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Displaying results 1 to 6 of 6.

  1. On the look-out for the bear
    predicting stock market downturns in G7 countries
    Author: Friedrich, Christian; Klein, Melanie
    Published: 2009
    Publisher:  Kiel Inst. for the World Economy, Kiel

    The paper examines the informational content of a series of macroeconomic indicator variables with the intention to predict stock market downturns - colloquially also referred to as 'bear markets' - for G7 countries. The sample consists of monthly... more

    Location:
    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 119 (451)
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    The paper examines the informational content of a series of macroeconomic indicator variables with the intention to predict stock market downturns - colloquially also referred to as 'bear markets' - for G7 countries. The sample consists of monthly stock market indices and a set of exogenous indicator variables that are subject to examination, ranging from January 1970 to September 2008. The methodical approach is twofold. In the first step, a modified version of the Bry-Boschan business cycle dating algorithm is used to identify bull and bear markets from the data by creating dummy variable series. In the second step, a substantial number of probit estimations is carried out, by regressing the newly identified dummy variable series on different specifications of indicator variables. By applying widely used in- and out-of-sample measures, the specifications are evaluated and the forecasting performance of the indicators is assessed. The results are mixed. While industrial production, and money stock measures seem to have no predictive power, short and long term interest rates, term spreads as well as unemployment rate exhibit some. Here, it is clearly possible to extract some informational content even three months in advance and so to beat the predictions made by a recursively estimated constant. -- Bear Market Predictions ; Bry-Boschan ; Probit Model

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/37140
    Series: Kiel advanced studies working papers ; 451
    Subjects: Börsenkurs; Aktienindex; Prognoseverfahren; Konjunktur; Zeitreihenanalyse; Probit-Modell; G7-Staaten
    Scope: Online-Ressource (PDF-Datei: 34 S.), graph. Darst.
  2. The international transmission of euro area monetary policy shocks
    Author: Jannsen, Nils; Klein, Melanie
    Published: 2011
    Publisher:  Kiel Inst. for the World Economy, Kiel

    This paper analyzes the international transmission effects of euro area monetary policy shocks in to other western European countries, namely the United Kingdom, Sweden, Switzerland, Denmark, and Norway. For this purpose, we use a structural VAR... more

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    Staats- und Universitätsbibliothek Bremen
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Universitätsbibliothek Kiel, Zentralbibliothek
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    EWP 1
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 3 (1718)
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    This paper analyzes the international transmission effects of euro area monetary policy shocks in to other western European countries, namely the United Kingdom, Sweden, Switzerland, Denmark, and Norway. For this purpose, we use a structural VAR model of the euro area and augment it consecutively by the foreign variables of interest. We find that a monetary policy shock in the euro area leads to a largely similar change in the interest rate and in GDP in these other western European countries. The effects on their exchange rates are limited and their trade balances usually are unaffected. Our results suggest that the income absorption effect to be more important than the expenditure switching effect in the international transmission of monetary policy and that exchange rate stabilization seems to be of some concern to monetary policy makers in small open economies. -- Monetary policy ; international transmission ; euro area ; vector autoregression

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/49390
    Series: Kiel working paper ; 1718
    Subjects: Geldpolitik; Schock; Eurozone; Zins; Geldpolitische Transmission; Eurozone; Großbritannien; Schweden; Schweiz; Dänemark; Norwegen
    Scope: Online-Ressource (PDF-Datei: 42 S., 376 KB), graph. Darst.
  3. Loan pricing in internal capital markets and the impact of the two-tier system
    finance groups in Germany
    Author: Busch, Ulrike; Khayal, Nuri; Klein, Melanie
    Published: [2022]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    This paper sheds light on the functioning of internal capital markets by analysing money market transactions within the German cooperatives and savings banks finance groups. Using a unique dataset, the money market statistical reporting, this is the... more

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 12
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    This paper sheds light on the functioning of internal capital markets by analysing money market transactions within the German cooperatives and savings banks finance groups. Using a unique dataset, the money market statistical reporting, this is the first paper to explicitly analyze the determinants of loan rates and volumes in internal capital markets. We find that the functioning of internal capital markets diverges substantially from the non-group interbank money market. Head institutes lend larger amounts at lower spreads to their affiliated banks than to banks outside their internal capital markets. Our findings also suggests that relationship lending is associated with lower spreads in the unsecured market in general but it plays only a minor role in internal capital markets. This finding indicates that counterparty credit risk and information asymmetries are less relevant within internal capital markets. We find an almost full immediate pass-through of the reduction of the deposit facility rate in 2019 to internal capital markets, but not to the rest of the interbank money market. The introduction of the two-tier system led to a slight transitory increase in rates and to a persistent increase in loan volumes within internal capital markets but not in the rest of the interbank money market.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957299017
    Other identifier:
    hdl: 10419/262726
    Series: Discussion paper / Deutsche Bundesbank ; no 2022, 30
    Subjects: internal capital markets; monetary policy; interbank money market; relationship lending
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  4. Implications of negative interest rates for the net interest margin and lending of euro area banks
    Author: Klein, Melanie
    Published: [2020]
    Publisher:  Deutsche Bundesbank, Frankfurt am Main

    This paper explores the impact of low (but) positive and negative market interest rates on euro area banks' net interest margin (NIM) and its components, retail lending and retail deposit rates. Using two proprietary bank-level data sets, I find a... more

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    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 12
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    This paper explores the impact of low (but) positive and negative market interest rates on euro area banks' net interest margin (NIM) and its components, retail lending and retail deposit rates. Using two proprietary bank-level data sets, I find a positive impact of the level of the short-term rate on the NIM, which increases substantially at negative market rates. As low profitability could hamper the ability of banks to expand lending, I also investigate the impact of the NIM on new lending to the non-financial private sector. In general, the NIM is positively related to lending: When lending is less profitable, banks cut lending. However, at negative rates this effect vanishes. This finding suggests that banks adjusted their business practices when servicing new loans, thereby contributing to higher new lending in the euro area since 2014.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783957296795
    Other identifier:
    hdl: 10419/215403
    Series: Discussion paper / Deutsche Bundesbank ; no 2020, 10
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  5. Implications of negative interest rates for the net interest margin and lending of euro area banks
    Author: Klein, Melanie
    Published: 2020
    Publisher:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    VS 546
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BIS working papers ; no 848 (March 2020)
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  6. Art/histories in transcultural dynamics
    narratives, concepts, and practices at work, 20th and 21st centuries
    Contributor: Bachmann, Pauline (Herausgeber); Klein, Melanie (Herausgeber); Mamine, Tomoko (Herausgeber); Vasold, Georg (Herausgeber)
    Published: 2017
    Publisher:  Wilhelm Fink Verlag, Paderborn ; Brill, Leiden

    Based on the papers presented at an international conference at the Freie Universität Berlin in 2013, the publication focuses on problems and challenges of art history’s epistemic frameworks. Following four guiding themes – narrations, venues,... more

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    Universität Mainz, Zentralbibliothek
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    Based on the papers presented at an international conference at the Freie Universität Berlin in 2013, the publication focuses on problems and challenges of art history’s epistemic frameworks. Following four guiding themes – narrations, venues, concepts and practice – the contributions address the aspect of mobility of aesthetic objects and their contextualisation from different analytical perspectives. The essays examine complex processes of transcultural negotiations that are set in motion by »travelling« objects, artists, ideas and institutions in order to trace and analyse historical conditions that generated specific frameworks with their respective art historical narratives and artistic production.

     
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    Source: Union catalogues
    Contributor: Bachmann, Pauline (Herausgeber); Klein, Melanie (Herausgeber); Mamine, Tomoko (Herausgeber); Vasold, Georg (Herausgeber)
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783846759394
    Other identifier:
    RVK Categories: LH 61055 ; LH 11800
    Series: Berliner Schriften zur Kunst
    Schöningh and Fink Literature and Culture Studies E-Books, Collection 2013-2017, ISBN: 9783657100064
    Subjects: Ästhetik; Kunstwissenschaft; Außereuropäische Kunst
    Scope: 1 Online-Ressource
    Notes:

    International conference proceedings

    Includes index

    "This volume gathers together fourteen essays originally presented at the conference 'Questioning Narratives, Negotiating Frameworks. Art/Histories in Transcultural Dynamics, Late 19th to Early 21st Centuries,' which was held from 5 to 7 December 2013 at the Department of Art History at Freie Universität Berlin, and at the Ethnologisches Museum and Museum für Kunst in Berlin."--p.[7]