Regulierung internationaler Finanzmärkte und Banken
Diese Forschungsgruppe analysiert Ursachen und Konsequenzen von internationalen Aktivitäten von Banken sowie den regulatorischen Rahmen, innerhalb dessen globale Banken operieren.
International aktive Banken können eine effiziente internationale Kapitalallokation vereinfachen und zur internationalen Risikoteilung beitragen. Allerdings können sie auch Instabilitäten generieren und zu einer Übertragung von Schocks über nationale Grenzen hinaus beitragen. Dies ist einer der Gründe für die aktuelle Re-Regulierung des internationalen Bankensystems.
Die Forschungsgruppe trägt auf drei verschiedenen Wegen zur Literatur bei. Erstens analysiert die Gruppe empirisch, warum internationale Banken global aktiv sind und wie Schocks im Finanzsystem übertragen werden. Zweitens untersucht die Gruppe das Entstehen von systemischen Risiken und Ungleichgewichten im integrierten Bankenmarkt und die sich daraus ergebenden Konsequenzen für die Realwirtschaft. Drittens werden die Auswirkungen von Änderungen bezüglich der Bankenaufsicht und Bankenregulierung analysiert, mit einem besonderen Fokus auf dem europäischen Integrationsprozess
IWH-Datenprojekt: International Banking Library
ForschungsclusterFinanzstabilität und Regulierung
07.2017 ‐ 12.2022
Die politische Ökonomie der europäischen Bankenunion
Europäischer Sozialfonds (ESF)
Ursachen für nationale Unterschiede in der Umsetzung der Bankenunion und daraus resultierende Auswirkungen auf die Finanzstabilität.
01.2015 ‐ 12.2017
Dynamic Interactions between Banks and the Real Economy
Deutsche Forschungsgemeinschaft (DFG)
Sovereign Credit Risk Co-movements in the Eurozone: Simple Interdependence or Contagion?
in: International Finance, Nr. 3, 2016
We investigate credit risk co-movements and contagion in the sovereign debt markets of 17 industrialized countries during the period 2008–2012. We use dynamic conditional correlations of sovereign credit default swap spreads to detect contagion. This approach allows us to separate contagion channels from the determinants of simple interdependence. The results show that, first, sovereign credit risk co-moves considerably, particularly among eurozone countries and during the sovereign debt crisis. Second, contagion varies across time and countries. Third, similarities in economic fundamentals, cross-country linkages in banking and common market sentiment constitute the main channels of contagion.
Taxing Banks: An Evaluation of the German Bank Levy
in: Journal of Banking & Finance, November 2016
Bank distress can have severe negative consequences for the stability of the financial system. Regimes for the restructuring and resolution of banks, financed by bank levies, aim at reducing these costs. This paper evaluates the German bank levy, which has been implemented since 2011. Our analysis offers three main insights. First, revenues raised through the levy were lower than expected. Second, the bulk of the payments were contributed by large commercial banks and by the central institutions of savings banks and credit unions. Third, for those banks, which were affected by the levy, we find evidence for a reduction in lending and higher deposit rates.
Lend Global, Fund Local? Price and Funding Cost Margins in Multinational Banking
in: Review of Finance, Nr. 5, 2016
In a proposed model of a multinational bank, interest margins determine local lending by foreign affiliates and the internal funding by parent banks. We exploit detailed parent-affiliate-level data of all German banks to empirically test our theoretical predictions in pre-crisis times. Local lending by affiliates depends negatively on price margins, the difference between lending and deposit rates in foreign markets. The effect of funding cost margins, the gap between local deposit rates faced by affiliates abroad and the funding costs of their parents, on internal capital market funding is positive but statistically weak. Interest margins are central to explain the interaction between internal capital markets and foreign affiliates lending.
Uncertainty, Bank Lending, and Bank-level Heterogeneity
in: IMF Economic Review, Nr. 4, 2015
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.
Cross-border Interbank Networks, Banking Risk and Contagion
in: Journal of Financial Stability, 2015
Recent events have highlighted the role of cross-border linkages between banking systems in transmitting local developments across national borders. This paper analyzes whether international linkages in interbank markets affect the stability of interconnected banking systems and channel financial distress within a network consisting of banking systems of the main advanced countries for the period 1994–2012. Methodologically, I use a spatial modeling approach to test for spillovers in cross-border interbank markets. The results suggest that foreign exposures in banking play a significant role in channeling banking risk: I find that countries that are linked through foreign borrowing or lending positions to more stable banking systems abroad are significantly affected by positive spillover effects. From a policy point of view, this implies that in stable times, linkages in the banking system can be beneficial, while they have to be taken with caution in times of financial turmoil affecting the whole system.
The Cleansing Effect of Banking Crises
in: IWH-Diskussionspapiere, Nr. 12, 2020
We assess the cleansing effects of the recent banking crisis. In U.S. regions with higher levels of supervisory forbearance on distressed banks during the crisis, there is less restructuring in the real sector and the banking sector remains less healthy for several years after the crisis. Regions with less supervisory forbearance experience higher productivity growth after the crisis with more firm entries, job creation, and employment, wages, patents, and output growth. Supervisory forbearance is greater for state-chartered banks and in regions with weaker banking competition and more independent banks, while recapitalisation of distressed banks through TARP does not facilitate cleansing.
The Cleansing Effect of Banking Crises
in: Centre for Economic Policy Research Discussion Papers, 2020
We assess the cleansing effects of the recent banking crisis. In U.S. regions with higher levels of supervisory forbearance on distressed banks during the crisis, there is less restructuring in the real sector and the banking sector remains less healthy for several years after the crisis. Regions with less supervisory forbearance experience higher productivity growth after the crisis with more firm entries, job creation, and employment, wages, patents, and output growth. Supervisory forbearance is greater for state-chartered banks and in regions with weaker banking competition and more independent banks, while recapitalization of distressed banks through TARP does not facilitate cleansing.
Asymmetric Investment Responses to Firm-specific Forecast Errors
in: IWH-Diskussionspapiere, Nr. 5, 2020
This paper analyses how firm-specific forecast errors derived from survey data of German manufacturing firms over 2007–2011 affect firms’ investment propensity. Understanding how forecast errors affect firm investment behaviour is key to mitigate economic downturns during and after crisis periods in which forecast errors tend to increase. Our findings reveal a negative impact of absolute forecast errors on investment. Strikingly, asymmetries arise depending on the size and direction of the forecast error. The investment propensity declines if the realised situation is worse than expected. However, firms do not adjust investment if the realised situation is better than expected suggesting that the uncertainty component of the forecast error counteracts positive effects of unexpectedly favorable business conditions. Given that the fraction of firms making positive forecast errors is higher after the peak of the recent financial crisis, this mechanism can be one explanation behind staggered economic growth and slow recovery following crises.
Financial Linkages and Sectoral Business Cycle Synchronisation: Evidence from Europe
in: IWH-Diskussionspapiere, Nr. 2, 2020
We analyse whether financial integration between countries leads to converging or diverging business cycles using a dynamic spatial model. Our model allows for contemporaneous spillovers of shocks to GDP growth between countries that are financially integrated and delivers a scalar measure of the spillover intensity at each point in time. For a financial network of ten European countries from 1996-2017, we find that the spillover effects are positive on average but much larger during periods of financial stress, pointing towards stronger business cycle synchronisation. Dismantling GDP growth into value added growth of ten major industries, we observe that some sectors are strongly affected by positive spillovers (wholesale & retail trade, industrial production), others only to a weaker degree (agriculture, construction, finance), while more nationally influenced industries show no evidence for significant spillover effects (public administration, arts & entertainment, real estate).
Inside Asset Purchase Programs: The Effects of Unconventional Policy on Banking Competition
in: ECB Working Paper Series, Nr. 2017, 2017
We test if unconventional monetary policy instruments influence the competitive conduct of banks. Between q2:2010 and q1:2012, the ECB absorbed Euro 218 billion worth of government securities from five EMU countries under the Securities Markets Programme (SMP). Using detailed security holdings data at the bank level, we show that banks exposed to this unexpected (loose) policy shock mildly gained local loan and deposit market shares. Shifts in market shares are driven by banks that increased SMP security holdings during the lifetime of the program and that hold the largest relative SMP portfolio shares. Holding other securities from periphery countries that were not part of the SMP amplifies the positive market share responses. Monopolistic rents approximated by Lerner indices are lower for SMP banks, suggesting a role of the SMP to re-distribute market power differentially, but not necessarily banking profits.