Securitization and systematic risk in European banking: Empirical evidence

Using a unique dataset of 592 cash and synthetic securitizations issued by 54 banks from the EU-15 plus Switzerland over the period from 1997 to 2007 this paper provides empirical evidence that credit risk securitization has a positive impact on the increase of European banks’ systematic risk. Baseline results hold when comparing estimated beta coefficients with a control group of similar non-securitizing banks. Building several sub-samples we additionally find that (a) the increase in systematic risk is more relevant for larger banks that repeatedly engage in securitization, (b) securitization is more important for small and medium financial institutions, (c) banks have a higher incentive to retain the larger part of credit risk as a quality signal at the beginning of the securitization business in Europe, and (d) the overall risk-shifting effect due to securitization is more distinct when the pre-event systematic risk is low.     

Wechselwirkungen von Finanzkrise und Rechnungslegung

Praxis / MagazinTermine

Termine     

The effect of the car-parazzi system on traffic accidents in Korea

In 2001 and 2002, the Korean government rewarded around $3 to civilians who photograph and report violations of traffic rules. This so-called ‘car-parazzi system’ was such a success with well over 4 million cases reported until its abolition. Our empirical results found that the car-parazzi system was much effective in significantly reducing the death tolls by traffic accidents.     

How Does the Minimum Wage Affect Firm Investments in Fixed and Human Capital? Evidence from China

This paper empirically analyzes the impact of Chinese minimum wage regulations on the firm decision to invest in physical and human capital. We exploit the geographical and inter‐temporal variations of county‐level minimum wages in a panel data set of all state‐owned and all above‐scale non‐state‐owned Chinese firms covering the introduction of the new Chinese minimum wage regulations in 2004. In our basic regressions including all Chinese firms, we find significant negative effects of the minimum wage on human capital investment rates and no overall effects on fixed capital investment rates. When grouping firms by their ownership structure, we find that these results hold for most firms. Foreign‐owned firms are an exception to some extent, because the likelihood that they invest in human capital has not decreased in response to the policy.     

On the Incentive Effects of Sample Size in Monitoring Agents – A Theoretical and Experimental Analysis

When agents compete for a bonus and their productivity in each of several possible occasions depends stochastically on (constant) effort, the number of times this is checked to assign the bonus affects the level of uncertainty in the selection process. Uncertainty, in turn, is expected to increase the effort made by competing agents (Cowen and Glazer, 1996; Dubey and Haimanko, 2003; Dubey and Wu, 2001). Theoretical predictions are derived and experimental evidence is collected for two competing agents, with the bonus awarded to that agent who outperforms the other. Sampling occasions (1 or 3), cost of production (high or low), cost symmetry (asymmetric or symmetric), and piece‐rate reward are manipulated factorially to test the robustness of the effects of uncertainty. For control, a single‐agent case is included. Results indicate that, for tournaments, greater uncertainty does indeed lead to greater than expected effort and lower average variable costs.     

Liberalization of Opening Hours with Free Entry

Abstract. This paper studies competition in prices and opening hours in a model with free entry. It is shown that under free competition market failures arise: Entry is excessive and opening hours are under‐provided. The larger the demand elasticity, the larger market failures are going to be. Restrictions on opening hours aggravate this failure. We analyze the impact of a liberalization of opening hours. The model predicts that prices will remain constant in the short run but increase in the long run. Concentration in the retail sector will rise. Additionally, employment in the retail sector increases.     

A Pre-purchase Product Trial of a Monopolist with Multiple Products

For the heterogeneous consumers who do not know their individual utilities from a new product, a pre-purchase product trial would be helpful. We found out that a monopoly firm with two similar products would have a strong incentive not to allow a pre-purchase product trial, even though it is socially optimal to allow it. Furthermore, it is more likely for a monopoly firm with a pre-purchase product trial policy to introduce a new product to the market when introducing a new product is socially optimal.     

The European Union and Kaliningrad: Taking the Low Road

there is no abstract     

The effects of cognitive ability and high school quality on college entry decisions: nonparametric estimation of parameters of interest

The decisions to attend college are analysed and nonparametric predictions compared to those obtained from the widely used logit model. The impacts of measured cognitive ability and proxies for high school quality on the decisions to attend college are examined for a sample of white and black males and females from the USA. Two different parameters of interest which isolate the effects of ability and high school quality on college entry decisions are described and estimated by ‘integrating out’ the effect of other covariates. It is found that measured cognitive ability is an extremely important determinant of college entry for all race and gender groups. At the same point in the ability distribution, blacks are more likely to select into college than whites, and females more likely than males of the same racial group. Proxies for high school quality such as teacher education, student teacher ratios, school enrolment and library size are shown to have little or no effects on the likelihood of college entry for all race and gender groups. Further, predictions obtained from the flexible nonparametric analysis are found to be quite similar to those obtained from the logit model, suggesting that simpler fully parametric binary choice models perform quite well as modelling college entry decisions.