
At the latest since the oil crisis in the beginning of the 1970s, energy efficiency of homes became a widely discussed topic. In the past, it were in first line aspects of the scarcity of fossil energy sources that motivated the debate. Nowadays, climate protection is a main goal of the European energy policy. For this purpose, a new instrument was introduced in 2009. Europe-wide, the “Energy Performance Certificate” for buildings presents detailed information on the required energy for heating, warm water and (indirectly) the resulting costs for tenants. This instrument is designed to provide further information for consumers to influence their behavior in favor of energy efficient buildings.
Until now, there is only little information on spatial aspects of the energy efficiency of housing in Germany. This article presents data on the level of Germany’s NUTS2 regions. In our calculations, we include information on more than 2.6 million flats, interpolating it representatively for the total stock of multifamily buildings and considering the regional climate.
The results of the first ista-IWH-Energy-Efficiency-Index indicate large differences between regions. The required energy for housing is much lower in the eastern and southern parts of Germany, compared to the western or northern parts. Explanations can be seen in a different structure of the housing stock (e.g. age of construction, level of refurbishment). Moreover, first analyses of the market structure indicate that owner occupied flats are more efficient in energy requirement than rental flats. Vacancy rates, the duration of occupation of rented flats and the level of regional income play an additional role for the energy efficiency of the regional housing stock.
Read article