Medienecho
Medienecho Mai 2025 Steffen Müller: Höchster Stand bei Pleiten seit 20 Jahren in: Bremer Nachrichten, 09.05.2025 Steffen Müller: Wirtschaftsinstitut meldet so viele Insolvenzen…
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Alumni
IWH-Alumni Das IWH pflegt den Kontakt zu seinen ehemaligen Mitarbeiterinnen und Mitarbeitern weltweit. Wir beziehen unsere Alumni in unsere Arbeit ein und unterrichten diese…
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Risky Oil: It's All in the Tails
Christiane Baumeister, Florian Huber, Massimiliano Marcellino
NBER Working Paper,
Nr. 32524,
2024
Abstract
The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the oil market by setting up a general empirical framework that allows for flexible predictive distributions of oil prices that can depart from normality. This model, based on Bayesian additive regression trees, remains agnostic on the functional form of the conditional mean relations and assumes that the shocks are driven by a stochastic volatility model. We show that our nonparametric approach improves in terms of tail forecasts upon three competing models: quantile regressions commonly used for studying tail events, the Bayesian VAR with stochastic volatility, and the simple random walk. We illustrate the practical relevance of our new approach by tracking the evolution of predictive densities during three recent economic and geopolitical crisis episodes, by developing consumer and producer distress indices that signal the build-up of upside and downside price risk, and by conducting a risk scenario analysis for 2024.
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Archiv
Medienecho-Archiv 2021 2020 2019 2018 2017 2016 Dezember 2021 IWH: Ausblick auf Wirtschaftsjahr 2022 in Sachsen mit Bezug auf IWH-Prognose zu Ostdeutschland: "Warum Sachsens…
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People
People Doctoral Students PhD Representatives Alumni Supervisors Lecturers Coordinators Doctoral Students Afroza Alam (Supervisor: Reint Gropp ) Julian Andres Diaz Acosta…
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The Effect of Bank Organizational Risk-management on the Price of Non-deposit Debt
Iftekhar Hasan, Emma Peng, Maya Waisman, Meng Yan
Journal of Financial Services Research,
April
2024
Abstract
We test whether organizational risk management matters to bondholders of U.S. bank holding companies (BHCs), and find that debt financing costs increase when the BHC has lower-quality risk management. Consistent with bailouts giving rise to moral hazard among bank creditors, we find that bondholders put less emphasis on risk management in large institutions for which bailouts are expected ex-ante. BHCs that maintained strong risk management before the financial crisis had lower debt costs during and after the crisis, compared to other banks. Overall, quality risk management can curtail risk exposures at BHCs and result in lower debt costs.
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Climate Stress Tests, Bank Lending, and the Transition to the Carbon-neutral Economy
Larissa Fuchs, Huyen Nguyen, Trang Nguyen, Klaus Schaeck
IWH Discussion Papers,
Nr. 9,
2024
Abstract
We ask if bank supervisors’ efforts to combat climate change affect banks’ lending and their borrowers’ transition to the carbon-neutral economy. Combining information from the French supervisory agency’s climate pilot exercise with borrowers’ emission data, we first show that banks that participate in the exercise increase lending to high-carbon emitters but simultaneously charge higher interest rates. Second, participating banks collect new information about climate risks, and boost lending for green purposes. Third, receiving credit from a participating bank facilitates borrowers’ efforts to improve environmental performance. Our findings establish a hitherto undocumented link between banking supervision and the transition to net-zero.
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DPE Course Programme Archive
DPE Course Programme Archive 2025 2024 2023 2022 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012 2025 Microeconomics several lecturers winter term 2024/2025 (IWH) Econometrics…
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Das IWH auf der ASSA-Jahrestagung 2020 in San Diego
Das IWH auf der ASSA-Jahrestagung 2020 in San Diego Die American Economic Association (AEA) organisiert vom 3. bis 5. Januar 2020 die jährlich stattfindende ASSA-Tagung in San…
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Asymmetric Reactions of Abnormal Audit Fees Jump to Credit Rating Changes
June Cao, Mong Shan Ee, Iftekhar Hasan, He Huang
British Accounting Review,
Nr. 2,
2024
Abstract
Considering the inherent stickiness of abnormal audit fees, our study contributes to the literature by decomposing abnormal audit fees into a jump component and long-run sticky component. We investigate whether and how changes in credit ratings asymmetrically affect the jump component of abnormal audit fees. We document a positive association between rating downgrades and the jump component. We find that heightened bankruptcy risk and misstatement risk are the mechanisms that drive this relationship. Further analysis shows that firms experiencing rating downgrades are more likely to receive a going concern opinion and experience longer audit report lags. Taken together, our findings provide direct evidence that credit ratings are significantly associated with abnormal audit fees, particularly with the jump component. Given the serial correlation of abnormal audit fees, our study sheds light on the importance of disaggregation of the abnormal audit fee residuals into the jump and long-run sticky components.
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