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Soziale Interaktion auf Finanzmärkten (2013)

Frederik König

Ziel meiner Dissertation ist die empirische Analyse von Auswirkungen der sozialen Interaktion zwischen Akteuren auf Finanzmärkten. In meinem ersten Aufsatz stelle ich ein Marktpreismodell vor, welches dem Einfluss durch soziale Interaktion Rechnung trägt. Mit Hilfe dieses Modells gehe ich der Fragestellung nach, ob soziale Interaktion zwischen Marktteilnehmern eine stabilisierende oder eine destabilisierende Wirkung auf Finanzmärkte hat. Mit meinem zweiten Aufsatz untersuche ich das Verhalten von Aktienanalysten, die als wesentlicher Impulsgeber für Finanzmärkte gelten. Konkret stelle ich heraus, ob Analysten stärker von anderen Analysten beeinflusst werden, wenn diese im gleichen Land bzw. in der gleichen Stadt arbeiten oder wenn sogar ein regelmäßiger Meinungsaustausch erfolgt. Beides setzte ich ins Verhältnis zum vorherrschenden Marktumfeld. In meinem dritten Aufsatz beschäftige ich mich mit der sozialen Interaktion zwischen Fondsmanagern. Diese verwalten in etwa ein Drittel des frei handelbaren Aktienvermögens und haben folglich einen nennenswerten Einfluss auf Finanzmärkte. Mit Hilfe einer neuartigen Schätzmethode bestimme ich die Größe des sozialen Einflusses und untersuche auch hier temporale Variationen im Verhältnis zum zu Grunde liegenden Marktumfeld. Des Weiteren zerlege ich die Gesamtgröße des sozialen Einflusses in zwei Komponenten, die zum einen den Einfluss im Rahmen der reinen Beobachtung und zum anderen den Einfluss durch Kommunikation reflektieren.

Essays on banking and financial markets (2012)

Björn Hilberg

In this thesis the behavior of banks in financial markets which banks frequently use to obtain short-term as well as long-term financing is studied. In the first chapter we incorporate an interbank market for collateralized lending among banks into a dynamic, stochastic, general equilibrium (DSGE) framework to analyze the impact of variations in the expected value of the collateral on the interbank lending volume. We find that a central bank which decides to lower the haircut on eligible collateral in repurchase agreements is able to stimulate interbank markets. In the second chapter a microeconomic model of bank behavior on the interbank market is set up to analyze the impact of risk-taking behavior of interbank borrowing banks and uncertainty about their balance sheet quality on the lending behavior of interbank lending banks. It is found that the disruptions on the interbank market are the result of optimal behavior on the part of interbank lending banks in response to the uncertainty about the balance sheet quality of an interbank borrowing bank. In the third chapter we use monthly data on German bank bond spreads and regress it on bank-specific risk factors to assess the degree of market discipline in the German bank bond market. The regression results for the whole German bank bond market indicate that the bond spread does not show signs of market discipline. However, a structural break analysis uncovers that since the beginning of the financial crisis the German bank bond market exhibits at least a weak form of market discipline for bonds issued by medium-size and large banks.

Ordnung des Fachbereichs Wirtschaftswissenschaften der Johann Wolfgang Goethe-Universität Frankfurt am Main für den Weiterbildungsmasterstudiengang "Master in Finance" mit dem Abschlussgrad "Master of Arts" vom 23. Januar 2013 : genehmigt durch das Präsidium der Johann Wolfgang-Goethe Universität am 26. März 2013 (2013)

Trust in the monetary authority (2013)

Dirk Bursian Ester Faia

The efficacy of monetary authority actions depends primarily on the ability of the monetary authority to affect inflation expectations, which ultimately depend on agents' trust. We propose a model embedding trust cycles, as emerging from sequential coordination games between atomistic agents and the policy maker, in a monetary model. Trust affects agents' stochastic discount factor, namely the price of future risk, and their expectation formation process: these effects in turn interact with the monetary transmission mechanism. Using data from the Eurobarometer survey we analyze the link between trust on the one side and the transmission mechanism of shocks and of the policy rate on the other: data show that the two interact significantly and in a way comparable to the obtained in our model.

Twin picks : disentangling the determinants of risk-taking in household portfolios (2013)

Laurent E. Calvet Paolo Sodini

This paper investigates risk-taking in the liquid portfolios held by a large panel of Swedish twins. We document that the portfolio share invested in risky assets is an increasing and concave function of financial wealth, leading to different risk sensitivities across investors. Human capital, which we estimate directly from individual labor income, also drives risk-taking positively, while internal habit and expenditure commitments tend to reduce it. Our micro findings lend strong support to decreasing relative risk aversion and habit formation preferences. Furthermore, heterogeneous risk sensitivities across investors help reconcile individual preferences with representative-agent models.

Endogenous banks' networks, cascades and systemic risk (2013)

Marcel Bluhm Ester Faia Jan Pieter Krahnen

We develop a dynamic network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in firesales: risk is transmitted through direct and cascading counterparty defaults as well as through indirect pecuniary externalities triggered by firesales. We use the model to assess the evolution of the network configuration under various prudential policy regimes, to measure banks' contribution to systemic risk (through Shapley values) in response to shocks and to analyze the effects of systemic risk charges. We complement the analysis by introducing the possibility of central bank liquidity provision.

How does contagion affect general equilibrium asset prices? (2013)

Nicole Branger Holger Kraft Christoph Meinerding

This paper analyzes the equilibrium pricing implications of contagion risk in a Lucas-tree economy with recursive preferences and jumps. We introduce a new economic channel allowing for the possibility that endowment shocks simultaneously trigger a regime shift to a bad economic state. We document that these contagious jumps have far-reaching asset pricing implications. The risk premium for such shocks is superadditive, i.e. it is 2.5\% larger than the sum of the risk premia for pure endowment shocks and regime switches. Moreover, contagion risk reduces the risk-free rate by around 0.5\%. We also derive semiclosed-form solutions for the wealth-consumption ratio and the price-dividend ratios in an economy with two Lucas trees and analyze cross-sectional effects of contagion risk qualitatively. We find that heterogeneity among the assets with respect to contagion risk can increase risk premia disproportionately. In particular, big assets with a large exposure to contagious shocks carry significantly higher risk premia.

WiWi news : Newsletter des Fachbereichs Wirtschaftswissenschaften ; Nr. 2013, 1 (2013)

S. 2 Editorial ++++ S. 3 Personalien ++++ S. 5 Neues vom Fachbereich ++++ S. 7 Studentische Initiativen ++++ S. 9 Wissenschaftlicher Nachwuchs ++++ S. 11 Veranstaltungen ++++ S. 12 Studieren im Ausland ++++ S. 13 Preise, Auszeichnungen ++++ S. 16 Alumni im Portrait ++++ S. 18 Pinnwand

Interbank network and bank bailouts : insurance mechanism for non-insured creditors? (2013)

Tim Eisert Christian Eufinger

This paper presents a theory that explains why it is beneficial for banks to engage in circular lending activities on the interbank market. Using a simple network structure, it shows that if there is a non-zero bailout probability, banks can significantly increase the expected repayment of uninsured creditors by entering into cyclical liabilities on the interbank market before investing in loan portfolios. Therefore, banks are better able to attract funds from uninsured creditors. Our results show that implicit government guarantees incentivize banks to have large interbank exposures, to be highly interconnected, and to invest in highly correlated, risky portfolios. This can serve as an explanation for the observed high interconnectedness between banks and their investment behavior in the run-up to the subprime mortgage crisis.

Basel III and CEO compensation in Banks : pay structures as a regulatory signal (2013)

Christian Eufinger Andrej Gill

This paper proposes a new regulatory approach that implements capital requirements contingent on managerial compensation. We argue that excessive risk taking in the financial sector originates from the shareholder moral hazard created by government guarantees rather than from corporate governance failures within banks. The idea of the proposed regulation is to utilize the compensation scheme to drive a wedge between the interests of top management and shareholders to counteract shareholder risk-shifting incentives. The decisive advantage of this approach compared to existing regulation is that the regulator does not need to be able to properly measure the bank investment risk, which has been shown to be a difficult task during the 2008-2009 financial crisis.

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