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During the past two decades 130 of the 182 IMF member countries have experienced serious problems in their banking sectors or an outright banking crisis. Among the stylized facts about these crises are their often systemic nature, a pronounced boom-bust cyde and substantial financial involvement by the government in the resolution process. This paper tries to tie these features together in a model of banks' herding behavior. Most existing models of herding behavior can explain the similarity of actions taken by different agents but do not necessarily imply excessive riskiness of these actions. On the other hand, many models that try to explain excessive risk-taking do not contain any incentive for herding. This paper develops astate-preference model of simultaneous herding and excessive risktaking. Thus, the model can help in understanding the frequency as weIl as the systemic nature ofbanking crises . ; Während der letzten zwei Jahrzehnte haben 130 der 182 IWF-Mitgliedsländer ernsthafte Probleme in ihren Bankensystemen bis hin zu ausgewachsenen Bankenkrisen erfahren. Typische Merkmale dieser Krisen sind U.a. deren systemischer Charakter, ein ausgeprägtes "Boom-Bust" -Verlaufsmuster , sowie ein erhebliches fmanzielles Engagement der Regierung in der Krisenabwicklung. In diesem Aufsatz wird versucht diese Kriesencharakteristika in einem Modell des Herdenverhaltens im Bankensektor zusammenfassend zu erklären. Obwohl die meisten existierenden Herdenmodelle in der Lage sind, gleichgerichtetes Verhalten von Wirtschaftssubjekten zu erklären, implizieren sie nicht notwendigerweise, daß sich die so entstehende Herde auch einem übermäßig hohen Risiko aussetzt. Umgekehrt enthalten die meisten Modelle, die eine solche übermäßige Risikowahl erklären könnten, keinen inhärenten Anreiz fiir gleichgerichtetes Herdenverhalten. Das vorliegende Papier entwickelt ein Zustandspräferenzmodell bei dem sich Herdenverhalten und übermäßige Risikowahl gleichzeitig aus dem Rationalkalkül der Akteure ergibt. Das Modell kann somit nicht nur die Häufigkeit sondern auch den systemischen Charakter von Bankenkrisen erklären .

This paper endeavours to provide a comprehensive analysis of the nature and the possible importance of "global excess liquidity", a concept which has attracted considerable attention in recent years. The contribution of this paper is threefold. First, we present some conceptual discussion on the meaning of excess liquidity in advanced countries with developed financial markets. Second, we report some descriptive analysis on the degree of co-movement of several possible measures of excess liquidity and spill-overs between them for a relatively large sample of industrialised and developing countries. Third, we estimate a VAR model for an aggregate of the major industrialised countries and analyse the transmission of shocks to global excess liquidity to the global economy, including possible cross-border spill-over effects to a number of domestic variables in the world's three largest economies (the US, the euro area and Japan).

This paper examines the long-run determinants of the euro-yen exchange rate. Using cointegration analysis, we find a consistent and significant relationship between the real exchange rate and relative productivity, the net foreign asset position, relative government spending and terms of trade shocks, as well as a fairly rapid mean reversion of the exchange rate to its equilibrium. The "equilibrium" rate tracks the trends in the actual exchange rate quite well, accounting for a large part of the yen appreciation from the mid-1970s to 2001. Our findings suggest that the euro appreciation against the yen in 2001 represented an equilibrium correction of its previous depreciation. Moreover, the width of the error bands highlights the difficulties arising when attempting to determine the precise equilibrium value of a currency.

In addition to its direct effects on the global trading and production structure, the ongoing process of globalisation may have important implications for the interaction of exchange rates and the overall economy. This paper presents evidence regarding possible changes in the role of exchange rates in a more globalised economy. First, it analyses the link between exchange rates and prices, showing that there is at most a moderate decline in exchange rate pass-through for the euro area. Next, it turns to the effect of exchange rate changes on trade flows. The findings indicate that the responsiveness of euro area exports to exchange rate changes may have declined somewhat as a result of globalisation, reflecting mainly shifts in the geographical and sectoral composition of trade flows. The paper also provides a firm-level analysis of the impact of exchange rate changes on corporate profits, which suggests that overall this relationship appears to be relatively stable over time, although there are important crosscountry differences. In addition, it studies the overall impact of exchange rates on GDP and the potential role of valuation effects as a transmission channel in the case of the euro area.

In addition to its direct effects on the global trading and production structure, the ongoing process of globalisation may have important implications for the interaction of exchange rates and the overall economy. This paper presents evidence regarding possible changes in the role of exchange rates in a more globalised economy. First, it analyses the link between exchange rates and prices, showing that there is at most a moderate decline in exchange rate pass-through for the euro area. Next, it turns to the effect of exchange rate changes on trade flows. The findings indicate that the responsiveness of euro area exports to exchange rate changes may have declined somewhat as a result of globalisation, reflecting mainly shifts in the geographical and sectoral composition of trade flows. The paper also provides a firm-level analysis of the impact of exchange rate changes on corporate profits, which suggests that overall this relationship appears to be relatively stable over time, although there are important crosscountry differences. In addition, it studies the overall impact of exchange rates on GDP and the potential role of valuation effects as a transmission channel in the case of the euro area.