
SAFE Working Paper Series
No. | Author/s | Title | Program Area | Year | Keywords |
---|---|---|---|---|---|
297 | Dimitrios Kostopoulos, Steffen Meyer, Charline Uhr | Ambiguity and Investor Behavior | Household Finance | 2020 | ambiguity, uncertainty, individual investor, trading behavior |
296 | Reint Gropp, Thomas Mosk, Steven Ongena, Ines Simac, Carlo Wix | Supranational Rules, National Discretion: Increasing Versus Inflating Regulatory Bank Capital? | Financial Intermediation | 2020 | |
295 | Besart Avdiu, Alfons J. Weichenrieder | Financing Costs and the Efficiency of Public-Private Partnerships | Macro Finance | 2020 | Public-Private Partnerships, Infrastructure, Financing Costs, Default. |
294 | Christian Alemán, Christopher Busch, Alexander Ludwig, Raül Santaeulàlia-Llopis | Evaluating the Effectiveness of Policies Against a Pandemic | Macro Finance | 2020 | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3714697 |
293 | Christoph Hambel, Holger Kraft, André Meyer-Wehmann | When Should Retirees Tap Their Home Equity? | Household Finance | 2020 | reverse mortgage, consumption-portfolio decisions, optimal stopping, biometric risks, financial disasters |
292 | Andrea Modena | Recapitalization, Bailout, and Long-run Welfare in a Dynamic Model of Banking | Financial Markets | 2020 | Banks, bailout, general equilibrium, financial frictions, recapitalization, welfare. |
291 | Loriana Pelizzon, Satchit Sagade, Katia Vozian | Resiliency: Cross-Venue Dynamics with Hawkes Processes | Financial Markets | 2020 | liquidity, resiliency, fragmentation, competition, high-frequency data, Hawkes processes |
290 | Nicola Fuchs-Schündeln, Dirk Krueger, Alexander Ludwig, Irina Popova | The Long-Term Distributional and Welfare Effects of Covid-19 School Closures | Macro Finance | 2020 | Covid-19, school closures, inequality, intergenerational persistence |
289 | Christian Schlag, Michael Semenischev, Julian Thimme | Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models | Financial Markets | 2020 | Asset pricing, cross-section of stock returns, predictability |
288 | Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon | Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions | Financial Markets | 2020 | COVID-19 news, Sentiment Analysis, Stock Markets |
287 | Benjamin M. Abdel-Karim, Kevin Bauer, Oliver Hinz, Michael Kosfeld, Nicolas Winfried Pfeuffer | The Terminator of Social Welfare? The Economic Consequences of Algorithmic Discrimination | Financial Intermediation, Experiment Center | 2020 | Algorithmic Discrimination, Artificial Intelligence, Game Theory, Economics, Batch Learning |
286 | Andreas Hackethal, Michael Kirchler, Christine Laudenbach, Michael Razen, Annika Weber | On the (Ir)Relevance of Monetary Incentives in Risk Preference Elicitation Experiments | Household Finance | 2020 | Risk Preferences, Incentives, Experimental Economics, Risk Aversion |
285 | Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam | The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy | Financial Markets | 2020 | COVID-19, pandemics, losses, distress, equity, recapitalization. |
284 | Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon | Inside the ESG Ratings: (Dis)agreement and Performance | Financial Markets | 2020 | |
283 | Jannis Bischof, Christian Laux, Christian Leuz | Accounting for Financial Stability: Lessons from the Financial Crisis and Future Challenges | Financial Intermediation | 2020 | Banks, Financial crisis, Financial stability, Disclosure, Loan loss accounting, Expected credit losses, Incurred loss model, Prudential filter, Fair value accounting |
282 | Daniel Munevar, Grygoriy Pustovit | Back to the Future: A Sovereign Debt Standstill Mechanism IMF Article VIII, Section 2 (b) | Macro Finance | 2020 | sovereign debt standstill, sovereign debt restructuring, sovereign debt litigation, holdout litigation, vulture creditors |
281 | Kevin Bauer | How did we do? The Impact of Relative Performance Feedback on Intergroup Hostilities | Financial Intermediation | 2020 | social identity, relative performance feedback, discrimination, outgroup derogation |
280 | Konstantin Bräuer, Andreas Hackethal, Tobin Hanspal | Consuming Dividends | Household Finance | 2020 | Consumption, Stock market wealth, Dividends, Excess sensitivity, Self-control, Household finance, Retail investor |
279 | Tobin Hanspal, Annika Weber, Johannes Wohlfart | Exposure to the COVID-19 Stock Market Crash and its Effect on Household Expectations | Household Finance | 2020 | Coronavirus, Stockholding, Wealth shocks, Expectation formation, Inequality. |
278 | Sandra Eckert | EU Agencies in Banking and Energy Between Institutional and Policy Centralisation | Financial Intermediation | 2020 | agency, banking, centralisation, energy, fiduciary, electricity, policy |
277 | Andreas Hackethal, Tobin Hanspal, Dominique Lammer | Who Are the Bitcoin Investors? Evidence from Indirect Cryptocurrency Investments | Household Finance | 2020 | Bitcoin, Cryptocurrencies, Structured retail products, Retail investors, Household finance, Investor behavior |
276 | Massimiliano Caporin, Loriana Pelizzon, Alberto Plazzi | Does Monetary Policy Impact International Market Co-Movements? | Financial Markets, Macro Finance | 2020 | |
275 | Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam | Collateral Eligibility of Corporate Debt in the Eurosystem | Financial Markets, Macro Finance, Systemic Risk Lab | 2020 | |
275 | Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam | Collateral Eligibility of Corporate Debt in the Eurosystem | Financial Markets, Macro Finance, Systemic Risk Lab | 2020 | |
274 | Christopher Busch, Alexander Ludwig | Higher-Order Income Risk over the Business Cycle: A Parametric Approach | Macro Finance | 2020 | Labor Income Risk, Business Cycle, GMM Estimation, Skewness, Persistent and Transitory Income Shocks, Risk Attitudes, Life-Cycle Model |
273 | Di Bu, Tobin Hanspal, Yin Liao, Yong Liu | Cultivating Self-Control in FinTech: Evidence from a Field Experiment on Online Consumer Borrowing | Household Finance | 2020 | Financial literacy, online borrowing, Consumer credit, Self-control, FinTech, China |
272 | Christine Laudenbach, Benjamin Loos, Jenny Pirschel, Johannes Wohlfart | The Trading Response of Individual Investors to Local Bankruptcies | Household Finance | 2020 | Individual investors, risk-taking, trading, experiences |
271 | Pietro Dindo, Andrea Modena, Loriana Pelizzon | Risk Pooling, Leverage, and the Business Cycle | Financial Markets, Macro Finance | 0 | |
270 | Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò | High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? | Systemic Risk Lab, Financial Markets | 2020 | |
269 | Ester Faia, Maximilian Mayer, Vincenzo Pezone | The Value of Firm Networks: A Natural Experiment on Board Connections | Law and Finance | 2020 | |
268 | Marie Lalanne, Lorenzo Maria Levati | The Impact of Job Referrals on Employment Outcomes in Top Corporate Positions | Financial Intermediation | 2020 | Referrals, Job Match Quality, Social Networks, Board of Directors |
267 | Wataru Kureishi, Hannah Paule-Paludkiewicz, Hitoshi Tsujiyama, Midori Wakabayashi | Time Preferences over the Life Cycle | Household Finance | 2020 | Time Preferences; Preference Stability; Age; Discount Rates |
266 | Benjamin Bluhm, Jannic Cutura | Econometrics at Scale: Spark Up Big Data in Economics | Financial Intermediation | 2020 | Econometrics, Distributed Computing, Apache Spark |
265 | Christian Schlag, Julian Thimme, Rüdiger Weber | Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution | Financial Markets | 2020 | Preference for early resolution of uncertainty, implied volatility, cross-section of expected stock returns, asset pricing |
264 | Hengije Ai, Jun E. Li, Kai Li, Christian Schlag | The Collateralizability Premium | Financial Markets | 2019 | |
263 | Vanya Horneff, Daniel Liebler, Raimond Maurer, Olivia S. Mitchell | Implications of Money-Back Guarantees for Individual Retirement Accounts: Protection Then and Now | Household Finance | 2019 | individual retirement account, investment guarantee, longevity risk, retirement income, life cycle model |
262 | Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon | Credit Scoring in SME Asset-Backed Securities: An Italian Case Study | Financial Markets, Systemic Risk Lab | 2019 | credit scoring; probability of default; small and medium enterprises; assetbacked securities |
261 | Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case | Systemic Risk Lab, Financial Markets | 2019 | Mortgages, Energy Eciency, Credit Risk |
260 | Matthias Thiemann, Tobias Tröger | The Case for a Normatively Charged Approach to Regulating Shadow Banking - Multipolar Regulatory Dialogues as a Means to Detect Tail Risks and Preclude Regulatory Arbitrage | Financial Intermediation | 2019 | shadow banking, regulatory arbitrage, principles-based regulation, credit funds, prudential supervision, non-bank financial intermediation |
259 | Iñaki Aldasoro, Florian Balke, Andreas Barth, Egemen Eren | Spillovers of Funding Dry-ups | Financial Intermediation | 2019 | |
258 | Anderson Grajales-Olarte, Burak Uras, Nathanael Vellekoop | Rigid Wages and Contracts: Time- versus State-Dependent Wages in the Netherlands | Macro Finance | 2019 | Wage rigidity, microdata, time dependency, state dependency, flexible-hour contracts |
257 | Baptiste Massenot, Giang Nghiem | Depressed Demand | Macro Finance | 2019 | |
256 | Christian Schlag, Kailin Zeng | Horizontal Industry Relationships and Return Predictability | Financial Markets | 2019 | Connected industries, information flow, return predictability |
255 | Silvia Dalla Fontana, Marco Holz auf der Heide, Loriana Pelizzon, Martin Scheicher | The Anatomy of the Euro Area Interest Rate Swap Market | Financial Markets, Systemic Risk Lab | 2019 | OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging |
254 | Martin Götz | Financing Conditions and Toxic Emissions | Law and Finance | 2019 | |
253 | Thomas Johann, Talis Putnins, Satchit Sagade, Christian Westheide | Quasi-Dark Trading: The Effects of Banning Dark Pools in a World of Many Alternatives | Financial Markets | 2019 | |
252 | Nicole Branger, Patrick Konermann, Christian Schlag | Optimists and Pessimists in (In)Complete Markets | Financial Markets | 2019 | |
251 | Wenhui Li, Christian Wilde | Belief Formation and Belief Updating under Ambiguity: Evidence from Experiments | Financial Markets, Experiment Center | 2019 | ambiguity, learning strategy, belief updates, non-Bayesian updates, pessimism, laboratory experiments |
250 | Nathanael Vellekoop, Mirko Wiederholt | Inflation Expectations and Choices of Households | Household Finance | 2019 | |
249 | Yuri Pettinicchi, Nathanael Vellekoop | Job Loss Expectations, Durable Consumption and Household Finances: Evidence from Linked Survey Data | Household Finance | 2019 | Subjective expectations; Durable consumption; Household saving |
248 | Jasmin Gider, Simon N. M. Schmickler, Christian Westheide | High-Frequency Trading and Price Informativeness | Financial Markets | 2019 | High-Frequency Trading, Price Efficiency, Information Acquisition, Information Production |
247 | Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova | Designated Market Makers: Competition and Incentives | Financial Markets, Systemic Risk Lab | 2019 | esignated Market Makers (DMMs), Liquidity Provision |
246 | Reint Gropp, Felix Noth, Ulrich Schüwer | What Drives Banks' Geographic Expansion? The Role of Locally Non-Diversifiable Risk | Financial Intermediation | 2019 | banking, geographic expansion, deregulation, locally non-diversiable risk, catastrophic risk |
245 | Andreas Hackethal, Steffen Meyer, Charline Uhr | Smoking Hot Portfolios? Overtrading from Self-Control Failure | Household Finance | 2019 | self-control; portfolio allocation; individual investor; trading behavior |
244 | Mauro Bernardi, Michele Costola | High-Dimensional Sparse Financial Networks through a Regularised Regression Model | Systemic Risk Lab | 2019 | VAR estimation, Financial Networks, Bayesian inference, Sparsity, Spike-and-Slab prior, Stochastic Search Variable Selection, Expectation-Maximisation |
243 | Nicoletta Berardi, Marie Lalanne, Paul Seabright | Professional Networks and their Coevolution with Executive Careers: Evidence from Europe and North America | Law and Finance | 2019 | |
242 | Ester Faia, Vincenzo Pezone | The Heterogeneous Cost of Wage Rigidity: Evidence and Theory | Money and Finance | 2019 | |
241 | Martin Götz | Financial Constraints and Corporate Environmental Responsibility | Law and Finance | 2019 | |
240 | Irina Gemmo, Martin Götz | Life Insurance and Demographic Change: An Empirical Analysis of Surrender Decisions Based on Panel Data | Household Finance | 2019 | |
239 | Paul Gortner, Baptiste Massenot | Leverage and Bubbles: Experimental Evidence | Macro Finance, Experiment Center | 2018 | |
238 | Joost Driessen, Theo E. Nijman, Zorka Simon | Much Ado About Nothing: A Study of Differential Pricing and Liquidity of Short and Long Term Bonds | Financial Markets, Systemic Risk Lab | 2018 | Sovereign Bonds, Term Structure of Interest Rates, Segmentation, Liquidity, Flight-to-safety, Credit Risk, Unconventional Monetary Policy |
237 | Nathanael Vellekoop | Explaining Intra-Monthly Consumption Patterns: The Timing of Income or the Timing of Consumption Commitments? | Household Finance | 2018 | consumption, consumption commitments, paycheck frequency, liquidity |
236 | Aleksey Kolokolov, Giulia Livieri, Davide Pirino | Statistical Inferences for Price Staleness | Financial Markets | 2018 | staleness, idle time, liquidity, zero returns, stable convergence |
235 | Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon | Pitfalls of Central Clearing in the Presence of Systematic Risk | Systemic Risk Lab | 2018 | Central Clearing, Counterparty Risk, Systematic Risk, OTC markets, Derivatives, Loss Sharing, Collateral, Margin |
234 | Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide | Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk | Financial Markets | 2018 | Fragmentation, Competition, Liquidity, Price Efficiency |
233 | Baptiste Massenot, Yuri Pettinicchi | Can Households See into the Future? Survey Evidence from the Netherlands | Macro Finance | 2018 | |
232 | Jannic Cutura | Debt Holder Monitoring and Implicit Guarantees: Did the BRRD Improve Market Discipline? | Financial Intermediation | 2018 | |
231 | Benjamin Clapham, Peter Gomber, Jens Lausen, Sven Panz | Liquidity Provider Incentives in Fragmented Securities Markets | Financial Markets | 2018 | Liquidity, Trading Volume, Market Fragmentation, Liquidity Provider Incentives, Transaction Costs |
230 | Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam | Lighting up the Dark: Liquidity in the German Corporate Bond Market | Financial Markets, Systemic Risk Lab | 2018 | Corporate Bonds, WpHG, Liquidity, Transparency, OTC markets |
229 | Daniel Harenberg | Asset Pricing in OLG Economies With Borrowing Constraints and Idiosyncratic Income Risk | Macro Finance | 2018 | equity premium; idiosyncratic risk; aggregate risk; lifecycle |
228 | Roberto Panzica | Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections | Financial Markets, Systemic Risk Lab | 2018 | Idiosyncratic volatility puzzle; Networks; Expected Returns; Granger Causality |
227 | Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | Recovery from Fast Crashes: Role of Mutual Funds | Systemic Risk Lab, Data Center, Financial Markets | 2018 | Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital |
226 | Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Central Bank-Driven Mispricing | Financial Markets, Macro Finance, Systemic Risk Lab | 2018 | Central Bank Interventions, Liquidity, Sovereign Bonds, Futures Contracts, Arbitrage |
225 | Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon | Networks in Risk Spillovers: A Multivariate GARCH Perspective | Financial Intermediation, Systemic Risk Lab | 2018 | spatial GARCH; network; risk spillover; nancial spillover |
224 | Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley | Portfolio Similarity and Asset Liquidation in the Insurance Industry | Systemic Risk Lab, Financial Intermediation | 2018 | Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Com- panies, SIFI |
223 | Florian Deuflhard | Quantifying Inertia in Retail Deposit Markets | Household Finance | 2018 | |
222 | Vanessa Endrejat, Matthias Thiemann | Reviving the Shadow Banking Chain in Europe: Regulatory Agency, Technical Complexity and the Dynamics of Co-Habitation | Financial Intermediation | 2018 | |
221 | Axel Börsch-Supan, Duarte Nuno Leite, Alexander Ludwig | Endogenous Retirement Behavior of Heterogeneous Households Under Pension Reforms | Macro Finance | 2018 | Population aging, pension reform, social security, life-cycle behavior, labor supply, retirement age, welfare |
220 | Yangming Bao, Martin Götz | Local Peer Effects and Corporate Investment | Law and Finance | 2018 | Investments, Peer Firm Effects, Agglomeration, Corporate Income Tax |
219 | Andreas Hackethal, Christine Laudenbach, Steffen Meyer, Annika Weber | Client Involvement in Expert Advice: Antibiotics in Finance? | Household Finance | 2018 | Financial Advice, Individual Investors, Client Involvement |
218 | Florian Hoffmann, Roman Inderst, Marcus Opp | Only Time will Tell: A Theory of Deferred Compensation | Law and Finance | 2018 | Compensation design, duration of pay, moral hazard, persistence, principal- agent models, informativeness principle |
217 | Maddalena Davoli, Jia Hou | Financial Literacy and Socialist Education: Lessons from the German Reunification | Household Finance | 2018 | financial literacy determinants, socialist education, German reunification, DiD |
216 | Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré | Pricing Sin Stocks: Ethical Preference vs. Risk Aversion | Financial Markets | 2018 | Asset Pricing, General Equilibrium, Sin Stocks |
215 | Zsuzsa R. Huszar, Zorka Simon | The Pricing Implications of Oligopolistic Securities Lending Market: A Beneficial Owner Perspective | Systemic Risk Lab | 2018 | |
214 | Edin Ibrocevic, Matthias Thiemann | All Economic Ideas are Equal, but Some are more Equal than Others: A Differentiated Perspective on Macroprudential Ideas and their Implementation | Financial Intermediation, Systemic Risk Lab | 2018 | macroprudential regulation, ideational shift, systemic risk, topic modelling, central bank policy |
213 | Klaus Gugler, Michael Weichselbaumer, Christine Zulehner | Effects of Government Spending on Employment: Evidence from Winners and Runners-up in Procurement Auctions | Macro Finance | 2018 | labor demand, labor hoarding, construction procurement, first-price auctions, recent economic crisis, regression discontinuity design |
212 | Henning Hesse | Incentive Effects from Write-down CoCo Bonds: An Empirical Analysis | Macro Finance | 2018 | CoCo bonds, contingent capital, endogenous risk, capital structure, incentives, monitoring |
211 | Thomas Mosk | Bargaining with a Bank | Financial Intermediation | 2018 | Credit lines, Contract terms, Bargaining, Screening |
210 | Darien Huang, Christian Schlag, Ivan Shaliastovich, Julian Thimme | Volatility-of-Volatility Risk | Financial Markets | 2018 | volatility of volatility, hedging errors, risk premiums |
209 | Eren Gürer, Alfons J. Weichenrieder | Pro-rich Inflation in Europe: Implications for the Measurement of Inequality | Macro Finance | 2018 | Inequality, Gini, EU countries, income dependent inflation |
208 | Roberto Casarin, Michele Costola, Erdem Yenerdag | Financial Bridges and Network Communities | Systemic Risk Lab | 2018 | Systemic Risk; Financial Institutions; Network Communities; Financial Crises |
207 | Claes Bäckman, Tobin Hanspal | Participation and Losses in Multi-Level Marketing: Evidence from an FTC Settlement | Household Finance | 2018 | Intermediated work; Multi-level marketing; Gig-economy; Entrepreneurship; Con- sumer financial protection |
206 | Loriana Pelizzon, Anjan Thakor, Calebe de Roure | P2P Lending versus Banks: Cream Skimming or Bottom Fishing? | Household Finance, Systemic Risk Lab | 2018 | |
205 | Horst Entorf, Jia Hou | Financial Education for the Disadvantaged? A Review | Household Finance | 2018 | Education, Financial Literacy, Inequality, Program Evaluation |
204 | Loriana Pelizzon, Matteo Sottocornola | The Impact of Monetary Policy Interventions on the Insurance Industry | Macro Finance, Financial Markets, Systemic Risk Lab | 2018 | Event study, monetary policy surprise, unconventional monetary policy, conventional monetary policy, insurance industry |
203 | Florian Hett, Felix Schmidt | Pushing Through or Slacking Off? Heterogeneity in the Reaction to Rank Feedback | Household Finance, Experiment Center | 2018 | heterogeneity, competitiveness; contest; rank feedback, relative performance evaluation |
202 | Tobias Tröger | Germany's Reluctance to Regulate Related Party Transactions | Law and Finance | 2018 | related party transactions, Germany Inc., industrial organization, tunneling, private benefits of control, capital maintenance, group law |
201 | Dirk Krueger, Alexander Ludwig | Optimal Taxes on Capital in the OLG Model with Uninsurable Idiosyncratic Income Risk | Macro Finance | 2018 | Idiosyncratic Risk, Taxation of Capital, Overlapping Generations, Precautionary Saving, Pecuniary Externality |
200 | Nils Grevenbrock, Max Groneck, Alexander Ludwig, Alexander Zimper | Cognition, Optimism and the Formation of Age-Dependent Survival Beliefs | Macro Finance | 2018 | Subjective Survival Beliefs, Probability Weighting Function, Conrmatory Bias, Cognition, Optimism, Pessimism |
199 | Tobias Tröger | Regulation of Crowdfunding in Germany | Law and Finance | 2018 | crowdfunding, crowdsponsoring, crowdlending, crowdinvesting, contract law, conflict of laws, banking regulation, securities regulation |
198 | Henning Hesse, Boris Hofmann, James Weber | The Macroeconomic Effects of Asset Purchases Revisited | Macro Finance | 2018 | unconventional monetary policy, asset purchases, monetary transmission |
197 | Benjamin Clapham, Peter Gomber, Martin Haferkorn, Paul Jentsch, Sven Panz | Circuit Breakers – A Survey among International Trading Venues | Financial Markets | 2018 | |
196 | Benjamin Clapham, Peter Gomber, Sven Panz | Coordination of Circuit Breakers? Volume Migration and Volatility Spillover in Fragmented Markets | Financial Markets | 2018 | Circuit Breaker, Volatility Interruption, Market Fragmentation, High-Frequency Trading, Stock Market, Regulation, Liquidity |
195 | Benjamin Clapham, Peter Gomber, Martin Haferkorn, Sven Panz | Managing Excess Volatility: Design and Effectiveness of Circuit Breakers | Financial Markets | 2018 | Circuit Breaker, Volatility Interruption, Volatility, Liquidity, Market Design |
194 | Baptiste Massenot | Pain of Paying in a Business Cycle Model | Macro Finance | 2018 | |
193 | Mario Bellia, Giulio Girardi, Roberto Panzica, Loriana Pelizzon, Tuomas A. Peltonen | The Demand for Central Clearing: To Clear or Not to Clear, That is the Question | Systemic Risk Lab | 2018 | Credit Default Swap (CDS), Central Counterparty Clearing House (CCP), European Market Infrastructure Regulation (EMIR), Sovereign |
192 | Vincenzo Pezone | The Real Effects of Judicial Enforcement | Law and Finance | 2018 | |
191 | Julia Hirsch, Uwe Walz | Financial Constraints, Newly Founded Firms and the Financial Crisis | Law and Finance | 2017 | financial constraints, financial crisis, financing decisions, investment decisions, newly founded firms |
190 | Vanya Horneff, Raimond Maurer, Olivia S. Mitchell | How Persistent Low Expected Returns Alter Optimal Life Cycle Saving, Investment, and Retirement Behavior | Household Finance | 2017 | dynamic portfolio choice; 401(k) plan; saving; Social Security claiming age; retirement income; minimum distribution requirements; tax |
189 | Carlo Wix | The Long-Run Real Effects of Banking Crises: Firm-Level Investment Dynamics and the Role of Wage Rigidity | Financial Intermediation | 2017 | Financial Crises, Bank Lending, Real Effects, Firm Investment, Wage Rigidity, Labor Hoarding |
188 | Michael Donadelli, Patrick Grüning, Marcus Jüppner, Renatas Kizys | Global Temperature, R&D Expenditure, and Growth | Financial Markets | 2017 | Global Temperature, R&D, Welfare Costs |
187 | Baptiste Massenot, Yuri Pettinicchi | Can Firms See into the Future? Survey Evidence from Germany | Macro Finance | 2017 | Expectation formation; Expectation error; Learning; Extrapolation; Experience |
186 | Nicole Branger, Paulo Rodrigues, Christian Schlag | Level and Slope of Volatility Smiles in Long-Run Risk Models | Financial Markets, Systemic Risk Lab | 2017 | Asset pricing, Epstein-Zin preferences, jump risk, stochastic volatility, level and slope of implied volatility smile |
185 | Patrick Grüning | Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics | Financial Markets | 2017 | Heterogeneous innovation, Technology spillover, Endogenous growth, Creative destruction, International finance |
184 | Tobias Tröger | Remarks on the German Regulation of Crowdfunding | Financial Intermediation | 2017 | crowdinvesting, crowdfunding, fintech, financial stability, market infrastructure, investor protection |
183 | Joost Driessen, Theo E. Nijman, Zorka Simon | The Missing Piece of the Puzzle: Liquidity Premiums in Inflation-Indexed Markets | Financial Markets | 2017 | Liquidity premium, liquidity risk, TIPS, inflation swaps, TIPS–Treasury puzzle |
182 | Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | Coming Early to the Party | Financial Markets, Systemic Risk Lab | 2017 | High-Frequency Traders (HFTs), Proprietary Trading, Opening Auction, Liquidity Provision, Price Discovery |
181 | Holger Kraft | Consumption-Portfolio Choice with Preferences for Cash | Household Finance | 2018 | consumption-portfolio choice, money in the utility function, stock demand, stochastic control |
180 | Tobias Tröger | Why MREL Won't Help Much | Financial Intermediation | 2017 | MREL, TLAC, G-SIB, bail-in, bank resolution |
179 | Tobias Tröger | Too Complex to Work: A Critical Assessment of the Bail-in Tool under the European Bank Recovery and Resolution Regime | Financial Intermediation | 2017 | bail-in, private sector involvement, precautionary recapitalization, cross-border insolvency, market discipline |
178 | Matthias Goldmann | United in Diversity? The Relationship between Monetary Policy and Banking Supervision in the Banking Union | Financial Intermediation, Macro Finance | 2018 | Banking Union, Monetary Policy, Financial Stability, Single Supervisory Mechanism, Democratic Legitimacy |
177 | Michael Donadelli, Marcus Jüppner, Max Riedel, Christian Schlag | Temperature Shocks and Welfare Costs | Financial Markets | 2017 | Temperature shocks, long-run growth, asset prices, welfare costs, adaptation |
176 | Giuliano Curatola, Ilya Dergunov | International Capital Markets with Time-Varying Preferences | Financial Markets, Household Finance | 2017 | Asset pricing, general equilibrium, heterogeneous agents, interdependent preferences, portfolio choice |
175 | Deyan Radev | International Banking Conglomerates and the Transmission of Lending Shocks Across Borders | Financial Intermediation | 2017 | Commercial banks, global banks, wholesale shocks, solvency shocks, transmission, internal capital markets |
174 | Deyan Radev | Social Centralization, Bank Integration and the Transmission of Lending Shocks | Financial Intermediation | 2017 | Global banks, social centralization, bank integration, shocks, transmission |
173 | Christel Merlin Kuate Kamga, Christian Wilde | Liquidity Premia in CDS Markets | Financial Markets, Financial Intermediation | 2017 | CDS, liquidity |
172 | Massimiliano Caporin, Michele Costola, Shawkat Hammoudeh, Ahmed Khalifa | Systemic Risk for Financial Institutions of Major Petroleum-Based Economies: The Role of Oil | Financial Markets, Financial Intermediation, Systemic Risk Lab | 2017 | Systemic Risk, Risk Measurement, VaR, ΔCoVaR, Oil, Financial Institutions, Petroleum-based Economies |
171 | Michael Donadelli, Patrick Grüning | Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare | Financial Markets | 2017 | Endogenous growth, Asset pricing, Government, Fiscal policy, Heterogeneous innovation |
170 | Raimond Maurer, Olivia S. Mitchell | Older People’s Willingness to Delay Social Security Claiming | Household Finance | 2016 | |
169 | Max Groneck, Alexander Ludwig, Alexander Zimper | Who Saves More, the Naive or the Sophisticated Agent? | Macro Finance, Household Finance | 2017 | Survival beliefs; Ambiguity; Choquet expected utility; Dynamic inconsistency |
168 | Guido Friebel, Marie Lalanne, Bernard Richter, Peter Schwardmann, Paul Seabright | Women Form Social Networks More Selectively and Less Opportunistically Than Men | Law and Finance, Transparency Lab | 2017 | Social Networks, Gender Differences, Trust Game |
167 | Felix Noth, Ulrich Schüwer | Natural Disaster and Bank Stability: Evidence from the U.S. Financial System | Financial Intermediation, Systemic Risk Lab | 2017 | natural disasters, bank stability, non-performing assets, bank performance |
166 | Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon | The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification | Financial Markets, Systemic Risk Lab | 2016 | CAPM, volatility, network, interconnections, systematic risk |
165 | Giovanni Bonaccolto, Massimiliano Caporin, Roberto Panzica | Estimation and Model-Based Combination of Causality Networks | Financial Markets | 2017 | Granger causality, quantile causality, multi-layer network, network combination |
164 | Raimond Maurer, Olivia S. Mitchell, Ralph Rogalla, Tatjana Schimetschek | Optimal Social Security Claiming Behavior under Lump Sum Incentives: Theory and Evidence | Household Finance | 2017 | Annuity, delayed retirement, lifetime income, pension, early retirement, Social Security |
163 | Giuliano Curatola, Michael Donadelli, Patrick Grüning | Technology Trade with Asymmetric Tax Regimes and Heterogeneous Labor Markets: Implications for Macro Quantities and Asset Prices | Financial Markets | 2017 | Technology Adoption, R&D Investment, Asymmetric Tax Regimes, Asset Prices |
162 | Gabriele Camera, Alessandro Gioffré | Asymmetric Social Norms | Money and Finance | 2017 | cooperation, repeated games, social dilemmas |
161 | Tobin Hanspal | The Effect of Personal Financing Disruptions on Entrepreneurship | Household Finance, Law and Finance | 2016 | Entrepreneurship; Small business; Personal finance; Financial crisis; Bank defaults |
160 | Domenico Rocco Cambrea, Stefano Colonnello, Giuliano Curatola, Giulia Fantini | CEO Investment of Deferred Compensation Plans and Firm Performance | Law and Finance | 2016 | Inside Debt, Executive Compensation, Corporate Distress |
159 | Monica Billio, Michael Donadelli, Antonio Paradiso, Max Riedel | Which Market Integration Measure? | Financial Markets | 2016 | Equity market integration, dynamic correlation, principal components, international diversification benefits |
158 | Michael Donadelli, Renatas Kizys, Max Riedel | Globally Dangerous Diseases: Bad News for Main Street, Good News for Wall Street? | Financial Markets | 2016 | WHO alerts, investor sentiment, pharmaceutical industry, trading strategies |
157 | Sophie Ahlswede, Steffen Meyer, Linda Urban | Does feedback on personal investment success help? | Household Finance | 2016 | household finance, field study, individual investors, reporting, investment mistakes, regulation |
156 | Reint Gropp, Thomas Mosk, Steven Ongena, Carlo Wix | Bank Response to Higher Capital Requirements: Evidence from a Quasi-Natural Experiment | Financial Intermediation | 2016 | Bank capital ratios, Bank regulation, Credit supply |
155 | Vahid Saadi | Mortgage Supply and the US Housing Boom: The Role of the Community Reinvestment Act | Financial Intermediation | 2016 | The Community Reinvestment Act, Mortgage supply, House prices, Homeownership |
154 | Brigitte Haar | Shareholder Wealth vs. Stakeholder interests? Evidence from Code Compliance under the German Corporate Governance Code | Law and Finance | 2016 | corporate governance codes, soft law, stakeholder, shareholder wealth, market enforcement, German corporate governance, supervisory board, incentive pay, severance pay caps, age limits |
153 | Julia Hirsch, Uwe Walz | The Financing Dynamics of Newly Founded Firms | Law and Finance | 2016 | financing decisions, life-cycle, firm growth, newly founded firms |
152 | Viral Acharya, Tim Eisert, Christian Eufinger, Christian Hirsch | Whatever it Takes: The Real Effects of Unconventional Monetary Policy | Data Center, Financial Intermediation | 2016 | Unconventional Monetary Policy, Real Effects, Zombie Lending |
151 | Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | How Has Sovereign Bond Market Liquidity Changed? - An Illiquidity Spillover Analysis | Financial Markets, Systemic Risk Lab | 2016 | Liquidity, jump detection, Hawkes processes, government bonds, MTS bond market, Quantitative Easing. |
150 | Vanya Horneff, Raimond Maurer, Olivia S. Mitchell | Putting the Pension Back in 401(k) Plans: Optimal versus Default Longevity Income Annuities | Household Finance | 2016 | dynamic portfolio choice, longevity risk, variable annuity, retirement income |
149 | Massimiliano Caporin, Aleksey Kolokolov, Roberto Renò | Systemic Co-Jumps | Financial Markets, Systemic Risk Lab | 2016 | Jumps, Return predictability, Systemic events, Variance Risk Premium |
148 | Sven-Thorsten Jakusch | On the Applicability of Maximum Likelihood Methods: From Experimental to Financial Data | Household Finance | 2016 | Utility Functions, Model Selection, Parameter Elicitation |
147 | Andreas Hackethal, Sven-Thorsten Jakusch, Steffen Meyer | Taring All Investors with the Same Brush? Evidence for Heterogeneity in Individual Preferences from a Maximum Likelihood Approach | Household Finance | 2016 | Utility Theory, Maximum Likelihood, Individual Investors |
146 | Andreas Hackethal, Sven-Thorsten Jakusch, Steffen Meyer | Taming Models of Prospect Theory in the Wild? Estimation of Vlcek and Hens (2011) | Household Finance | 2016 | Prospect Theory, Parameter Elicitation, Investors Heterogeneity |
145 | Raphael Abiry, Christian Geppert, Alexander Ludwig | Secular Stagnation? Growth, Asset Returns and Welfare in the Next Decades: First Results | Macro Finance | 2016 | secular stagnation; demographic change; overlapping generations; natural rate; equity premium; growth; welfare; human capital |
144 | Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova | Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods | Financial Markets, Systemic Risk Lab | 2016 | High-Frequency Traders (HFTs), Pre-Opening, Opening Call Auction, Price Discovery, Liquidity provision. |
143 | Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | Spoilt for Choice: Order Routing Decisions in Fragmented Equity Markets | Financial Markets, Systemic Risk Lab | 2016 | Dark Trading, Fragmentation, Anonymity, Immediacy |
142 | Nathanael Vellekoop | The Impact of Long-Run Macroeconomic Experiences on Personality | Household Finance | 2016 | Personality traits, Big Five, Locus of control, labor market, unemployment |
141 | Brigitte Haar | Freedom of Contract and Financial Stability Through the Lens of the Legal Theory of Finance | Law and Finance | 2016 | law and finance, financial stability, financial contracts, structured finance, asset-backed securities, pari passu clauses, collective action clauses, otc derivatives markets, central counter parties, Basel III, Coco bonds, trust law, China |
140 | Reint Gropp, Rasa Karapandza, Julian Opferkuch | The Forward-Looking Disclosures of Corporate Managers: Theory and Evidence | Financial Intermediation | 2016 | Repeated Games; Asymmetric Information; Firms; Reputation |
139 | Holger Kraft, Claus Munk | Predictors and Portfolios Over the Life Cycle | Household Finance | 2016 | Return predictability, human capital, housing, investments, welfare |
138 | Mohamed Aldegwy, Matthias Thiemann | How Economics Got it Wrong: Formalism, Equilibrium Modelling and Pseudo-Optimization in Banking Regulatory Studies | Macro Finance | 2016 | Sociology of Finance, Optimal Regulation, Dynamic and Reliable Regulation, Banking Regulation, Financial Crisis |
137 | Elia Berdin, Christoffer Kok, Cosimo Pancaro | A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers | Financial Intermediation | 2016 | Financial Stability, Insurance, Interest Rate Risk, Stress Test |
136 | Mohamed Aldegwy, Edin Ibrocevic, Matthias Thiemann | Understanding the Shift from Micro to Macro-Prudential Thinking: A Discursive Network Analysis | Macro Finance | 2016 | Banking Regulation, Systemic Risk, Formalism, Equilibrium Thinking, Discourse, Citation Network Analysis |
135 | Douglas Cumming, Jochen Christian Werth, Yelin Zhang | Governance in Entrepreneurial Ecosystems: Venture Capitalists vs. Technology Parks | Law and Finance | 2016 | Entrepreneurship, Entrepreneurial Finance, Governance, Technology Park, Incubator, Board of Directors, Venture Capital, Angel |
134 | Markus Kröll, Devesh Rustagi | Reputation, Honesty, and Cheating in Informal Milk Markets in India | Law and Finance, Experiment Center | 2016 | Motivation for honesty, asymmetric information, cheating, informal markets, die game, milk, India |
133 | Markus Behn, Rainer Haselmann, Thomas Kick, Vikrant Vig | The Political Economy of Bank Bailouts | Financial Intermediation, Law and Finance | 2016 | political economy, bailouts, state-owned enterprises, elections |
132 | Rainer Haselmann, David Schoenherr, Vikrant Vig | Rent-Seeking in Elite Networks | Financial Intermediation, Law and Finance | 2016 | - |
131 | Nicole Branger, Patrick Grüning, Christian Schlag | Commodities, Financialization, and Heterogeneous Agents | Financial Markets | 2016 | Commodities, General Equilibrium, Heterogeneous Preferences, Financial Markets |
130 | Giuliano Curatola | Optimal Consumption and Portfolio Choice with Loss Aversion | Financial Markets | 2016 | Loss-aversion, Habit-formation, Consumption-portfolio choice |
129 | Giuliano Curatola, Michael Donadelli, Patrick Grüning, Christoph Meinerding | Investment-Specific Shocks, Business Cycles, and Asset Prices | Financial Markets | 2016 | General Equilibrium Asset Pricing, Production Economy, Long-Run Risk, Investment-Specific Shocks, Nominal Rigidities |
128 | Giuliano Curatola | Preference Evolution and the Dynamics of Capital Markets | Macro Finance | 2016 | Asset pricing, general equilibrium, heterogeneous investors, interdependent preferences, portfolio choice |
127 | Helmut Elsinger, Philipp Schmidt-Dengler, Christine Zulehner | Competition in Treasury Auctions | Law and Finance | 2016 | treasury auctions, multi-unit auctions, independent private values, competition, bidder surplus, auction format |
126 | Carsten Bienz, Karin Thorburn, Uwe Walz | Ownership, Wealth, and Risk Taking: Evidence on Private Equity Fund Managers | Financial Intermediation | 2016 | Private equity, leveraged buyouts, incentives, coinvestment, risk taking, wealth |
125 | Tobias Tröger, Uwe Walz | Does Say on Pay Matter? Evidence from Germany | Transparency Lab, Law and Finance | 2016 | Say-on-pay, corporate governance, management compensation |
124 | Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov | The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis | Financial Markets | 2016 | Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion |
123 | Marie Lalanne, Paul Seabright | The Old Boy Network: The Impact of Professional Networks on Remuneration in Top Executive Jobs | Law and Finance | 2016 | professional networks, gender wage gap, executive compensation, placebo technique |
122 | Douglas Cumming, Uwe Walz, Jochen Christian Werth | Entrepreneurial Spawning: Experience, Education, and Exit | Law and Finance | 2016 | Venture governance, entrepreneurship, entrepreneurial spawning, angel finance, venture capital, exit |
121 | Elia Berdin, Matteo Sottocornola | Insurance Activities and Systemic Risk | Systemic Risk Lab, Financial Intermediation | 2015 | Systemic Risk, Insurance Activities, Systemically Important Financial Institutions |
120 | Matthias Heinz, Heiner Schumacher | Signaling Cooperation | Law and Finance | 2015 | Signaling, Public Goods, Labor Markets, Extracurricular Activities |
119 | Michael Brennan, Holger Kraft | Leaning Against the Wind: Debt Financing in the Face of Adversity | Financial Markets | 2015 | Capital structure, financing policy, managerial incentives |
118 | Michael Donadelli, Antonio Paradiso, Max Riedel | A Quasi Real-Time Leading Indicator for the EU Industrial Production | Financial Markets | 2015 | Leading indicator, EU industrial production, Granger causality, Turning points, Forward-looking Taylor rule |
117 | Marcel Bluhm | Interbank Funding as Insurance Mechanism for (Persistent) Liquidity Shocks | Financial Intermediation | 2015 | Financial fragility, interbank market, liquidity, maturity, network model |
116 | Charles Gottlieb | On the Distributive Effects of Inflation | Household Finance | 2015 | Anticipated Inflation, Monetary Policy, Incomplete markets, Heterogeneous agents, Endogenous Asset Market Participation |
115 | Andreas Fagereng, Charles Gottlieb, Luigi Guiso | Asset Market Participation and Portfolio Choice Over the Life-Cycle | Household Finance | 2015 | - |
114 | Nicole Branger, Christian Schlag, Lue Wu | "Nobody is Perfect": Asset Pricing and Long-Run Survival When Heterogeneous Investors Exhibit Different Kinds of Filtering Errors | Financial Markets | 2015 | General Equilibrium, Asset Allocation, Learning, Different Beliefs, Over-Confidence |
113 | Bettina Brüggemann, Jinhyuk Yoo | Aggregate and Distributional Effects of Increasing Taxes on Top Income Earners | Macro Finance | 2015 | Top Income Taxation, Heterogeneous Agents, Incomplete Markets, Income and Wealth Inequality |
112 | Shafik Hebous, Alfons J. Weichenrieder | On Deficits and Symmetries in a Fiscal Capacity | Macro Finance | 2015 | fiscal union, asymmetric shocks, federal transfers, optimum currency area |
111 | Alfons J. Weichenrieder, Fangying Xu | Are Tax Havens Good? Implications of the Crackdown on Secrecy | Macro Finance | 2015 | Tax haven, secrecy, tax information exchange, China, India |
110 | Dirk Krueger, Alexander Ludwig | On the Optimal Provision of Social Insurance | Macro Finance | 2015 | Progressive Taxation, Education Subsidy, Transitional Dynamics |
109 | Tobias Tröger | Regulatory Influence on Market Conditions in the Banking Union | Financial Intermediation | 2015 | banking union, macro-prudential supervision, real estate lending, bail-in, market discipline |
108 | Sascha Baghestanian, Paul Gortner, Baptiste Massenot | Compensation Schemes, Liquidity Provision, and Asset Prices: An Experimental Analysis | Law and Finance, Experiment Center | 2015 | compensation, liquidity, experimental asset markets, bubbles |
107 | Daniel Powell, Marc Steffen Rapp | Non-Mandatory Say on Pay Votes and AGM Participation: Evidence from Germany | Law and Finance | 2015 | Corporate Governance, Executive Remuneration, Say on Pay, Annual General Meeting, Germany |
106 | Baptiste Massenot, Stéphane Straub | Informal Sector and Economic Development: The Credit Supply Channel | Macro Finance | 2015 | - |
105 | Vilen Lipatov, Alfons J. Weichenrieder | A Decentralization Theorem of Taxation | Macro Finance | 2015 | fiscal federalism, taxing rights, decentralization theorem |
104 | Baptiste Massenot | Credit Cycles: Experimental Evidence | Macro Finance, Experiment Center | 2015 | - |
102 | Iñaki Aldasoro, Iván Alves | Multiplex Interbank Networks and Systemic Importance: An Application to European Data | Macro Finance | 2015 | interbank networks, systemic importance, multiplex networks |
101 | Marcel Grupp | On the Impact of Leveraged Buyouts on Bank Systemic Risk | Financial Intermediation | 2015 | Leveraged buyouts, syndicated loans, systemic risk |
100 | Marcel Grupp | Taking the Lead: When Non-Banks Arrange Syndicated Loans | Law and Finance | 2015 | Non-bank lead arrangers, syndicated loans, spread premium |
99 | Marcel Grupp, Christian Rauch, Marc Umber, Uwe Walz | The Influence of Leveraged Buyouts on Target Firms’ Competitors | Law and Finance | 2015 | Product Market Competition, Peers, LBOs, Restructuring |
98 | Helmut Gründl, Tobias Niedrig | The Effects of Contingent Convertible (CoCo) Bonds on Insurers’ Capital Requirements under Solvency II | Financial Intermediation | 2015 | Contingent Convertible Capital, CoCo Bond, Basel III, Solvency II, Life Insurance, Interconnectedness |
97 | Tobias Niedrig | Optimal Asset Allocation for Interconnected Life Insurers in the Low Interest Rate Environment Under Solvency Regulation | Financial Intermediation | 2015 | Basel III, Solvency II, Life Insurance, Interest Rate Guarantees, Asset Allocation, Contagion, Interconnectedness |
96 | Jens-Hinrich Binder | Banking Union and the Governance of Credit Institutions - A Legal Perspective | Financial Intermediation | 2015 | Banking Union, Single Supervisory Mechanism, Single Resolution Mechanism, Banking Regulation, Bank Corporate Governance |
95 | Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? | Systemic Risk Lab, Financial Markets | 2015 | Liquidity, Credit Risk, Euro-zone Government Bonds, Financial Crisis, MTS Bond Market |
94 | Claudia Lambert, Felix Noth, Ulrich Schüwer | How Do Banks React to Catastrophic Events? Evidence from Hurricane Katrina | Financial Intermediation | 2015 | catastrophic events, bank regulation, capital ratios, natural experiment |
93 | Shafik Hebous, Tom Zimmermann | Revisiting the Narrative Approach of Estimating Tax Multipliers | Macro Finance | 2015 | Narrative Approach, Fiscal Stabilization, Tax Multiplier, Weak Instruments |
92 | Christoph Hambel, Holger Kraft, Eduardo S. Schwartz | Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change | Systemic Risk Lab, Macro Finance | 2015 | Climate change economics, Carbon abatement, GDP growth |
91 | Anne-Caroline Hüser | Too Interconnected to Fail: A Survey of the Interbank Networks Literature | Macro Finance | 2015 | Interbank networks, systemic risk, contagion, banking, macro-prudential policy |
90 | Pinar Topal | Fiscal Stimulus and Labor Market Flexibility | Macro Finance | 2015 | fiscal policy, labour economics, labour market policies, threshold vector auto-regressive models, panel VAR, non-linear VAR, impulse analysis |
89 | Julia Braun, Alfons J. Weichenrieder | Does Exchange of Information between Tax Authorities Influence Multinationals’ Use of Tax Havens? | Macro Finance | 2015 | Tax havens, tax information exchange agreements, location decisions, international taxation |
88 | Ester Faia, Beatrice Weder di Mauro | Cross-Border Resolution of Global Banks | Macro Finance | 2015 | single point of entry, multiple point of entry, strategic interaction of regulators, financial spillover, financial retrenchment |
87 | Iñaki Aldasoro, Domenico Delli Gatti, Ester Faia | Bank Networks: Contagion, Systemic Risk and Prudential Policy | Macro Finance | 2015 | banking networks, centrality metrics, systemic risk |
86 | Agar Brugiavini, Danilo Cavapozzi, Mario Padula, Yuri Pettinicchi | Financial Education, Literacy and Investment Attitudes | Household Finance | 2015 | Financial education, Financial literacy, Planning, Investment attitudes |
85 | Holger Kraft, Claus Munk, Sebastian Wagner | Housing Habits and Their Implications for Life-Cycle Consumption and Investment | Household Finance | 2015 | Habit formation, life-cycle household decisions, housing expenditure share, consumption hump, stock market participation, renting vs. owning home, human capital |
84 | Raimond Maurer, Olivia S. Mitchell, Ralph Rogalla, Tatjana Schimetschek | Will They Take the Money and Work? An Empirical Analysis of People’s Willingness to Delay Claiming Social Security Benefits for a Lump Sum | Household Finance | 2015 | Annuity, lump sum, Social Security, delayed retirement, lifetime income, pension |
83 | Patrick Grüning | International Endogenous Growth, Macro Anomalies, and Asset Prices | Financial Markets | 2015 | Innovation, Product Market Competition, Endogenous Growth, Long-run Risk, International Finance |
82 | Axel Börsch-Supan, Alexander Ludwig, Edgar Vogel | Aging and Pension Reform: Extending the Retirement Age and Human Capital Formation | Household Finance, Macro Finance | 2015 | population aging, human capital, welfare, pension reform, retirement age, open economy |
81 | Jens-Hinrich Binder | Resolution Planning and Structural Bank Reform within the Banking Union | Financial Intermediation | 2015 | Bank Resolution, Resolution Planning, Living Wills, Structural Bank Reform, Banking Union |
80 | Enrique G. Mendoza, Linda L. Tesar, Jing Zhang | Saving Europe?: The Unpleasant Arithmetic of Fiscal Austerity in Integrated Economies | Macro Finance | 2014 | European debt crisis, tax competition, capacity utilization, fiscal austerity |
79 | Òscar Jordà, Alan M. Taylor | The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy | Macro Finance | 2014 | fiscal multipliers, booms, slumps, output fluctuations, allocation bias, matching, Rubin Causal Model, average treatment effect, propensity score, inverse probability weighting, regression adjustment, local projection, identification |
78 | Harris Dellas, Dirk Niepelt | Austerity | Macro Finance | 2014 | Austerity, credit rationing, default, incomplete information, investment, growth, pooling equilibrium, separating equilibrium |
77 | Benjamin Born, Gernot J. Müller, Johannes Pfeifer | Does Austerity Pay Off? | Macro Finance | 2014 | Fiscal policy, austerity, sovereign risk, yield spreads, confidence, panel VAR, local projections, fiscal stress |
76 | Carlo Ambrogio Favero, Francesco Giavazzi, Andreas Müller | The Output Effect of Fiscal Consolidation Plans | Macro Finance | 2014 | fiscal adjustment, confidence, investment |
75 | Markus Behn, Rainer Haselmann, Vikrant Vig | The Limits of Model-Based Regulation | Financial Intermediation | 2014 | capital regulation, internal ratings, Basel regulation |
74 | Nicole Branger, Patrick Konermann, Christoph Meinerding, Christian Schlag | Equilibrium Asset Pricing in Directed Networks | Financial Markets, Systemic Risk Lab | 2014 | Dynamic Networks, Mutually Exciting Processes, Asset Pricing, General Equilibrium, Recursive Preferences |
73 | Max Groneck, Alexander Ludwig, Alexander Zimper | A Life-Cycle Model with Ambiguous Survival Beliefs | Household Finance, Macro Finance | 2014 | Cumulative prospect theory, Choquet expected utility, Dynamic inconsistency, Life-cycle hypothesis, Saving puzzles |
72 | Alexander Ludwig, Matthias Schön | Endogenous Grids in Higher Dimensions: Delaunay Interpolation and Hybrid Methods | Household Finance, Macro Finance | 2014 | Dynamic Models, Numerical Solution, Method of Endogenous Gridpoints, Delaunay Interpolation |
71 | Daniel Harenberg, Alexander Ludwig | Social Security in an Analytically Tractable Overlapping Generations Model with Aggregate and Idiosyncratic Risk | Household Finance, Macro Finance | 2014 | social security, idiosyncratic risk, aggregate risk, welfare, insurance, crowding out |
70 | Deyan Radev | Assessing Systemic Fragility – A Probabilistic Perspective | Financial Intermediation | 2014 | Banking Stability, Financial Distress, Tail Risk, Contagion |
69 | Nina Biljanovska, Spyridon Palligkinis | Control Thyself: Self-Control Failure and Household Wealth | Household Finance, Macro Finance | 2014 | Self-Control, Household Wealth, Household Finance |
68 | Tobias Tröger | How Special Are They? – Targeting Systemic Risk by Regulating Shadow Banking | Financial Intermediation | 2014 | shadow banking, regulatory arbitrage, prudential supervision |
67 | Sascha Baghestanian, Paul Gortner, Joël van der Weele | Peer Effects and Risk Sharing in Experimental Asset Markets | Household Finance, Financial Markets, Experiment Center | 2014 | peer effects, laboratory experiments, risk taking, asset markets |
66 | Tobias Tröger | Corporate Groups | Law and Finance | 2014 | Corporate Groups, Related Party Transactions, Tunneling, Corporate Governance, E.U. Corporate Law, Shareholder Rights Directive, Group Interest, Minority Shareholder Protection, Creditor Protection |
65 | Elia Berdin, Helmut Gründl | The Effects of a Low Interest Rate Environment on Life Insurers | Financial Intermediation | 2014 | Life Insurers, Interest Rate Guarantees, Risk Assessment, Solvency II |
64 | Daniel Herbold | A Repeated Principal-Agent Model with On-the-Job Search | Law and Finance | 2014 | Repeated Principal-Agent Model, On-the-Job Search, Moral Hazard, Multitasking, Efficiency Wages |
63 | Nicola Fuchs-Schündeln, Michael Haliassos | Does Product Familiarity Matter for Participation? | Household Finance | 2014 | household finance, familiarity, financial literacy, stockholding, household debt, social interactions, consumer credit, counterfactual analysis, German reunification |
62 | Patrick Behr, Alejandro H. Drexler, Reint Gropp, Andre Guettler | Financial Incentives and Loan Officer Behavior: Multitasking and Allocation of Effort Under an Incomplete Contract | Systemic Risk Lab, Financial Intermediation | 2014 | Loan officer, incentives, monitoring, screening, loan origination |
61 | Iñaki Aldasoro, Mike Seiferling | Vertical Fiscal Imbalances and the Accumulation of Government Debt | Macro Finance | 2014 | fiscal decentralization, vertical fiscal imbalances, panel data, public debt, GFSY |
60 | Stefano Colonnello, Giuliano Curatola, Ngoc Giang Hoang | Direct and Indirect Risk-Taking Incentives of Inside Debt | Law and Finance | 2014 | Compensation Structure, Credit Spread, Risk-Taking, Inside Debt, Business Cycle |
59 | Daniel Harenberg, Alexander Ludwig | Idiosyncratic Risk, Aggregate Risk, and the Welfare Effects of Social Security | Household Finance, Macro Finance | 2014 | social security, idiosyncratic risk, aggregate risk, welfare |
58 | Michael Haliassos, Thomas Jansson, Yigitcan Karabulut | Incompatible European Partners? Cultural Predispositions and Household Financial Behavior | Household Finance | 2014 | Household Portfolios, Household Finance, Cultural Influences on Economic Behavior |
57 | Brigitte Haar | Financial Regulation in the EU – Cross-Border Capital Flows, Systemic Risk and the European Banking Union as Reference Points for EU Financial Market Integration | Systemic Risk Lab, Financial Intermediation | 2014 | Financial regulation, systemic risk, microprudential supervision, European Banking Authority, macroprudential supervision, European Systemic Risk Board, European Banking Union, Single Supervisory Mechanism |
56 | Giuliano Curatola, Michael Donadelli, Alessandro Gioffré, Patrick Grüning | Austerity, Fiscal Uncertainty, and Economic Growth: Insights from Fiscally Weak EU Countries | Financial Markets | 2014 | Austerity Measures, Fiscal Policy, Endogenous Growth, R&D |
55 | Jan Pieter Krahnen, Peter Ockenfels, Christian Wilde | Measuring Ambiguity Aversion: A Systematic Experimental Approach | Financial Intermediation, Financial Markets, Transparency Lab, Experiment Center | 2014 | ambiguity, valuation discount, experimental economics |
54 | Sascha Baghestanian, Todd B. Walker | Anchoring in Experimental Asset Markets | Financial Markets, Experiment Center | 2014 | Experimental Asset Markets, Anchoring, Bubbles |
53 | Holger Kraft, Claus Munk, Frank Thomas Seifried, Mogens Steffensen | Consumption and Wage Humps in a Life-Cycle Model with Education | Household Finance | 2014 | Education, leisure, consumption hump, wage hump |
52 | Holger Kraft, Thomas Seiferling, Frank Thomas Seifried | Optimal Consumption and Investment with Epstein-Zin Recursive Utility | Financial Markets | 2014 | consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE |
51 | Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | Mutual Excitation in Eurozone Sovereign CDS | Systemic Risk Lab, Financial Markets, Macro Finance | 2014 | CDS, Sovereign risk, Systemic risk, Jumps, Feedback, Hawkes processes, Mutually exciting processes, Impulse-response |
50 | Ignazio Angeloni, Ester Faia, Roland C. Winkler | Exit Strategies | Macro Finance | 2014 | exit strategies, debt consolidation, ?fiscal policy, ?fiscal multipliers, monetary policy, bank runs |
49 | Stefania Bortolotti, Gabriele Camera, Marco Casari | An Experiment on Retail Payments Systems | Macro Finance | 2014 | money, coordination, pricing, transactions |
48 | Marcel Bluhm, Jan Pieter Krahnen | Systemic Risk in an Interconnected Banking System with Endogenous Asset Markets | Systemic Risk Lab, Macro Finance | 2014 | systemic risk, systemic risk charge, macroprudential supervision, Shapley value, financial network |
47 | Michael Kosfeld, Ulrich Schüwer | Add-On Pricing in Retail Financial Markets and the Fallacies of Consumer Education | Household Finance, Experiment Center | 2014 | consumer education,financial literacy, bounded rationality, competition, regulation |
46 | Marcel Bluhm, Ester Faia, Jan Pieter Krahnen | Monetary Policy Implementation in an Interbank Network: Effects on Systemic Risk | Systemic Risk Lab, Macro Finance | 2014 | Network formation, contagion, central banks' interventions |
45 | Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon | Liquidity Coinsurance and Bank Capital | Financial Intermediation, Systemic Risk Lab | 2014 | Bank Capital, Interbank Markets, Liquidity Coinsurance |
44 | Lorenz Schendel | Critical Illness Insurance in Life Cycle Portfolio Problems | Household Finance | 2014 | Health shocks, Health expenses, Labor income risk, Stochastic mortality risk, Portfolio choice |
43 | Lorenz Schendel | Consumption-Investment Problems with Stochastic Mortality Risk | Household Finance | 2014 | Stochastic mortality risk, Health jumps, Labor income risk, Portfolio choice, Insurance |
42 | Reint Gropp, John Krainer, Elizabeth Laderman | Did Consumers Want Less Debt? Consumer Credit Demand versus Supply in the Wake of the 2008-2009 Financial Crisis | Financial Intermediation, Transparency Lab | 2014 | credit supply, deleveraging, households, financial crisis |
41 | Adrian Buss, Raman Uppal, Grigory Vilkov | Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs | Financial Markets | 2014 | liquidity premium, incomplete markets, portfolio choice, heterogeneous agents |
40 | Christoph Hambel, Holger Kraft, Lorenz Schendel, Mogens Steffensen | Life Insurance Demand under Health Shock Risk | Household Finance | 2014 | Health shocks, Portfolio choice, Term life insurance, Mortality risk, Labor income risk |
39 | H. Evren Damar, Reint Gropp, Adi Mordel | Banks’ Financial Distress, Lending Supply and Consumption Expenditure | Financial Intermediation | 2014 | credit supply, banking, financial crisis, consumption expenditure, liquid assets, consumption smoothing |
38 | Claudia Lambert, Felix Noth, Ulrich Schüwer | How do Insured Deposits Affect Bank Risk? Evidence from the 2008 Emergency Economic Stabilization Act | Financial Intermediation | 2013 | financial crisis, deposit insurance, bank regulation |
37 | Deyan Radev | Systemic Risk and Sovereign Debt in the Euro Area | Systemic Risk Lab, Financial Intermediation | 2013 | Sovereign debt, Sovereign default, Financial distress, Systemic risk, Contagion, Banking stability, Tail risk |
36 | Florian Hett, Alexander Schmidt | Bank Rescues and Bailout Expectations: The Erosion of Market Discipline During the Financial Crisis | Transparency Lab, Financial Intermediation, Experiment Center | 2013 | Bailout, Implicit Guarantees, Too-Big-To-Fail, Market Discipline |
35 | Peter Gomber, Satchit Sagade, Erik Theissen, Moritz Christian Weber, Christian Westheide | Competition Between Equity Markets: A Review of the Consolidation Versus Fragmentation Debate | Financial Markets | 2013 | Competition, Fragmentation, Market Structure, Liquidity, Price Discovery |
34 | Nicole Branger, Patrick Grüning, Holger Kraft, Christoph Meinerding, Christian Schlag | Asset Pricing Under Uncertainty About Shock Propagation | Financial Markets | 2013 | General Equilibrium, Contagion Risk, Partial Information, Filtering, Recursive Utility |
33 | Gabriele Camera, YiLi Chien | Two Monetary Models with Alternating Markets | Macro Finance | 2013 | cash-in-advance, matching, microfoundations, money, inflation |
32 | Gabriele Camera, Alessandro Gioffré | Game-Theoretic Foundations of Monetary Equilibrium | Money and Finance | 2013 | Social norms, repeated games, cooperation, payment systems |
31 | Dirk Bursian, Sven Fürth | Trust Me! I am a European Central Banker | Macro Finance, Systemic Risk Lab | 2013 | Central Banking, European Central Bank, Financial Crisis, Fiscal Crisis, Trust |
30 | Dirk Bursian, Markus Roth | Optimal Policy and Taylor Rule Cross-Checking Under Parameter Uncertainty | Macro Finance | 2013 | Optimal monetary policy, parameter uncertainty, Taylor rule |
29 | Iñaki Aldasoro, Ignazio Angeloni | Input-Output-Based Measures of Systemic Importance | Systemic Risk Lab, Macro Finance | 2013 | banks, input-output, systemic risk, too-interconnected-to-fail, networks, interbank markets |
28 | Nicole Branger, Holger Kraft, Christoph Meinerding | Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization | Transparency Lab, Systemic Risk Lab, Financial Markets | 2013 | Asset Allocation, Contagion, Nonlinear Filtering, Hidden State, Self-exciting Processes |
27 | Tobias Tröger | The Single Supervisory Mechanism – Panacea or Quack Banking Regulation? | Financial Intermediation | 2013 | prudential supervision, banking union, regulatory capture, political economy of bureaucracy, Single Supervisory Mechanism (SSM), European Central Bank (ECB), European Banking Authority (EBA) |
26 | Michael Brennan, Holger Kraft | Financing Asset Growth | Financial Markets | 2013 | |
25 | Holger Kraft, Alexander Schmidt | Systemic Risk in the Financial Sector: What Can We Learn from Option Markets? | Systemic Risk Lab, Financial Intermediation | 2013 | Systemic risk, Value-at-risk, Equity options, Implied volatility |
24 | Andrej Gill, Nikolai Visnjic | Performance Benefits of Tight Control | Law and Finance, Transparency Lab, Experiment Center | 2013 | private equity, leveraged buyouts, active shareholders, ownership concentration, corporate governance |
23 | Andrej Gill, Nikolai Visnjic | Insight Private Equity | Law and Finance, Transparency Lab, Experiment Center | 2013 | private equity, leveraged buyouts, active shareholders, corporate restructuring, operational performance |
22 | Dirk Bursian, Alfons J. Weichenrieder, Jochen Zimmer | Trust in Government and Fiscal Adjustments | Macro Finance, Systemic Risk Lab | 2013 | trust, debt sustainability, fiscal reaction function, euro area, EU |
21 | Stefano Corradin, Reint Gropp, Harry Huizinga, Luc Laeven | Who Invests in Home Equity to Exempt Wealth from Bankruptcy? | Financial Intermediation, Transparency Lab | 2013 | Homestead exemptions, Personal bankruptcy, Portfolio allocation, Home ownership |
20 | Zeno Adams, Roland Füss, Reint Gropp | Spillover Effects among Financial Institutions: A State-Dependent Sensitivity Value-at-Risk Approach | Systemic Risk Lab, Financial Intermediation | 2013 | Risk spillovers, state-dependent sensitivity value-at-risk (SDSVaR), quantile regression, financial institutions, hedge funds |
19 | Reint Gropp, Christian Gruendl, Andre Guettler | Hidden Gems and Borrowers with Dirty Little Secrets: Investment in Soft Information, Borrower Self-selection and Competition | Financial Intermediation, Transparency Lab | 2013 | soft information, discretionary lending, relationship lending, competition |
18 | Alfons J. Weichenrieder, Jochen Zimmer | Euro Membership and Fiscal Reaction Functions | Macro Finance | 2013 | debt sustainability, fiscal reaction function, euro area |
17 | Holger Kraft, Frank Thomas Seifried | Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility | Financial Markets | 2013 | stochastic differential utility, recursive utility, convergence, backward stochastic differential equation |
16 | Marius Ascheberg, Nicole Branger, Holger Kraft, Frank Thomas Seifried | When Do Jumps Matter for Portfolio Optimization? | Financial Markets | 2013 | Optimal investment, jumps, stochastic volatility, welfare loss |
15 | Holger Kraft, Claus Munk, Frank Thomas Seifried, Sebastian Wagner | Consumption Habits and Humps | Household Finance | 2013 | Consumption hump, life-cycle utility maximization, habit formation, impatience |
14 | Dirk Bursian, Ester Faia | Trust in the Monetary Authority | Macro Finance | 2013 | trust evolutionary games, risk perception, monetary transmission mechanism |
13 | Laurent Calvet, Paolo Sodini | Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios | Household Finance | 2013 | Asset allocation, communication, genetics, habit formation, human capital, labor income, leverage, participation, risk-taking, social interactions, twin study |
12 | Marcel Bluhm, Ester Faia, Jan Pieter Krahnen | Endogenous Banks’ Networks, Cascades and Systemic Risk | Systemic Risk Lab, Macro Finance | 2013 | network formation, tâtonnement, contagion |
11 | Nicole Branger, Holger Kraft, Christoph Meinerding | The Dynamics of Crises and the Equity Premium | Systemic Risk Lab, Financial Markets | 2013 | General Equilibrium, Asset Pricing, Recursive Preferences, Long-Run Risk, Disaster Models |
10 | Tim Eisert, Christian Eufinger | Interbank Network and Bank Bailouts: Insurance Mechanism for Non-Insured Creditors? | Systemic Risk Lab, Law and Finance | 2013 | bailout, cycle flows, cyclical liabilities, interbank network, leverage |
9 | Christian Eufinger, Andrej Gill | Incentive-Based Capital Requirements | Transparency Lab, Law and Finance, Experiment Center | 2013 | Basel III, capital regulation, compensation, leverage, risk |
8 | Ignazio Angeloni, Ester Faia, Marco Lo Duca | Monetary Policy and Risk Taking | Macro Finance | 2013 | bank runs, risk taking, monetary policy |
7 | Matthieu Darracq Pariès, Ester Faia, Diego Rodriguez Palenzuela | Bank and Sovereign Debt Risk Connection | Systemic Risk Lab, Macro Finance | 2013 | liquidity risk, sovereign risk, capital regulations |
6 | Holger Kraft, Eduardo S. Schwartz | Growth Options and Firm Valuation | Financial Markets, Transparency Lab | 2013 | Firm valuation, Real options, Volatility, R&D expenses |
5 | Grigory Vilkov, Yan Xiao | Option-Implied Information and Predictability of Extreme Returns | Financial Markets | 2013 | extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization |
4 | Markku Kaustia, Elias Rantapuska | Does Mood Affect Trading Behavior? | Household Finance | 2013 | mood, seasonal affective disorder (SAD), weather, trading behavior, stock market |
3 | Markku Kaustia, Antti Lehtoranta, Vesa Puttonen | Does Sophistication Affect Long-Term Return Expectations? Evidence from Financial Advisers' Exam Scores | Household Finance | 2013 | stock return expectations, sophistication, financial literacy, adviser |
2 | Markku Kaustia, Samuli Knüpfer, Sami Torstila | Stock Ownership and Political Behavior: Evidence from Demutualization | Household Finance | 2013 | Stock ownership, political behavior, salience, attention, identity |
1 | Dimitris Georgarakos, Michael Haliassos, Giacomo Pasini | Household Debt and Social Interactions | Household Finance | 2013 | household finance, household debt, social interactions, mortgages, consumer credit, informal loans |
Contact: publications@safe-frankfurt.de