Mind the Gap: The Difference Between U.S. and European Loan Rates
Tobias Berg, Anthony Saunders, Sascha Steffen, Daniel Streitz
Review of Financial Studies,
Nr. 3,
2017
Abstract
We analyze pricing differences between U.S. and European syndicated loans over the 1992–2014 period. We explicitly distinguish credit lines from term loans. For credit lines, U.S. borrowers pay significantly higher spreads, but lower fees, resulting in similar total costs of borrowing in both markets. Credit line usage is more cyclical in the United States, which provides a rationale for the pricing structure difference. For term loans, we analyze the channels of the cross-country loan price differential and document the importance of: the composition of term loan borrowers and the loan supply by institutional investors and foreign banks.
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Should Forecasters Use Real-time Data to Evaluate Leading Indicator Models for GDP Prediction? German Evidence
Katja Heinisch, Rolf Scheufele
Abstract
In this paper we investigate whether differences exist among forecasts using real-time or latest-available data to predict gross domestic product (GDP). We employ mixed-frequency models and real-time data to reassess the role of survey data relative to industrial production and orders in Germany. Although we find evidence that forecast characteristics based on real-time and final data releases differ, we also observe minimal impacts on the relative forecasting performance of indicator models. However, when obtaining the optimal combination of soft and hard data, the use of final release data may understate the role of survey information.
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Financial Transaction Taxes: Announcement Effects, Short-run Effects, and Long-run Effects
Sebastian Eichfelder, Mona Noack, Felix Noth
Abstract
We analyze the impact of the French 2012 financial transaction tax (FTT) on trading volumes, stock prices, liquidity, and volatility. We extend the empirical research by identifying FTT announcement and short-run treatment effects, which can distort difference-in-differences estimates. In addition, we consider long-run volatility measures that better fit the French FTT’s legislative design. While we find strong evidence of a positive FTT announcement effect on trading volumes, there is almost no statistically significant evidence of a long-run treatment effect. Thus, evidence of a strong reduction of trading volumes resulting from the French FTT might be driven by announcement effects and short-term treatment effects. We find evidence of an increase of intraday volatilities in the announcement period and a significant reduction of weekly and monthly volatilities in the treatment period. Our findings support theoretical considerations suggesting a stabilizing impact of FTTs on financial markets.
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The Effect of Board Directors from Countries with Different Genetic Diversity Levels on Corporate Performance
Manthos D. Delis, Chrysovalantis Gaganis, Iftekhar Hasan, Fotios Pasiouras
Management Science,
Nr. 1,
2017
Abstract
We link genetic diversity in the country of origin of the firms’ board members with corporate performance via board members’ nationality. We hypothesize that our approach captures deep-rooted differences in cultural, institutional, social, psychological, physiological, and other traits that cannot be captured by other recently measured indices of diversity. Using a panel of firms listed in the North American and UK stock markets, we find that adding board directors from countries with different levels of genetic diversity (either higher or lower) increases firm performance. This effect prevails when we control for a number of cultural, institutional, firm-level, and board member characteristics, as well as for the nationality of the board of directors. To identify the relationship, we use—as instrumental variables for our diversity indices—the migratory distance from East Africa and the level of ultraviolet exposure in the directors’ country of nationality.
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On the Nonexclusivity of Loan Contracts: An Empirical Investigation
Hans Degryse, Vasso Ioannidou, Erik von Schedvin
Management Science,
Nr. 12,
2016
Abstract
We study how a bank's willingness to lend to a previously exclusive firm changes once the firm obtains a loan from another bank ("outside loan") and breaks an exclusive relationship. Using a difference-in-difference analysis and a setting where outside loans are observable, we document that an outside loan triggers a decrease in the initial bank's willingness to lend to the firm, i.e., outside loans are strategic substitutes. Consistent with concerns about coordination problems and higher indebtedness, we find that this reaction is more pronounced the larger the outside loan and it is muted if the initial bank's existing and future loans retain seniority and are protected with valuable collateral. Our results give a benevolent role to transparency enabling banks to mitigate adverse effects from outside loans. The resulting substitute behavior may also act as a stabilizing force in credit markets limiting positive comovements between lenders, decreasing the possibility of credit freezes and financial crises.
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Bank Response to Higher Capital Requirements: Evidence from a Quasi-natural Experiment
Reint E. Gropp, Thomas Mosk, Steven Ongena, Carlo Wix
Abstract
We study the impact of higher capital requirements on banks’ balance sheets and its transmission to the real economy. The 2011 EBA capital exercise provides an almost ideal quasi-natural experiment, which allows us to identify the effect of higher capital requirements using a difference-in-differences matching estimator. We find that treated banks increase their capital ratios not by raising their levels of equity, but by reducing their credit supply. We also show that this reduction in credit supply results in lower firm-, investment-, and sales growth for firms which obtain a larger share of their bank credit from the treated banks.
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European Bank Efficiency and Performance: The Effects of Supranational Versus National Bank Supervision
Rients Galema, Michael Koetter
T. Beck, B. Casu (eds): The Palgrave Handbook of European Banking, London,
2016
Abstract
This chapter explores European bank efficiency and performance. First, the authors provide an overview of the key estimation methods for efficiency and discuss selected applications to the European banking sector. Second, they apply stochastic frontier analysis to investigate the extent to which the reallocation of supervisory powers is associated with efficiency differences between European banks. In doing so, the discussion focuses particularly on whether direct supervision by the Single Supervisory Mechanism (SSM) as opposed to national competent authority (NCA) is related to cost and profit efficiency.
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Alternatives to GDP - Measuring the Impact of Natural Disasters using Panel Data
Jörg Döpke, Philip Maschke
Journal of Economic and Social Measurement,
Nr. 3,
2016
Abstract
A frequent criticism of GDP states that events that obviously reduce welfare of people can nevertheless increase GDP per capita. We use data of natural disasters as quasi experiments to examine whether alternatives to GDP (Human Development Index, Progress Index, Index of Economic Well-Being and a Happiness Index) lead to more plausible responses to disasters. Applying a Differences-in-Differences approach and estimates from various panels of countries we find no noteworthy differences between the response of real GDP per capita and the responses of suggested alternative welfare measures to a natural disaster except for the Human Development Index.
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Gender Wage Discrimination: Does the Extent of Competition in Labor Markets Explain why Female Workers are Paid Less than Men?
Boris Hirsch
IZA World of Labor,
Nr. 310,
2016
Abstract
There are pronounced and persistent wage differences between men and women in all parts of the world. A significant element of these wage disparities can be attributed to differences in worker and workplace characteristics, which are likely to mirror differences in worker productivity. However, a large part of these differences remains unexplained, and it is common to attribute them to discrimination by the employer that is rooted in prejudice against female workers. Yet recent empirical evidence suggests that, to a large extent, the gaps reflect “monopsonistic” wage discrimination—that is, employers exploiting their wage-setting power over women—rather than any sort of prejudice.
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