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  1. Corporate inequality
    role of competition and institutions
    Author: Ayyagari, Meghana; Demirgüç-Kunt, Asli; Maksimovic, Vojislav
    Published: [2024]
    Publisher:  Center for Global Development, Washington, DC

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Center for Global Development ; 690 (April 2024)
    Subjects: Unternehmen; Rendite; Mark-up Pricing; Marktstruktur; Internationaler Wettbewerb; Welt; star firm
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  2. Digitale Transformation im Bankwesen
    welche IT-Investitionen erhöhen die Eigenkapitalrentabilität und Kundenzufriedenheit?
    Author: Heinrich, Carlo Honoré; Lehrbass, Frank
    Published: [2024]
    Publisher:  MA, Akademie Verlags- und Druck-Gesellschaft mbH, Essen

    In einer panel-ökonometrischen Studie von 6 international operierenden Banken über 37 Quartale untersuchen wir vier verschiedene Digitalisierungsmaßnahmen hinsichtlich ihres Effekts auf den Return on Equity. Ein Fixed-Effects-Modell mit einem R² von... more

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    In einer panel-ökonometrischen Studie von 6 international operierenden Banken über 37 Quartale untersuchen wir vier verschiedene Digitalisierungsmaßnahmen hinsichtlich ihres Effekts auf den Return on Equity. Ein Fixed-Effects-Modell mit einem R² von 36% zeigt auf, dass der RoE bei Vorliegen einer Kreditabwicklung, die komplett online möglich ist, signifikant höher ist. Die übrigen Maßnahmen sind ohne Effekt. Mit Blick auf die Kundenzufriedenheit sind System- und Performance-Updates von zentraler Bedeutung.

     
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    Source: Union catalogues
    Language: German
    Media type: Ebook
    Format: Online
    ISBN: 9783892754381
    Other identifier:
    hdl: 10419/302920
    Series: ifes Schriftenreihe ; Band 31 (2024)
    Subjects: Internationale Bank; Bankgeschäft; Digitalisierung; Electronic Banking; Eigenkapital; Rendite; Kundenzufriedenheit
    Scope: 1 Online-Ressource (circa 52 Seiten)
  3. Rethinking Short-Term Real Interest Rates and Term Spreads Using Very Long-Run Data
    Author: Rogoff, Kenneth S.; Rossi, Barbara; Schmelzing, Paul
    Published: October 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Utilizing critical recent data advances, we analyze empirical evidence on long-run samples of short-maturity real interest rates as well as term spreads based on multi-century data. In contrast to an extensive literature on short-maturity real... more

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    Utilizing critical recent data advances, we analyze empirical evidence on long-run samples of short-maturity real interest rates as well as term spreads based on multi-century data. In contrast to an extensive literature on short-maturity real interest rates over the past few decades, we find strong and consistent evidence of trend stationarity in long horizon series, relatively fast adjustment speeds, and a paucity of structural breaks - results that we show to survive out of sample tests. The use of very long-run data offers a fresh perspective for ongoing monetary policy debates surrounding r*, and also provides a crucial missing link to reconstructing the long-run properties of term spreads. On balance and against limited post-COVID data, our evidence suggests caution on the idea of a break in short-term real interest rate behavior and instead points to elements of continuity over very long time periods. Relatedly, we show that term spreads are secularly rising while inflation volatility trends in the exact opposite direction - a finding questioning the emphasis of influential term structure models

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w33079
    Subjects: Realzins; Rendite; Kapitalmarktrendite; Zinsstruktur; International Finance; General, International, or Comparative
    Scope: 1 Online-Ressource, illustrations (black and white)
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    Hardcopy version available to institutional subscribers
  4. Inflation and Treasury Convenience
    Author: Cieślak, Anna; Li, Wenhao; Pflueger, Carolin E.
    Published: August 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Using a century of data, we show that Treasury convenience yield and inflation comove positively during the inflationary 1970s-1980s, but negatively pre-WWII and post-2000. An inflation decomposition reveals that higher supply inflation predicts... more

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    Using a century of data, we show that Treasury convenience yield and inflation comove positively during the inflationary 1970s-1980s, but negatively pre-WWII and post-2000. An inflation decomposition reveals that higher supply inflation predicts higher convenience, while lower demand inflation follows higher convenience. In our model, inflationary cost-push shocks raise the opportunity cost of holding money and money-like assets, inducing higher convenience, as in 1970s-1980s. Conversely, liquidity demand shocks drive up convenience but lower consumption demand and inflation in the model, as pre-WWII and post-2000. By linking the evidence to macroeconomic drivers, our results challenge the notion that inflation directly depresses Treasury convenience

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32881
    Subjects: Staatspapier; Öffentliche Anleihe; Inflation; Finanzkrise; Risikoprämie; Rendite; Geldpolitik; Anlageverhalten; USA; convenience yield; Financial Markets and the Macroeconomy; Central Banks and Their Policies; Financial Crises; Government Policy and Regulation
    Scope: 1 Online-Ressource, illustrations (black and white)
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  5. Movements in Yields, not the Equity Premium
    Bernanke-Kuttner Redux
    Author: Nagel, Stefan; Xu, Zhengyang
    Published: August 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity... more

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    We show that the stock market price reaction to monetary policy surprises upon announcements of the Federal Open Market Committee (FOMC) is explained mostly by changes in the default-free term structure of yields, not by changes in the equity premium. We reach this conclusion based on a new model-free method that uses dividend futures prices to obtain the counterfactual stock market index price change that results purely from the change in the default-free yield curve induced by the monetary policy surprise. The yield curve change in turn partly reflects a change in expected future short-term interest rates, as measured by changes in professional forecasts, and partly a change in the term premium. We further find that the even/odd week FOMC cycle in stock index returns is also largely due to an FOMC cycle in the yield curve rather than the equity premium

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32884
    Subjects: Rendite; Risikoprämie; Aktienmarkt; Offenmarktpolitik; Ankündigungseffekt; Zinsstruktur; USA; Monetary Policy; Asset Pricing; Trading Volume; Bond Interest Rates
    Scope: 1 Online-Ressource, illustrations (black and white)
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  6. Government debt in mature economies
    safe or risky?
    Author: Cram, Roberto Gómez; Kung, Howard; Lustig, Hanno
    Published: [2024]
    Publisher:  Stanford Institute for Economic Policy Research (SIEPR), Stanford, CA

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    Language: English
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    Series: Working paper / Stanford Institute for Economic Policy Research (SIEPR) ; no. 24, 27 (August, 2024)
    Subjects: Öffentliche Schulden; Öffentliche Ausgaben; Coronavirus; Staatspapier; Risikoprämie; Rendite; Industrieländer
    Scope: 1 Online-Ressource (circa 73 Seiten), Illustrationen
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    Prepared for Economic Policy Symposium 2024
  7. Do financial markets respond to populist rhetoric?
    Author: Çakmaklı, Cem; Demiralp, Selva; Güneş, Gökhan Şahi̇n
    Published: 2024

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    Source: Union catalogues
    Language: English
    Media type: Article (journal)
    Format: Online
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    Parent title: Enthalten in: Oxford bulletin of economics and statistics; Oxford : Wiley-Blackwell, 1973; 86(2024), 3 vom: Juni, Seite 541-567; Online-Ressource

    Subjects: Populismus; Rhetorik; Wirkungsanalyse; Zentralbank; Wechselkurs; Risikoprämie; Anleihe; Rendite; Türkei; USA; Brasilien; Kolumbien; Ungarn; Neuseeland
  8. Procyclical Stocks Earn Higher Returns
    Author: Goetzmann, William N.; Watanabe, Akiko; Watanabe, Masahiro
    Published: May 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks. We use almost a three-quarter century of real GDP growth expectations from economists' surveys to determine... more

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    We find that procyclical stocks, whose returns comove with business cycles, earn higher average returns than countercyclical stocks. We use almost a three-quarter century of real GDP growth expectations from economists' surveys to determine forecasted economic states. This approach largely avoids the confounding effects of econometric forecasting model error. The loading on the expected real GDP growth rate is a priced risk measure. A fully tradable, ex-ante portfolio formed on this loading generates a procyclicality premium that is statistically significant, economically large, long-lasting over a few years, and independent of the size, book-to-market, and momentum effects

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32509
    Subjects: Finanzmarkt; Konjunktur; Börsenkurs; Rendite; Wirtschaftsprognose; Business Fluctuations; Cycles; Financial Markets and the Macroeconomy; Asset Pricing; Trading Volume; Bond Interest Rates; Information and Market Efficiency; Event Studies; Insider Trading; Financial Forecasting and Simulation
    Scope: 1 Online-Ressource, illustrations (black and white)
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  9. The Predictive Power of the Term Spread and Financial Variables for Economic Activity across Countries
    Author: Chinn, Menzie David; Ferrara, Laurent
    Published: January 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread) as a predictor of future economic activity, defined as either recessions, or industrial production growth. In this paper, we... more

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    In recent years, there has been renewed interest in the moments of the yield curve (or alternatively, the term spread) as a predictor of future economic activity, defined as either recessions, or industrial production growth. In this paper, we re-examine the evidence for this predictor for the United States, other high-income countries, as well as selected emerging market economies (Brazil, India, China, South Africa and South Korea), over the 1995-2023 period. We examine the sensitivity of the results to the addition of financial variables that measure other dimensions of financial conditions both domestically and internationally. Specifically, we account for financial conditions indexes (Arrigoni, et al., 2022), the debt service ratio (Borio, et al., 2020), and foreign term spreads (Ahmed and Chinn, 2023). We find that foreign term spreads and the debt service ratio in many cases yield substantially better predictive power, in terms of in-sample fit using proportion of variance explained. Overall, the predictive power of the yield curve, as well as other financial variables, varies across countries, with particularly little explanatory power in emerging market economies

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: NBER working paper series ; no. w32084
    Subjects: Rendite; Zinsstruktur; Prognoseverfahren; Frühindikator; Wirtschaftsindikator; Zeitreihenanalyse; Welt; Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; Forecasting and Simulation: Models and Applications; Interest Rates: Determination, Term Structure, and Effects
    Scope: 1 Online-Ressource, illustrations (black and white)
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  10. Interdealer Price Dispersion and Intermediary Capacity
    Author: Eisfeldt, Andrea L.; Herskovic, Bernard; Liu, Shuo
    Published: September 2024
    Publisher:  National Bureau of Economic Research, Cambridge, Mass

    Intermediation capacity varies across dealers, and as a result, misallocation of credit risk reduces the risk-bearing capacity of the dealer sector and increases effective market-level risk aversion. When the efficient reallocation of credit risk... more

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    Intermediation capacity varies across dealers, and as a result, misallocation of credit risk reduces the risk-bearing capacity of the dealer sector and increases effective market-level risk aversion. When the efficient reallocation of credit risk within the dealer sector is impaired, interdealer price dispersion increases. Empirically, when interdealer price dispersion increases, bond prices decrease. Interdealer price dispersion explains a substantial portion of bond yield spread changes, the cross-section of bond returns, and the changes in the basis between bond spread and fair-value spreads. We conclude interdealer frictions reduce the risk-bearing capacity of intermediaries and are crucial for intermediary bond pricing

     
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    Source: Union catalogues
    Language: English
    Media type: Book
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    Series: NBER working paper series ; no. w32998
    Subjects: Börsenmakler; Vermittlungstätigkeit; Unternehmensanleihe; Rendite; Zinsstruktur; Theorie; Asset Pricing; Trading Volume; Bond Interest Rates; General
    Scope: 1 Online-Ressource, illustrations (black and white)
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