http://www.bis.org/cbhub/list/series/sid_15/index.rss Research hub papers by series: Deutsche Bundesbank Discussion Papers en http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_06_07_dkp_21.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Josef Korte Catharsis - The real effects of bank insolvency and resolution 2013-06-10T12:35:00Z Catharsis - The real effects of bank insolvency and resolution 2013-06-10T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_06_07_dkp_21.pdf?__blob=publicationFile Josef Korte Josef Korte 2013-06-07 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_06_10_dkp_22.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Klaus Düllmann, Philipp Koziol Evaluation of minimum capital requirements for bank loans to SMEs 2013-06-10T12:35:00Z Evaluation of minimum capital requirements for bank loans to SMEs 2013-06-10T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_06_10_dkp_22.pdf?__blob=publicationFile Klaus Düllmann Philipp Koziol Klaus Düllmann, Philipp Koziol 2013-06-10 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_05_31_dkp_20.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Yalin Gündüz, Julia Nasev, Monika Trapp The price impact of CDS trading 2013-06-07T06:19:59Z The price impact of CDS trading 2013-06-07T06:19:59Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_05_31_dkp_20.pdf?__blob=publicationFile Monika Trapp Julia Nasev Yalin Gündüz Yalin Gündüz, Julia Nasev, Monika Trapp 2013-05-31 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_05_10_dkp_18.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Markus Baltzer, Oscar Stolper, Andreas Walter Is local bias a cross-border phenomenon? Evidence from individual investors' international asset allocation 2013-05-10T12:45:00Z Is local bias a cross-border phenomenon? Evidence from individual investors' international asset allocation 2013-05-10T12:45:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_05_10_dkp_18.pdf?__blob=publicationFile Oscar Stolper Andreas Walter Markus Baltzer Markus Baltzer, Oscar Stolper, Andreas Walter 2013-05-10 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_29_dkp_19.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Friederike Niepmann Banking across borders 2013-05-10T12:45:00Z Banking across borders 2013-05-10T12:45:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_29_dkp_19.pdf?__blob=publicationFile Friederike Niepmann Friederike Niepmann 2013-05-10 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_29_dkp_17.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Matthias Köhler Does non-interest income make banks more risky? Retail- versus investment-oriented banks 2013-05-06T12:35:00Z Does non-interest income make banks more risky? Retail- versus investment-oriented banks 2013-05-06T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_29_dkp_17.pdf?__blob=publicationFile Matthias Köhler Matthias Köhler 2013-05-06 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_29_dkp_16.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Cornelia Düwel Repo funding and internal capital markets in the financial crisis 2013-05-03T12:33:59Z Repo funding and internal capital markets in the financial crisis 2013-05-03T12:33:59Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_29_dkp_16.pdf?__blob=publicationFile Cornelia Düwel Cornelia Düwel 2013-05-03 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_29_dkp_15.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Jana Kremer, Nikolai Stähler Structural and cyclical effects of tax progression 2013-04-29T12:35:00Z Structural and cyclical effects of tax progression 2013-04-29T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_29_dkp_15.pdf?__blob=publicationFile Nikolai Stähler Jana Kremer Jana Kremer, Nikolai Stähler 2013-04-29 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_26_dkp_14.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Claudio Albanese, Damiano Brigo, Frank Oertel Restructuring counterparty credit risk 2013-04-26T12:35:59Z We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA). Depending on how the default contingency is accounted for, we list a total of ten different structuring styles. These include bi-partite structures between a bank and a counterparty, tri-partite structures with one margin lender in addition, quadripartite structures with two margin lenders and, most importantly, configurations where all derivative transactions are cleared through a central counterparty (CCP). We compare the various structuring styles under a number of criteria including consistency from an accounting standpoint, counterparty risk hedgeability, numerical complexity, transaction portability upon default, induced behaviour and macro-economic impact of the implied wealth allocation. Restructuring counterparty credit risk 2013-04-26T12:35:59Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_26_dkp_14.pdf?__blob=publicationFile Damiano Brigo Claudio Albanese Frank Oertel Claudio Albanese, Damiano Brigo, Frank Oertel 2013-04-26 Deutsche Bundesbank Discussion Papers C51 C63 E51 G01 G32 G33 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_13.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Esteban Prieto, Sandra Eickmeier, Massimiliano Marcellino Time variation in macro-financial linkages 2013-04-23T12:35:00Z Time variation in macro-financial linkages 2013-04-23T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_13.pdf?__blob=publicationFile Sandra Eickmeier Massimiliano Marcellino Esteban Prieto Esteban Prieto, Sandra Eickmeier, Massimiliano Marcellino 2013-04-23 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_23_dkp_13.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Esteban Prieto, Sandra Eickmeier, Massimiliano Marcellino Time variation in macro-financial linkages 2013-04-23T12:35:00Z We analyze the contribution of credit spread, house and stock price shocks to GDP growth in the US based on a Bayesian VAR with time-varying parameters estimated over 1958-2012. Our main fi-ndings are: (i) The contribution of fi-nancial shocks to GDP growth fl‡uctuates from about 20 percent in normal times to 50 percent during the global fi-nancial crisis. (ii) The Great Recession and the subsequent weak recovery can largely be traced back to negative housing shocks. (iii) Housing shocks have become more important for the real economy since the early-2000s, and negative housing shocks are more important than positive ones. Time variation in macro-financial linkages 2013-04-23T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_23_dkp_13.pdf?__blob=publicationFile Sandra Eickmeier Massimiliano Marcellino Esteban Prieto Esteban Prieto, Sandra Eickmeier, Massimiliano Marcellino 2013-04-23 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_22_dkp_12.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Martin Kliem, Alexander Kriwoluzky, Samad Sarferaz On the low-frequency relationship between public deficits and inflation 2013-04-22T12:37:59Z We estimate the low-frequency relationship between fiscal deficits and inflation and pay special attention to its potential time variation by estimating a time-varying VAR model for U.S. data from 1900 to 2011. We find the strongest relationship neither in times of crisis nor in times of high public deficits, but from the mid-1960s up to 1980. Our results suggest that the low-frequency relationship between fiscal deficits and inflation is strongly related to the conduct of monetary policy and its interaction with fiscal policy after World War II. On the low-frequency relationship between public deficits and inflation 2013-04-22T12:37:59Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_12.pdf?__blob=publicationFile Alexander Kriwoluzky Martin Kliem Samad Sarferaz Martin Kliem, Alexander Kriwoluzky, Samad Sarferaz 2013-04-22 Deutsche Bundesbank Discussion Papers E42 E58 E61 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_12.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Martin Kliem, Alexander Kriwoluzky, Samad Sarferaz On the low-frequency relationship between public deficits and inflation 2013-04-22T12:37:59Z On the low-frequency relationship between public deficits and inflation 2013-04-22T12:37:59Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_12.pdf?__blob=publicationFile Alexander Kriwoluzky Martin Kliem Samad Sarferaz Martin Kliem, Alexander Kriwoluzky, Samad Sarferaz 2013-04-22 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_11.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Malte Knüppel, Guido Schultefrankenfeld The empirical (ir)relevance of the interest rate assumption for central bank forecasts 2013-04-19T12:35:00Z The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical point of view, the latter should yield the highest forecast accuracy. The lowest accuracy can be expected from forecasts conditioned on constant interest rates. However, when investigating the predictive accuracy of the forecasts for interest rates, inflation and output growth made by the Bank of England and the Banco do Brasil, we hardly find any significant differences between the forecasts based on different interest assumptions. We conclude that the choice of the interest rate assumption, while being a major concern from a theoretical point of view, appears to be at best of minor relevance empirically. The empirical (ir)relevance of the interest rate assumption for central bank forecasts 2013-04-19T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_11.pdf?__blob=publicationFile Guido Schultefrankenfeld Malte Knuppel Malte Knüppel, Guido Schultefrankenfeld 2013-04-19 Deutsche Bundesbank Discussion Papers C12 C53 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_12_dkp_09.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Klaus Adam, Michael Grill Optimal sovereign default 2013-04-18T06:19:59Z When is it optimal for a government to default on its legal repayment obligations? We answer this question for a small open economy with domestic production risk in which contracting frictions make it optimal for the government to finance itself by issuing non-contingent debt. We show that Ramsey optimal policies occasionally deviate from the legal repayment obligation and repay debt only partially, even if such deviations give rise to significant 'default costs'. Optimal default improves the international diversification of domestic output risk, increases the efficiency of domestic investment and - for a wide range of default costs - significantly increases welfare relative to a situation where default is simply ruled out from Ramsey optimal plans. We show analytically that default is optimal following adverse shocks to domestic output, especially for very negative international wealth positions. A quantitative analysis reveals that for empirically plausible wealth levels, default is optimal only in response to disaster-like shocks to domestic output, and that following such shocks default can be Ramsey optimal even if the net foreign asset position is positive. Optimal sovereign default 2013-04-18T06:19:59Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_12_dkp_09.pdf?__blob=publicationFile Klaus Adam Michael Grill Klaus Adam, Michael Grill 2013-04-12 Deutsche Bundesbank Discussion Papers E62 F34 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_10.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Mathias Hoffmann, Michael U. Krause, Thomas Laubach The expectations-driven U.S. current account 2013-04-18T06:19:59Z Since 1991, survey expectations of long-run output growth for the U.S. relative to the rest of the world exhibit a pattern strikingly similar to that of the U.S. current account, and thus also to global imbalances. We show that this -nding can to a large extent be rationalized in a two-region stochastic growth model simulated using expected trend growth -ltered from observed productivity. In line with the intertemporal approach to the current account, a major part of the buildup of the U.S. current account de-cit appears to be driven by the optimal response of households and -rms to improved growth prospects. The expectations-driven U.S. current account 2013-04-18T06:19:59Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_15_dkp_10.pdf?__blob=publicationFile Mathias Hoffmann Thomas Laubach Michael U. Krause Mathias Hoffmann, Michael U. Krause, Thomas Laubach 2013-04-15 Deutsche Bundesbank Discussion Papers D83 E13 E32 F32 O40 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_02_dkp_07.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Markus Kühnlenz China's role in global inflation dynamics 2013-04-03T06:21:00Z China's role in global inflation dynamics 2013-04-03T06:21:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_02_dkp_07.pdf?__blob=publicationFile Sandra Eickmeier Markus Kühnlenz Sandra Eickmeier, Markus Kühnlenz 2013-04-02 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_02_dkp_08.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Yalin Gündüz, Orcun Kaya Sovereign default swap market efficiency and country risk in the eurozone 2013-04-03T06:21:00Z Sovereign default swap market efficiency and country risk in the eurozone 2013-04-03T06:21:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_04_02_dkp_08.pdf?__blob=publicationFile Yalin Gündüz Orcun Kaya Yalin Gündüz, Orcun Kaya 2013-04-02 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_12_dkp_06.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Michael U. Krause, Stéphane Moyen Public debt and changing inflation targets 2013-03-27T06:19:59Z Public debt and changing inflation targets 2013-03-27T06:19:59Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_12_dkp_06.pdf?__blob=publicationFile Stéphane Moyen Michael U. Krause Michael U. Krause, Stéphane Moyen 2013-03-26 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_12_dkp_05.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Nataliya Barasinska, Dorothea Schäfer Is the willingness to take financial risk a sex-linked trait? Evidence from national surveys of household finance 2013-03-13T12:37:00Z Is the willingness to take financial risk a sex-linked trait? Evidence from national surveys of household finance 2013-03-13T12:37:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_12_dkp_05.pdf?__blob=publicationFile Dorothea Schäfer Nataliya Barasinska Nataliya Barasinska, Dorothea Schäfer 2013-03-13 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_11_dkp_04.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Gunter Löffler, Peter Raupach Robustness and informativeness of systemic risk measures 2013-03-13T12:37:00Z Robustness and informativeness of systemic risk measures 2013-03-13T12:37:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_11_dkp_04.pdf?__blob=publicationFile Gunter Löffler Peter Raupach Gunter Löffler, Peter Raupach 2013-03-11 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_11_dkp_03.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Leonardo Gambacorta, Boris Hofmann Understanding global liquidity 2013-03-13T12:37:00Z Understanding global liquidity 2013-03-13T12:37:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2013/2013_03_11_dkp_03.pdf?__blob=publicationFile Sandra Eickmeier Leonardo Gambacorta Boris Hofmann Sandra Eickmeier, Leonardo Gambacorta, Boris Hofmann 2013-03-11 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_07_dkp_35.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Sandra Eickmeier, Marco J. Lombardi Monetary policy and the oil futures market 2013-01-10T12:35:00Z Monetary policy and the oil futures market 2013-01-10T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_07_dkp_35.pdf?__blob=publicationFile Sandra Eickmeier Marco J. Lombardi Sandra Eickmeier, Marco J. Lombardi 2012-12-14 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_31_dkp_36.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Christoph Memmel, Yalin Gündüz, Peter Raupach The common drivers of default risk 2013-01-10T12:35:00Z The common drivers of default risk 2013-01-10T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_31_dkp_36.pdf?__blob=publicationFile Yalin Gündüz Christoph Memmel Peter Raupach Christoph Memmel, Yalin Gündüz, Peter Raupach 2012-12-31 Deutsche Bundesbank Discussion Papers http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_07_dkp_34.pdf?__blob=publicationFile Deutsche Bundesbank Discussion Papers by Philippe Durand, Yalin Gündüz, Isabelle Thomazeau Estimating endogenous liquidity using transaction and order book information 2012-12-11T12:35:00Z Estimating endogenous liquidity using transaction and order book information 2012-12-11T12:35:00Z Full text http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_12_07_dkp_34.pdf?__blob=publicationFile Philippe Durand Isabelle Thomazeau Yalin Gündüz Philippe Durand, Yalin Gündüz, Isabelle Thomazeau 2012-12-11 Deutsche Bundesbank Discussion Papers