Wirtschaftswissenschaftliche Forschung

Commodities and the Macroeconomy

Numeracy and the quality of on-the-job decisions: Evidence from loan officers


We examine how the numeracy level of employees influences the quality of their on-the-job decisions. Based on an administrative dataset of a retail bank we relate the performance of loan officers in a standardized math test to the accuracy of their credit assessments of small business borrowers. We find that loan officers with a high level of numeracy are more accurate in assessing the credit risk of borrowers. The effect is most pronounced during the pre-crisis credit boom period when it is arguably more difficult to pick out risky borrowers.

So gelingt die optimale Zusammensetzung eines VR


Ein effektiver Verwaltungsrat bringt KMU weiter. Wichtig ist aber die richtige Zusammensetzung des VR. Welches Know-how muss das Gremium mitbringen? Welche Rollen sollten enthalten sein? Was ist die richtige Grösse? Diese Fragen heisst es, frühzeitig zu klären.

Mehrwert durch einen externen Verwaltungsrat


Ein externer Verwaltungsrat reduziert die Betriebsblindheit in einem familiengeführten KMU und hilft sich auf die wichtigen Themen zu konzentrieren. Neben den grossen Chancen gibt es einige Voraussetzungen, damit ein externer VR in KMU auch seine Schlagkraft entfalten kann.

Deposit Withdrawals from Distressed Banks: Client Relationships Matter


We study retail deposit withdrawals from commercial banks which were
differentially exposed to distress during the 2007-2009 financial crisis. We show that the propensity of households to withdraw deposits increases with the severity of bank distress. Withdrawal risk is, however, substantially mitigated by strong bank-client relationships. Considering the most distressed bank in our sample, 23 percent of its clients shifted deposits away from the bank during the crisis. Our estimates suggest that this withdrawal risk is eliminated if a client banked exclusively with this financial institution before the crisis, and is more than halved if the client had a mortgage with this bank. Our findings provide empirical support to the Basel III liquidity regulations which emphasize the role of well-established client relationships for the stability of bank funding.

Credit booms and busts in emerging markets. The role of bank governance and risk management


We investigate to what extent corporate governance and risk management mitigate the involvement of banks in credit boom and bust cycles. We study a unique, hand-collected dataset covering 156 banks from Central and Eastern Europe during 2005–2012. We document that stronger risk management is associated with more moderate pre-crisis credit growth but not with fewer credit losses in the crisis. With respect to bank governance, we find that a higher share of foreign members on the supervisory board is associated with less rapid credit growth in the pre-crisis period and a lower level of credit losses during the crisis period.

Spatial Linkages in Returns and Volatilities among U.S. Regional Housing Markets


This article investigates spatial linkages in returns, idiosyncratic risks and volatilities across 19 U.S. regional housing markets. Using Case & Shiller housing price indices from 1995 through 2009, we find that interconnections across markets can be "wider" and "stronger" than would normally be expected. They are "wider" because, in addition to geographic closeness, economic proximity is also an important source of influence; they are "stronger" because of the significant contagion effects during the 2007-2009 subprime and financial crises. The increased comovement and interdependence, especially among more geographically diverse regions with similar economic conditions, may help explain the failure of geographic portfolio diversification strategies.

The Predictive Power of Anisotropic Spatial Correlation Modeling in Housing Prices


This paper develops a method to capture anisotropic spatial autocorrelation in the context of the simultaneous autoregressive model. Standard isotropic models assume that spatial correlation is a homogeneous function of distance. This assumption, however, is oversimplified if spatial dependence changes with direction. We thus propose a local anisotropic approach based on non-linear scale-space image processing. We illustrate the methodology by using data on single-family house transactions in Lucas County, Ohio. The empirical results suggest that the anisotropic modeling technique can reduce both in-sample and out-of-sample forecast errors. Moreover, it can easily be applied to other spatial econometric functional and kernel forms.

A Higher-Moment CAPM of Korean Stock Returns


The traditional Capital Asset Pricing Model (CAPM) developed by Sharpe, Lintner and Mossin is based on the strong assumption of normally distributed returns among other restrictions. However, especially in emerging stock markets, returns often deviate from normality, even though the series are of lower frequency. This paper extends upon the traditional framework of the expected equilibrium return of Korean stocks by incorporating higher order moments in order to explain their risk-return characteristics. Empirical evidence shows that a higher-moment CAPM increases the explanatory power of the return generating process. Particularly, in up-market phases, where the return on the market portfolio exceeds the risk-free interest rate, expected return, covariance, co-skewness and co-kurtosis are related.

What Did All the Money Do? On the General Ineffectiveness of Recent West German Labour Market Programmes


We provide new evidence on the effectiveness of West German labour market programmes by evaluating training and employment programmes that have been conducted 2000-2002 after the first large reform of German labour market policy in 1998. We employ exceptionally rich administrative data that allow us to use microeconometric matching methods and to estimate interesting effects for different types of programmes and participants at a rather disaggregated level. We find that, on average, all programmes fail to improve their participants' chances of finding regular, unsubsidised employment. Rather, participants accumulate 2-13 more months of unemployment than nonparticipants over the 2.5 years following programme start, which, in addition to direct programme costs, induces net costs in terms of benefit payments and wage subsidies amounting to, on average, 1500-7000 EUR per participant. However, we show that there is some scope for improvements in mean employment rates as well as potential for considerable cost savings by a reallocation of participants and nonparticipants to the different programmes.
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