Suchergebnisse

Die Sparer in Deutschland zeigten sich bis Anfang 2020 durch die Niedrigzinspolitik der Europäischen Zentralbank verunsichert. Vor dem Hintergrund einer anhaltenden Niedrigzinsphase stellt sich die Frage, wie sich diese bisher auf die Entwicklung des Geldvermögens der Haushalte ausgewirkt hat. Dazu werden drei unterschiedliche geldpolitische Perioden verglichen: die Zeit vor der globalen Finanzmarktkrise im Jahr 2008, die Zeit während der globalen Finanzmarktkrise und der Krise im Euroraum in den Jahren 2011 und 2012 einschließlich der unmittelbar folgenden Stagnationsjahre in den damaligen Krisenländern und die Zeit des langen Aufschwungs nach den beiden Krisen bis zum Jahr 2019, als die Zinsen trotz Erholung niedrig blieben und sogar sanken. Es zeigt sich, dass in Deutschland die Geldvermögen in der Zeit nach der Krise im Euroraum leicht stärker anstiegen als im Vorkrisenzeitraum. In der Vergleichsgruppe der Länder Belgien, Frankreich, Luxemburg, den Niederlanden, Österreich und Finnland fiel das Wachstum der Geldvermögen hingegen schwächer aus als im Vorkrisenzeitraum. Die Zunahme der Geldvermögen in Deutschland ist nicht nur auf die gute Entwicklung des Aktienmarkts zurückzuführen. Denn Bargeld und Bankeinlagen sind gerade im Nachkrisenzeitraum stark angestiegen. ; Savers in Germany have been unsettled by the low interest rate policy of the European Central Bank. This prompts the question as to how such a sustained phase of low interest rates has affected the development of household financial assets. To provide an answer, three different periods of monetary policy are compared: firstly, the period before the global financial market crisis in 2008; secondly, the period during and immediately after both this crash and the Eurozone crisis of 2011/2012, which included several years of stagnation in the countries affected; and, thirdly, the long period of upswing after the two crises, when, despite the recovery, interest rates not only remained low but actually fell. The comparison shows that financial assets in Germany increased slightly more after the Eurozone crisis than in the pre-crisis period. By contrast, in the comparator group consisting of Belgium, France, Luxembourg, the Netherlands, Austria and Finland growth in financial assets was weaker than before the crises. The increase in household financial assets in Germany cannot be ascribed solely to the positive development of the stock market, since cash and bank deposits have also risen sharply, especially in the post-crisis period.

The study of non-performing loans (NPLs) is highly relevant when looking for a solution to the ongoing structural weaknesses in the Euro area banking sectors, especially in light of the planned completion of the banking union and the introduction of a European Deposit Insurance System (EDIS). While the aggregate data on non-performing loans shows some improvements, it cannot be ruled out that problems within large and systemically important banks may persist. For the quantification of these risks, the analysis of NPLs must be based on individual bank data. In order to gain a greater insight, I therefore built a dataset of 76 large and systemically relevant banks in the Euro area, which cover 74.6 percent of the non-performing loans in the Euro area. Although data points had to be imputed with the help of other data sources, the dataset provides a helpful impression of the ongoing problems with NPLs. The analysis reveals that banks with an NPL ratio of 25 percent or higher represent 10.5 percent of the systemically important banks studied here. Moreover, close to 20 percent of the outstanding amounts of the NPLs concentrates on banks with an NPL ratio of 25 percent or higher. When it comes to the dynamics of the NPLs, the decline in the aggregate NPL ratio of the Euro area was mainly driven by banks with moderate NPL ratios that reduced their NPLs further, while banks with higher NPL ratios contributed negatively to the aggregate NPL ratio. In order to demonstrate the extent to which NPLs can be reduced, I ran several simulations with the dataset. A reduction of NPLs in the amount of the loan-loss provisions of the banks is simulated first. It can be seen that the share of banks with an NPL ratio of only up to three percent could increase from 31.6 percent to 53.9 percent. However, the divide in the banking sector also shows up when it comes to write-offs: banks with a low NPL ratio can easily reduce it even further, while banks with a high NPL ratio have a hard time in reducing it significantly. The problem becomes even more severe at the long end of the NPL distribution. Although the number of banks with an NPL ratio of more than 25 percent can be reduced from 10.5 percent to 3.9 percent, there still remains two large with an NPL ratio of more than 25 percent. I also simulated an additional write-off together with recapitalisation measures with the aim of finding banks with NPL ratios of 3 percent or lower and equity capital ratios of at least 7 percent. The recapitalisation costs of the banks in Cyprus would then amount to 2.4 percent of the GDP for each year from 2019 to 2022, while the yearly recapitalisation of the Greek banks would amount to 2.0 percent of the Greek GDP. In Italy, yearly recapitalisation measures would amount to 0.8 percent of the Italian GDP. Less exposed would be Spain with yearly recapitalisation costs of 0.4 percent of the GDP. I conclude from these results, that there are still significant risks in the national banking sectors of the Eurozone, which implies the danger of rendering a common Euro area Deposit Insurance System into a transfer mechanism. If neither the governments nor the private sectors were willing to bear the costs of reducing NPLs and recapitalising their banks, it would be better to abandon the idea of a common deposit insurance or to postpone it far into the future in the hope that banks will grow out of their NPL problems.

In the IW Financial Expert Survey for the second quarter of 2018 the surveyed experts predict, on average, a steeper yield curve, i.e. a larger increase in the long-term than in the short-term interest rate. Moreover, the average forecasts indicate higher stock market indices, a depreciation of the Euro vis-à-vis the US Dollar, and lower oil prices by the end of the third quarter of 2018. However, despite the expectation of higher interest rates, the short-term interest rate is predicted to remain in negative territory. The 3-month Euribor is, on average, expected to reach -0.31 percent at the end of the third quarter of 2018, while the yield on German government bonds with 10-year maturity is expected to reach 0.81 percent by then. However, the experts do not expect the European Central Bank (ECB) to change the forward guidance of its monetary policy significantly. Stock markets are, on average, expected to increase by 9.2 percent (Stoxx 50) and 8.4 percent (DAX 30) until the end of the third quarter of 2018. During that same period, the experts predict the Euro to depreciate by 2.5 percent vis-à-vis the US Dollar, while oil prices are expected to fall by 7.8 percent. The expectation of an increase in the long rate and a slight increase in the short rate, together with the expected delayed monetary tightening of the ECB, hints at a financial market outlook characterised by a cautious approach to monetary policy normalisation. In this cautious approach, the ECB lets the market determine the first increases in long-term interest rates before it stops intervening at the long end of the yield curve, while keeping the short end of the yield curve lower. This cautious approach to monetary policy normalization is reflected in the projections of the yield curve. Moreover, the experts expect that the development of the Euro and the development of oil prices as well as the development of the stock market will support the ECB's cautious approach to monetary normalization instead of forcing a faster exit from low interest rates. The experts do not expect the ECB to change its forwards guidance in the forthcoming Governing Council meeting. The evaluation of the forecasting performance of the latest forecasts yields the result that Commerzbank and DZ Bank performed best in predicting trends within the long-term ranking, which covers all forecasts from March 2015 to March 2018. DekaBank and Deutsche Bank performed best in the short-term ranking, which covers the surveys for the third and the fourth quarter of 2017 for the 3-months ahead prediction and the survey for the third quarter of 2017 for the 6-month forecasts. When it comes to point prediction, in the long-term evaluation of the period running from March 2015 to March 2018, the experts of National-Bank performed best in predicting all indicators, while the Postbank experts produced the most precise point forecasts for all indicators for the short-term evaluation period.

The IW Financial Expert Survey for the first quarter of 2018 revealed that the surveyed experts predict, on average, higher interest rates and stock market indices, a depreciation of the Euro vis-à-vis the US Dollar, and lower oil prices by the end of the first half of 2018. However, despite the expectation of higher interest rates, the short-term interest rate is predicted to remain in negative territory. Moreover, the experts expect the long-term interest rate to increase more compared to the short-term interest rate, which indicates a steeper yield curve. The 3-month Euribor is, on average, expected to reach -0.30 percent at the end of the second quarter of 2018, while the yield on German government bonds with 10-year maturity is expected to reach 0.60 percent by then. However, the experts do not expect the European Central Bank (ECB) to end net purchases of government bonds in the first half of 2018. The majority of the experts believe that the ECB will end net purchases at the end of 2018. No experts expect the ECB to increase its policy interest rates in 2018 or the first half of 2019. Instead, the majority of experts predict the first interest rate hike for the end of the second quarter of 2019. Some experts even predict a later date. Stock markets are, on average, expected to increase by 5.2 percent (Stoxx 50) and 4.8 percent (DAX 30) during the first half of 2018. During that same period, the experts predict the Euro will depreciate by 2.7 percent vis-à-vis the US Dollar, while oil prices are expected to fall 10.5 percent. The expectation of an increase in the long rate and a slight increase in the short rate, together with the expected delayed monetary tightening of the ECB, hint at a financial market outlook characterised by a cautious approach to monetary normalisation. In this cautious approach, the ECB lets the market determine the first increases in long-term interest rates before it stops in-tervening at the long end of the yield curve, while keeping the short end of the yield curve lower. This approach will prevent an inverted yield curve that would endanger financial stability. The experts' prediction that the ECB will first stop net purchases of government bonds and then lift its key policy interest rates would be consistent with the outlook of a cautious approach to mon-etary normalisation by the ECB. The evaluation of the forecasting performance of the latest forecasts indicates that Com-merzbank and Postbank performed best in predicting trends, while the experts from DZ Bank produced the most precise point forecasts. In the long-term evaluation of the period running from Dec 29 2014 to Dec 29 2017, the DZ Bank experts performed best in predicting trends, while the National Bank experts produced the most precise point forecasts.

The experts of the IW Financial Expert Survey predict a steeper yield curve with a larger increase in long-term than in short-term interest rates by the end of 2018. Moreover, the average forecasts indicate higher stock market indices, a mild depreciation of the Euro vis-à-vis the US-Dollar, but a larger drop in oil prices by the end of the fourth quarter of 2018. However, despite the expectation of higher interest rates, the short-term interest rate is predicted to remain in negative territory. The 3-month Euribor is, on average, expected to reach -0.31 percent at the end of the fourth quarter of 2018, while the yield on German government bonds with 10-year maturity is expected to reach 0.75 percent by then. Stock markets are, on average, expected to increase by 6.8 percent (Stoxx 50) and 9.4 percent (DAX 30) until the end of the year 2018. During that same period, the experts predict a mild depreciation of the Euro by 0.89 percent vis-à-vis the US Dollar, while oil prices are expected to drop by 9.0 percent. The expectation of an increase in the long rate and a slight increase in the short rate, together with the expected delayed monetary tightening of the ECB, hint at a financial market outlook characterised by a cautious approach to monetary normalisation. In this cautious approach, the ECB lets the market determine the first increases in long-term interest rates before it stops intervening at the long end of the yield curve, while keeping the short end of the yield curve lower. This cautious approach to monetary policy normalization is reflected in the projection of the yield curve. Moreover, the experts expect that the development of the Euro and the development of oil prices as well as the development of the stock market will support the ECB's cautious approach to monetary normalization instead of forcing a faster exit from low interest rates. Each quarter we ask the participants alternating questions on current topics. At this time, we were interested in their opinion on the proposed Euro area reforms. The majority of the surveyed experts is of the opinion that a European monetary fund is needed in the Euro area. Moreover, a majority of the same size thinks that macroprudential policies are worthwhile for stabilizing the Euro area. In addition to that, the same majority sees the need for insolvency proce-dures for states. A small number of experts only sees a European finance minister and the introduction of sovereign-bond-backed securities as worthwhile. These proposals have the highest number of experts who think of them as counter-productive. The evaluation of the forecasting performance of the latest forecasts yielded the result that Deutsche Bank performed best in predicting trends in the long-term ranking, which covers all forecasts from March 2015 to March 2018. The experts of Deutsche Bank also performed best in the short-term ranking, which covers the surveys from December 2017 and March 2018 for the 3-months ahead prediction and the survey for December 2017 for the 6-month forecasts. When it comes to point prediction, in the long-term evaluation of the period running from March 2015 to March 2018, the experts of National-Bank performed best in predicting all indicators, while the Commerzbank experts produced the most precise point forecasts for all indicators for the short-term evaluation period.

The experts of the IW Financial Expert Survey predict a steeper yield curve with a larger increase in long-term than in short-term interest rates by the end of the first quarter of 2019. Moreover, the average forecasts indicate higher stock market indices, a mild depreciation of the Euro vis-à-vis the US-Dollar with a larger appreciation in the first quarter of 2019. Moreover, the experts predict a larger drop in oil prices by the end of the first quarter of 2019. However, despite the expectation of higher interest rates, the short-term interest rate is predicted to remain in negative territory. The 3-month Euribor is, on average, expected to reach -0.27 percent at the end of the first quarter of 2019, while the yield on German government bonds with 10-year maturity is expected to reach 0.75 percent by then. Stock markets are, on average, expected to increase by 5.5 percent (Stoxx) and 7.6 percent (DAX) by the end of the first quarter of 2019. During that same period, the experts predict a mild depreciation of the Euro by 0.4 percent vis-à-vis the US Dollar by the end of the year followed by an appreciation of 1.6 percent by the end of the first quarter of 2019. In addition to that, the experts predict oil prices to drop by 7.3 percent in the forthcoming six months. The expectation of an increase in the long rate and a slight increase in the short rate hints at a financial market outlook characterised by a cautious approach to monetary normalisation. In this cautious approach, the ECB lets the market determine the first increases in long-term interest rates before it stops intervening at the long end of the yield curve, while keeping the short end of the yield curve lower. This cautious approach to monetary policy normalization is reflected in the projection of the yield curve. Moreover, the experts expect that the development of the Euro and the development of oil prices as well as the development of the stock market will support the ECB's cautious approach to monetary normalization instead of forcing a faster exit from low interest rates. These expectations are in line with the experts' view on the ECB's forward guidance. Most experts expect the ECB to state at its December 2018 press conference that it expects inflation to converge towards the policy objective of an inflation rate of lower, but close to 2 percent. Moreover, they expect the ECB to state that monetary policy stimulus is still necessary for reaching its policy target. The experts agree that the key policy interest rates will remain at their current levels at least until the summer of 2019 as highlighted by the ECB and most of the surveyed experts expect the ECB to end net asset purchases by the end of the year, but also to reinvest the principle payments from maturing securities. The evaluation of the forecasting performance of the latest forecasts yielded the result that Commerbank and Hamburger Sparkasse performed best in predicting trends in the long-term ranking, which covers all forecasts from June 2014 to June 2018. When it comes to point prediction, in the long-term evaluation of the period running from June 2014 to June 2018, the experts of National-Bank performed best in predicting all indicators.

Für den IW Financial Expert Survey werden quartalsweise die Volkswirte von Banken und Versicherungen zu ihrer Einschätzung für die kommenden 3 bzw. 6 Monate befragt. Die Auswertung der Prognosen für das 3. Quartal 2016 zeigt, dass die Experten bis zum Jahresende 2017 im Schnitt von höheren Zinsen, steigenden Aktienkursen, einer Abwertung des Euro gegenüber dem US-Dollar und steigenden Ölpreisen ausgehen. Für die Geldpolitik der europäischen Zentralbank erwarten sie in diesem und im kommenden Jahr eine Fortführung des geldpolitischen Kurses mit einem Hauptrefinanzierungssatz von 0,0 Prozent und einem Einlagensatz von -0,4 Prozent. Zudem erwarten die Prognostiker eine Fortführung des Anleihenankaufprogramms in geringerem Umfang über das Jahr 2017 hinaus. Bei der Auswertung der Prognosegüte aller drei- und sechs-Monatsprognosen der befragten Experten für den Zeitraum vom vierten Quartal 2014 bis zum zweiten Quartal 2017 erzielten die Prognostiker der DZ Bank mit 66,7 Prozent richtigen Vorhersagen den ersten Platz, gefolgt von den Experten der Commerzbank (63,5 Prozent) und der Hamburger Sparkasse (62,7 Prozent). Bester Punktprognostiker ist die National-Bank, gefolgt von der Commerzbank und der Bayerischen Landesbank.

After a period of deepening financial integration, the financial crisis triggered a fragmentation of Europe's capital markets along national lines. Financial integration was prone to sudden stops and capital reversals because cross-border capital flows predominantly consisted of short-term debt flows. In this article, I argue that a Capital Markets Union, which aims at promoting financial integration by means of harmonization and common standards, would not be sufficient to reach its goals. In order to lessen the proneness to capital reversals, the new framework for capital markets should promote cross-border equity holdings rather that short-term debt flows. For ensuring integrated and stable capital markets, the EU needs a single capital market supervisor at the EU-level with a focus on non-bank financial investors. This supervisor should also monitor systemically important markets, like the government bond market, from which country-specific risks can spillover to other segments of the capital market. ; Nach einer längeren Periode zunehmender Finanzmarktintegration hat die Finanzkrise zu einer Fragmentierung der europäischen Kapitalmärkte geführt. Die Finanzmarktintegration war anfällig für plötzliche Umkehr der Kapitalströme, weil die grenzüberschreitenden Kapitalflüsse hauptsächlich aus kurzfristigen Verbindlichkeiten bestanden. In diesem Artikel argumentiere ich, dass eine Kapitalmarktunion, die das Ziel der Finanzmarktintegration durch Harmonisierung und gemeinsame Standards erreichen möchte, nicht ausreicht. Um die Anfälligkeit gegenüber einer Umkehr der Kapitalströme zu erreichen, müssen die neuen Rahmenbedingungen für die Kapitalmärkte grenzüberschreitende Eigenkapitalinvestitionen fördern anstelle von kurzfristiger Verschuldung. Um integrierte und stabile Kapitalmärkte zu erhalten, benötigt die EU eine gemeinschaftliche Kapitalmarktaufsichtsbehörde auf der EU-Ebene, welche einen Fokus auf die Nicht-Bank-Investoren legt. Diese Aufsichtsbehörde sollte zudem auch systemrelevante Märkte, wie den Markt für Staatsanleihen, überwachen, von welchen länderspezifische Risiken zu anderen Segmenten des Kapitalmarktes übergehen können.

Das Umfeld niedriger Zinsen ist weniger auf die Geldpolitik, sondern mehr auf globale Trends in der Investitionsnachfrage und in der Sparneigung sowie einen krisenbedingten Rückgang der Investitionen zurückzuführen. Mittelfristig kann die Überwindung der Bilanzrezession zu höheren Investitionen und darüber zu einem höheren Zinsniveau führen. Ein höherer natürlicher Realzins würde es den Zentralbanken ermöglichen, ihre Leitzinsen zu erhöhen, ohne die wirtschaftliche Erholung zu bremsen. Ein höherer natürlicher Realzins ist auch für die Wirksamkeit der Geldpolitik förderlich, um die Probleme durch das Erreichen der Nullzinsgrenze in Zukunft seltener auftreten zu lassen. Dies macht zudem Strukturreformen erforderlich, die die Auswirkungen der demografischen Entwicklung auf die Ersparnis und den natürlichen Realzins abmildern. ; The low interest rate environment is less due to monetary policy and more due to global trends in investment and savings as well as a crisis-induced reduction in investment. Finishing the balance sheet recession can lead to a higher interest rate level in the medium-run through higher investment. A higher natural real interest rate would enable central banks to lift their policy interest rates without hindering economic recovery. A higher natural real interest rate level would also foster the efficacy of monetary policy by making future problems arising from the zero lower bound less frequent. For this, structural reforms, which dampen the effects of demography on savings and on the natural real interest rate, are needed.

Italy's banks are struggling under high amounts of non-performing loans on their balance sheets and the Italian government is fighting with the European Commission over putting 50 billion Euro of problem loans into a bad bank, which needs funding of 10 billion Euro with public money. Calculations of the Cologne Institute for Economic Research reveal that banks need to be recapitalised with additional 21.7 billion Euro under this plan.

Die Krise im Euroraum zeigte erhebliche Schwachstellen in der Architektur der Währungsunion auf. So wurde die gemeinsame Geldpolitik nicht durch eine gemeinsame Bankenaufsicht ergänzt. Diese Aufsichtslücken ermöglichen im Verbund mit einer nicht ihrem Risiko entsprechenden Eigenkapitalunterlegung von Staatsanleihen eine zu starke Verflechtung zwischen Bankschulden und Staatsschulden und damit die Gefahr einer systemischen Bankenkrise. Ergänzend zu dem kurzfristigen Krisenmechanismus ESM ist eine Bankenunion als langfristiges Rahmenwerk zur Vervollständigung der europäischen Währungsunion geplant. Das IW Köln bewertet die Vorschläge der Europäischen Kommission zur Bankenunion und macht einen alternativen Vorschlag, bei dem der vorgeschlagene gemeinsame Abwicklungsfonds durch ein Europäisches System der Abwicklungsfonds ersetzt wird. Hierbei entscheidet der Grad der Systemrelevanz einer Bank darüber, ob ihre Abwicklung aus einem oder mehreren nationalen Fonds oder aber aus dem europäischen Abwicklungsfonds finanziert wird. Hierdurch kann die Abwicklung von Banken finanziert werden, ohne dass es automatisch zu einer Vergemeinschaftung von Kosten und Verlusten kommt. Zudem entwickelt das IW Köln einen Zeitplan für die Umsetzung der Bankenunion. Dieser sieht eine Quarantänezeit für Banken vor, bei denen der Asset Quality Review Altlasten aufdeckt, welche aber noch eine Chance auf Erholung haben, sofern sie Restrukturierungspläne vorlegen können, die die EZB genehmigen muss. Während der Quarantänezeit stehen diese Banken unter besonderer Beaufsichtigung. Abgewickelt werden müssen sie jedoch, wenn der Restrukturierungsplan nicht genehmigt wird oder aber die Restrukturierungsziele nicht erreicht werden.

This dissertation contains applications of agent-based financial market models and nonlinear econometric methods in financial economics. The first part deals with the analysis of the effectiveness of currency transaction taxes within financial market models with traders with heterogeneous investment horizons who use fundamental and trend-chasing trading rules to determine their demands for foreign currency. The analysis comes to the result that small taxes levied on currency transactions have the potential to reduce mispricings by crowding out short-term traders and destabilizing trend-extrapolating trading rules. However, mispricings increase for larger tax rates, since their harm the stabilizing fundamental trading rules, too. The second part deals with the econometric estimation of speculative dynamics. I find empirical evidence for similar speculative dynamics as implied by the agent-based financial market model of Lux (1995).

Der rasche Verfall der Hauspreise in den USA führte weltweit zu der schwersten Rezession seit der Großen Depression Anfang der 1930er-Jahre. Offensichtlich bildete sich seit Ende der 1990er-Jahre ein nicht von Fundamentalfaktoren gedeckter Preisanstieg in den USA. Spekulationsblasen entstehen generell in dem Glauben an nachhaltig steigende Vermögenspreise und durch koordiniertes Verhalten der Wirtschaftssubjekte. Externalitäten an den Vermögensmärkten, wie Informationskaskaden und Payoff-Externalitäten, führen zu sich selbst erfüllenden Erwartungen und wirken als Verstärker. Den Grundstein für Spekulationsblasen legen eine zu expansive Geldpolitik und eine nicht effiziente Kapitalmarktordnung. Dadurch wird eine allzu günstige Kreditaufnahme ermöglicht. Bei einer verantwortlicheren Kreditvergabe würden diese Externalitäten eine geringere Rolle spielen, und die Gefahr von Vermögenspreisblasen wäre geringer.