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Deutsche Bundesbank Discussion Paper Series

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1.

A Distribution-Free Test for Outliers

Bundesbank Discussion Paper No. 02/2013
Number of pages: 16 Posted: 21 Jun 2016
Working Paper Series
University of Maastricht - Department of Economics and Deutsche Bundesbank
Downloads 277
2.

Consumer Cash Usage: A Cross-Country Comparison with Payment Diary Survey Data

Bundesbank Discussion Paper No. 13/2014
Number of pages: 45 Posted: 21 Jun 2016
Working Paper Series
Reserve Bank of Australia, Telecom ParisTech, Government of Canada - Bank of Canada, De Nederlandsche Bank, Deutsche Bundesbank - Research Center, Federal Reserve Bank of Boston - Research Department and Oesterreichische Nationalbank - Economic Studies Division

Multiple version iconThere are 3 versions of this paper

Downloads 212
3.

How Does P2P Lending Fit into the Consumer Credit Market?

Bundesbank Discussion Paper No. 30/2016
Number of pages: 24 Posted: 05 Oct 2016
Working Paper Series
Reserve Bank of Australia, Goethe University Frankfurt - Faculty of Economics and Business Administration and UCL Centre for Blockchain Technologies

Multiple version iconThere are 2 versions of this paper

Downloads 205
4.

The Impact of Fiscal Policy on Economic Activity Over the Business Cycle - Evidence from a Threshold VAR Analysis

Bundesbank Series 1 Discussion Paper No. 2011,03
Number of pages: 60 Posted: 08 Jun 2016
Working Paper Series
University of Cambridge - Faculty of Economics and Politics and European Central Bank (ECB)
Downloads 204
5.

Sovereign Default Swap Market Efficiency and Country Risk in the Eurozone

Bundesbank Discussion Paper No. 08/2013
Number of pages: 53 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank and Goethe University Frankfurt
Downloads 176
6.

The Impact of Thin-Capitalization Rules on Multinationals' Financing and Investment Decisions

Bundesbank Series 1 Discussion Paper No. 2008,03
Number of pages: 56 Posted: 08 Jun 2016
Working Paper Series
CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute, Universität zu Köln, University of Mannheim - Department of Business Administration and Taxation and University of Tuebingen
Downloads 171
7.

Banking and Sovereign Risk in the Euro Area

Bundesbank Series 1 Discussion Paper No. 2010,09
Number of pages: 68 Posted: 08 Jun 2016
Working Paper Series
Central Bank of Ireland, Deutsche Bundesbank and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 148
8.

High-Frequency Trading in the Bund Futures Market

Bundesbank Discussion Paper No. 15/2016
Number of pages: 45 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank
Downloads 139
9.

Dynamic Factor Models

Bundesbank Series 1 Discussion Paper No. 2005,38
Number of pages: 40 Posted: 08 Jun 2016
Working Paper Series
University of Bonn and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 136
10.

Granularity Adjustment for Basel Ii

Bundesbank Series 2 Discussion Paper No. 2007,01
Number of pages: 40 Posted: 08 Jun 2016
Working Paper Series
Federal Reserve Board and University of Freiburg
Downloads 136
11.

Concepts to Calculate Equilibrium Exchange Rates: An Overview

Bundesbank Series 1 Discussion Paper No. 2000,03
Number of pages: 75 Posted: 08 Jun 2016
Working Paper Series
University of Strathclyde in Glasgow - Department of Economics
Downloads 126
12.

Macroeconomic Factors and Micro-Level Bank Risk

Bundesbank Series 1 Discussion Paper No. 2010,20
Number of pages: 60 Posted: 08 Jun 2016
Working Paper Series
Deutsche Bundesbank, Deutsche Bundesbank and affiliation not provided to SSRN

Multiple version iconThere are 2 versions of this paper

Downloads 118
13.

Income Diversification in the German Banking Industry

Bundesbank Series 2 Discussion Paper No. 2009,09
Number of pages: 40 Posted: 08 Jun 2016
Working Paper Series
University of Erlangen-Nuremberg-Friedrich Alexander Universität Erlangen Nürnberg and Deutsche Bundesbank
Downloads 116
14.

Who Trades on Momentum?

Bundesbank Discussion Paper No. 42/2014
Number of pages: 56 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Multiple version iconThere are 2 versions of this paper

Downloads 114
15.

U-Midas: Midas Regressions with Unrestricted Lag Polynomials

Bundesbank Series 1 Discussion Paper No. 2011,35
Number of pages: 56 Posted: 08 Jun 2016
Working Paper Series
Unaffiliated Authors - Independent, European University Institute and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 113
16.

Foreign Direct Investment, Spillovers and Absorptive Capacity: Evidence from Quantile Regressions

Bundesbank Series 1 Discussion Paper No. 2005,13
Number of pages: 40 Posted: 08 Jun 2016
Working Paper Series
Nottingham University Business School and University of Kiel

Multiple version iconThere are 2 versions of this paper

Downloads 102
17.

Black Monday, Globalization and Trading Behavior of Stock Investors

Bundesbank Discussion Paper No. 18/2016
Number of pages: 19 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank
Downloads 93
18.

Flying Under the Radar: The Effects of Short-Sale Disclosure Rules on Investor Behavior and Stock Prices

Bundesbank Discussion Paper No. 25/2016
Number of pages: 60 Posted: 14 Jul 2016
Working Paper Series
Deutsche Bundesbank, Deutsche Bundesbank and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Multiple version iconThere are 3 versions of this paper

Downloads 91
19.

Is Proprietary Trading Detrimental to Retail Investors?

Bundesbank Discussion Paper No. 42/2013
Number of pages: 40 Posted: 21 Jun 2016
Working Paper Series
Frankfurt School of Finance & Management, Goethe University Frankfurt - Faculty of Economics and Business Administration and Rotterdam School of Management, Erasmus University (RSM)

Multiple version iconThere are 3 versions of this paper

Downloads 90
20.

Bank Liquidity Creation and Risk Taking During Distress

Bundesbank Series 2 Discussion Paper No. 2010,05
Number of pages: 60 Posted: 08 Jun 2016
Working Paper Series
University of South Carolina - Darla Moore School of Business, Texas A&M University, Deutsche Bundesbank and University of Bristol
Downloads 88
21.

Loan Loss Provisioning and Procyclicality: Evidence from an Expected Loss Model

Bundesbank Discussion Paper No. 39/2014
Number of pages: 41 Posted: 21 Jun 2016
Working Paper Series
University of Muenster - Finance Center Muenster, University of Muenster - Finance Center Muenster, affiliation not provided to SSRN and University of Münster - Finance Center Münster
Downloads 85
22.

How Central is Central Counterparty Clearing? A Deep Dive into a European Repo Market During the Crisis

Bundesbank Discussion Paper No. 14/2016
Number of pages: 38 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank, Frankfurt School of Finance & Management and Deutsche Bundesbank
Downloads 75
23.

Will German Banks Earn Their Cost of Capital?

Bundesbank Discussion Paper No. 01/2017
Posted: 02 Feb 2017
Working Paper Series
Deutsche Bundesbank, Deutsche Bundesbank and ESMT European School of Management and Technology
Downloads 75
24.

Household Saving Behavior and Credit Constraints in the Euro Area

Bundesbank Discussion Paper No. 16/2014
Number of pages: 34 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank, Banque Centrale du Luxembourg, Deutsche Bundesbank and Banque centrale du Luxembourg
Downloads 74
25.

Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise

Bundesbank Series 1 Discussion Paper No. 2005,30
Number of pages: 60 Posted: 08 Jun 2016
Working Paper Series
Princeton University - Department of Economics, University of Chicago - Department of Statistics and University of Illinois at Chicago - Department of Finance

Multiple version iconThere are 2 versions of this paper

Downloads 73
26.

Regulation, Credit Risk Transfer with CDS, and Bank Lending

Bundesbank Discussion Paper No. 05/2012
Number of pages: 40 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank and University of Augsburg - Faculty of Business Administration and Economics
Downloads 72
27.

The Determinants of Cross-Border Bank Flows to Emerging Markets: New Empirical Evidence on the Spread of Financial Crises

Bundesbank Series 1 Discussion Paper No. 2010,17
Number of pages: 68 Posted: 08 Jun 2016
Working Paper Series
Deutsche Bundesbank - Economic Research Centre and Bank for International Settlements (BIS) - Monetary and Economic Department

Multiple version iconThere are 3 versions of this paper

Downloads 72
28.

Determinants of European Banks' Engagement in Loan Securitization

Bundesbank Series 2 Discussion Paper No. 2008,10
Number of pages: 56 Posted: 08 Jun 2016
Working Paper Series
Justus-Liebig-University Giessen and Goethe University Frankfurt
Downloads 70
29.

Taxing Banks: An Evaluation of the German Bank Levy

Bundesbank Discussion Paper No. 38/2014
Number of pages: 41 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank, Goethe University Frankfurt and Halle Institute for Economic Research

Multiple version iconThere are 2 versions of this paper

Downloads 70
30.

Traditional Banks, Shadow Banks and the Us Credit Boom: Credit Origination Versus Financing

Bundesbank Discussion Paper No. 11/2016
Number of pages: 36 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank
Downloads 70
31.

Which Banks are More Risky? The Impact of Loan Growth and Business Model on Bank Risk-Taking

Bundesbank Discussion Paper No. 33/2012
Number of pages: 64 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank
Downloads 70
32.

Assessing House Prices in Germany: Evidence from an Estimated Stock-Flow Model Using Regional Data

Bundesbank Discussion Paper No. 46/2013
Number of pages: 45 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank, Deutsche Bundesbank - Economics Department and Deutsche Bundesbank
Downloads 68
33.

Executive Board Composition and Bank Risk Taking

Bundesbank Discussion Paper No. 03/2012
Number of pages: 80 Posted: 21 Jun 2016
Working Paper Series
University of South Carolina - Darla Moore School of Business, Deutsche Bundesbank and University of Bristol
Downloads 66
34.

Below the Zero Lower Bound: A Shadow-Rate Term Structure Model for the Euro Area

Bundesbank Discussion Paper No. 32/2016
Number of pages: 50 Posted: 05 Oct 2016
Working Paper Series
European Central Bank and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 65
35.

Classical Time-Varying FAVAR Models - Estimation, Forecasting and Structural Analysis

Bundesbank Series 1 Discussion Paper No. 2011,04
Number of pages: 68 Posted: 08 Jun 2016
Working Paper Series
Deutsche Bundesbank, European Central Bank and European University Institute

Multiple version iconThere are 2 versions of this paper

Downloads 65
36.

The Pricing of Correlated Default Risk: Evidence from the Credit Derivatives Market

Bundesbank Series 2 Discussion Paper No. 2008,09
Number of pages: 60 Posted: 08 Jun 2016
Working Paper Series
Bank for International Settlements (BIS) - Monetary and Economic Department and Bank for International Settlements (BIS)

Multiple version iconThere are 2 versions of this paper

Downloads 64
37.

Loan Supply in Germany During the Financial Crisis

Bundesbank Series 1 Discussion Paper No. 2010,05
Number of pages: 40 Posted: 08 Jun 2016
Working Paper Series
Deutsche Bundesbank, Deutsche Bundesbank and Deutsche Bundesbank - Economics Department
Downloads 63
38.

The Evolution of Economic Convergence in the European Union

Bundesbank Discussion Paper No. 28/2013
Number of pages: 30 Posted: 21 Jun 2016
Working Paper Series
Ramon Llull University - IQS School of Management and Deutsche Bundesbank
Downloads 62
39.

Capital Regulation, Liquidity Requirements and Taxation in a Dynamic Model of Banking

Bundesbank Discussion Paper No. 10/2012
Number of pages: 68 Posted: 21 Jun 2016
Working Paper Series
International Monetary Fund and CESifo, University of Warwick - Finance Group and Ca Foscari University of Venice

Multiple version iconThere are 4 versions of this paper

Downloads 61
40.

Cross-Border Transmission of Emergency Liquidity

Bundesbank Discussion Paper No. 34/2016
Number of pages: 46 Posted: 05 Oct 2016
Working Paper Series
Deutsche Bundesbank, IWH and European Central Bank (ECB)
Downloads 61
41.

Public Debt and Changing Inflation Targets

Bundesbank Discussion Paper No. 06/2013
Number of pages: 35 Posted: 21 Jun 2016
Working Paper Series
University of Cologne and affiliation not provided to SSRN
Downloads 61
42.

Schätzung Der Deutschen Zinsstrukturkurve

Bundesbank Series 1 Discussion Paper No. 1997,04
Number of pages: 52 Posted: 07 Jun 2016
Working Paper Series
Organisation for Economic Co-operation and Development (OECD)
Downloads 61
43.

Banks' Net Interest Margin and the Level of Interest Rates

Bundesbank Discussion Paper No. 16/2015
Number of pages: 26 Posted: 21 Jun 2016
Working Paper Series
Deutsche Bundesbank and Deutsche Bundesbank
Downloads 58
44.

Credit Risk Stress Testing and Copulas: Is the Gaussian Copula Better than its Reputation?

Bundesbank Discussion Paper No. 46/2015
Number of pages: 39 Posted: 21 Jun 2016
Working Paper Series
European Central Bank (ECB), Deutsche Bundesbank and Deutsche Bundesbank
Downloads 58
45.

Money and Housing: Evidence for the Euro Area and the Us

Bundesbank Series 1 Discussion Paper No. 2007,12
Number of pages: 48 Posted: 08 Jun 2016
Working Paper Series
Deutsche Bundesbank and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 58
46.

Relationship Lending: Empirical Evidence for Germany

Bundesbank Series 2 Discussion Paper No. 2007,14
Number of pages: 56 Posted: 08 Jun 2016
Working Paper Series
Deutsche Bundesbank, International Monetary Fund (IMF) and Deutsche Bundesbank
Downloads 58
47.

A Macroeconomic Reverse Stress Test

Bundesbank Discussion Paper No. 30/2015
Number of pages: 40 Posted: 21 Jun 2016
Working Paper Series
University Osnabrück, Chair of Banking and Finance and Deutsche Bundesbank
Downloads 55
48.

A Solution to the Problem of Too Many Instruments in Dynamic Panel Data GMM

Bundesbank Series 1 Discussion Paper No. 2009,31
Number of pages: 40 Posted: 08 Jun 2016
Working Paper Series
affiliation not provided to SSRN
Downloads 55
49.

Distributional Consequences of Asset Price Inflation in the Euro Area

Bundesbank Discussion Paper No. 27/2015
Number of pages: 22 Posted: 21 Jun 2016
Working Paper Series
University of Mannheim and Deutsche Bundesbank

Multiple version iconThere are 2 versions of this paper

Downloads 54
50.

Factor-Midas for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Bundesbank Series 1 Discussion Paper No. 2007,34
Number of pages: 60 Posted: 08 Jun 2016
Working Paper Series
European University Institute and Deutsche Bundesbank

Multiple version iconThere are 3 versions of this paper

Downloads 54