Did the Swiss Exchange Rate Shock Shock the Market?
Manuel Buchholz, Gregor von Schweinitz, Lena Tonzer
IWH-Diskussionspapiere,
Nr. 9,
2018
Abstract
The Swiss National Bank abolished the exchange rate floor versus the Euro in January 2015. Based on a synthetic matching framework, we analyse the impact of this unexpected (and therefore exogenous) shock on the stock market. The results reveal a significant level shift (decline) in asset prices in Switzerland following the discontinuation of the minimum exchange rate. While adjustments in stock market returns were most pronounced directly after the news announcement, the variance was elevated for some weeks, indicating signs of increased uncertainty and potentially negative consequences for the real economy.
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Welche Faktoren verzögern die Umsetzung der Bankenunion?
Michael Koetter, Thomas Krause, Lena Tonzer
Wirtschaft im Wandel,
Nr. 1,
2018
Abstract
Die Europäische Kommission hat weitreichende Reformen zur Regulierung und Überwachung des europäischen Bankensektors beschlossen, um die Stabilität europäischer Banken zu gewährleisten. In den meisten Mitgliedsländern verzögert sich allerdings die Umsetzung der zugrunde liegenden Richtlinien der Europäischen Kommission. Dieser Beitrag geht den Gründen für diese Verzögerung nach. Es zeigt sich, dass insbesondere bereits existierende Regulierungen und institutionelle Rahmenbedingungen das Tempo der Umsetzung entscheidend bestimmen. Entgegen populären Meinungsäußerungen sind die Struktur der Bankensektoren in den Mitgliedstaaten und politische Faktoren hingegen von nachrangiger Bedeutung.
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Delay Determinants of European Banking Union Implementation
Michael Koetter, Thomas Krause, Lena Tonzer
IWH Discussion Papers,
Nr. 24,
2017
Abstract
To safeguard financial stability and harmonise regulation, the European Commission substantially reformed banking supervision, resolution, and deposit insurance via EU directives. But most countries delay the transposition of these directives. We ask if transposition delays result from strategic considerations of governments conditional on the state of their financial, regulatory, and political systems? Supervisors might try to protect national banking systems and local politicians maybe reluctant to surrender national sovereignty to deal with failed banks. Alternatively, intricate financial regulation might require more implementation time in large and complex financial and political systems. We therefore collect data on the transposition delays of the three Banking Union directives and investigate observed delay variation across member states. Our correlation analyses suggest that existing regulatory and institutional frameworks, rather than banking market structure or political factors, matter for transposition delays.
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Messbar, aber milde: Auswirkungen des SMP-Wertpapier-Ankaufprogramms der EZB auf den regionalen Bankenwettbewerb in Deutschland
Friederike Altgelt, Michael Koetter
Wirtschaft im Wandel,
Nr. 3,
2017
Abstract
Die Europäische Zentralbank (EZB) hat mit dem Securities Markets Programme (SMP) im Mai 2010 ein Instrument unkonventioneller Geldpolitik eingeführt. Im Rahmen des SMP erwarb sie im Wert von 218 Mrd. Euro Staatsanleihen ausgewählter Länder, welche erhöhten Risikoaufschlägen am Kapitalmarkt ausgesetzt waren. Eine mögliche Nebenwirkung solcher Ankaufprogramme ist es, auch jene Banken zu stützen, die nicht zum direkten Adressatenkreis gehören, aber Anleihen betroffener Länder in ihren Portfolios hielten. Möglicherweise resultierende Refinanzierungs-, Ertrags-, und Liquiditätsvorteile für bevorteilte Banken könnten zu Wettbewerbsverzerrungen führen. Dieser Beitrag betrachtet deshalb die Wertpapierportfolios regionaler deutscher Banken, um den kausalen Effekt des SMP auf das Wettbewerbsverhalten zu identifizieren. Die empirischen Befunde belegen in der Tat eine statistisch nachweisbare Zunahme der lokalen Marktanteile jener regionalen Banken, welche Anleihen in ihren Portfolios hielten, die Teil des SMP waren. Während dieses Ergebnis somit einen Beleg für die Existenz unbeabsichtigter Nebenwirkungen unkonventioneller Geldpolitik darstellt, so ist auch festzuhalten dass diese Wettbewerbseffekte ausgesprochen klein sind. Somit ist zumindest für den regionalen Bankenmarkt in Deutschland keine nennenswerte Verwerfung aufgrund dieses Ankaufprogramms festzustellen.
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Inside Asset Purchase Programs: The Effects of Unconventional Policy on Banking Competition
Michael Koetter, Natalia Podlich, Michael Wedow
ECB Working Paper Series,
Nr. 2017,
2017
Abstract
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.
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The Forward-looking Disclosures of Corporate Managers: Theory and Evidence
Reint E. Gropp, Rasa Karapandza, Julian Opferkuch
IWH Discussion Papers,
Nr. 25,
2016
Abstract
We consider an infinitely repeated game in which a privately informed, long-lived manager raises funds from short-lived investors in order to finance a project. The manager can signal project quality to investors by making a (possibly costly) forward-looking disclosure about her project’s potential for success. We find that if the manager’s disclosures are costly, she will never release forward-looking statements that do not convey information to external investors. Furthermore, managers of firms that are transparent and face significant disclosure-related costs will refrain from forward-looking disclosures. In contrast, managers of opaque and profitable firms will follow a policy of accurate disclosures. To test our findings empirically, we devise an index that captures the quantity of forward-looking disclosures in public firms’ 10-K reports, and relate it to multiple firm characteristics. For opaque firms, our index is positively correlated with a firm’s profitability and financing needs. For transparent firms, there is only a weak relation between our index and firm fundamentals. Furthermore, the overall level of forward-looking disclosures declined significantly between 2001 and 2009, possibly as a result of the 2002 Sarbanes-Oxley Act.
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Much Ado About Nothing: Sovereign Ratings and Government Bond Yields in the OECD
Makram El-Shagi
IWH Discussion Papers,
Nr. 22,
2016
Abstract
In this paper, we propose a new method to assess the impact of sovereign ratings on sovereign bond yields. We estimate the impulse response of the interest rate, following a change in the rating. Since ratings are ordinal and moreover extremely persistent, it proves difficult to estimate those impulse response functions using a VAR modeling ratings, yields and other macroeconomic indicators. However, given the highly stochastic nature of the precise timing of ratings, we can treat most rating adjustments as shocks. We thus no longer rely on a VAR for shock identification, making the estimation of the corresponding IRFs well suited for so called local projections – that is estimating impulse response functions through a series of separate direct forecasts over different horizons. Yet, the rare occurrence of ratings makes impulse response functions estimated through that procedure highly sensitive to individual observations, resulting in implausibly volatile impulse responses. We propose an augmentation to restrict jointly estimated local projections in a way that produces economically plausible impulse response functions.
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Toward a Taylor Rule for Fiscal Policy
Martin Kliem, Alexander Kriwoluzky
Review of Economic Dynamics,
Nr. 2,
2014
Abstract
In DSGE models, fiscal policy is typically described by simple rules in which tax rates respond to the level of output. We show that there is only weak empirical evidence in favor of such specifications in US data. Instead, the cyclical movements of labor and capital income tax rates are better described by a contemporaneous response to hours worked and investment, respectively. We show that conditioning on these variables is also desirable from a normative perspective as it significantly improves welfare relative to output-based rules.
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Efficiency in the UK Commercial Property Market: A Long-run Perspective
Steven Devaney, Oliver Holtemöller, R. Schulz
IWH Discussion Papers,
Nr. 15,
2012
Abstract
Informationally efficient prices are a necessary requirement for optimal resource allocation in the real estate market. Prices are informationally efficient if they reflect buildings’ benefit to marginal buyers, thereby taking account of all available information on future market development. Prices that do not reflect available information may lead to over- or undersupply if developers react to these inefficient prices. In this study, we examine the efficiency of the UK commercial property market and the interaction between prices, construction costs, and new supply. We collated a unique data set covering the years 1920 onwards, which we employ in our study. First, we assess if real estate prices were in accordance with present values, thereby testing for informational efficiency. By comparing prices and estimated present values, we can measure informational inefficiency. Second, we assess if developers reacted correctly to price signals. Development (or the lack thereof) should be triggered by deviations between present values and cost; if prices do not reflect present values, then they should have no impact on development decisions.
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