Parenting Benefit – A New Risk for Companies
Nicole Nulsch, Henry Dannenberg
Wirtschaft im Wandel,
No. 7,
2008
Abstract
Mit dem zum 1. Januar 2007 neu eingeführten Elterngeld verfolgt der Gesetzgeber unter anderem das Ziel, mehr Väter für eine Elternzeit zu begeistern. Bislang wurden die Auswirkungen des Elterngelds insbesondere aus familienpolitischer Perspektive betrachtet. Ziel dieses Beitrags ist es jedoch, die unternehmenspolitischen Folgen des Elterngelds zu untersuchen.
Die Entwicklung der Elterngeldanträge im Jahr 2007 deutet darauf hin, dass zunehmend mehr Väter von der Elternzeit Gebrauch machen. Dabei handelt es sich in mehr als der Hälfte der Fälle um berufstätige Väter. Konnten Unternehmen in der Vergangenheit das Risiko, dass eine wichtige Position im Unternehmen für einen längeren Zeitraum aufgrund der Geburt eines Kindes unbesetzt ist, verhältnismäßig einfach dadurch senken, indem ein Mann beschäftigt wurde, wird diese Strategie in Zukunft an Bedeutung verlieren. Es ist zu erwarten, dass dieses veränderte Risikoumfeld einerseits die Karrierechancen der Frauen verbessern und zu einer Verringerung der Lohnlücke zwischen den Geschlechtern beitragen kann. Es ist jedoch auch zu erwarten, dass sich die Risikosituation der Unternehmen insgesamt verschlechtert und bei gegebener Risikotragfähigkeit bisher tragbare Risiken zukünftig nicht mehr eingegangen werden können, was sich negativ auf die wirtschaftliche Entwicklung auswirken könnte.
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The Effect of the Iraq War on Foreign Bank Lending to the MENA Region
H. Evren Damar
Emerging Markets Finance and Trade,
No. 5,
2007
Abstract
This paper examines whether a large geopolitical event, such as the war in Iraq, can affect foreign bank lending from developed countries to emerging markets. Using country-level data, the paper analyzes the effects of economic shocks and the Iraq war on the availability of foreign bank credit to five countries in the Middle East and North Africa. The war has had a nonuniform effect on foreign banks: Although the war has led to higher U.S. lending, it has also discouraged British and Italian banks from lending to the region. Implications concerning the stability and reliability of foreign bank credit in the face of increased geopolitical risks are identified and discussed.
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Systematic Mispricing in European Equity Prices?
Marian Berneburg
IWH Discussion Papers,
No. 6,
2007
Abstract
One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors occur in equity markets which hence can not be efficient in the Effcient Market Hypothesis sense. The paper tries to show that this so-called excess volatility is to a large extend the result of the underlying assumptions, which are being employed to estimate the present value of cash flows. Using monthly data for three investment style indices from an integrated European Equity market, all usual assumptions are dropped. This is achieved by employing the Gordon Growth Model and using an estimation process for the dividend growth rate that was suggested by Barsky and De Long. In extension to Barsky and De Long, the discount rate is not assumed at some arbitrary level, but it is estimated from the data. In this manner, the empirical results do not rely on the prerequisites of sta- tionary dividends, constant dividend growth rates as well as non-variable discount rates. It is shown that indeed volatility declines considerably, but is not eliminated. Furthermore, it can be seen that the resulting discount factors for the three in- vestment style indices can not be considered equal, which, on a risk-adjusted basis, indicates performance differences in the investment strategies and hence stands in contradiction to an efficient market. Finally, the estimated discount rates under- went a plausibility check, by comparing their general movement to a market based interest rate. Besides the most recent data, the estimated discount rates match the movements of market interest rates fairly well.
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Interbank Exposures: An Empirical Examination of Contagion Risk in the Belgian Banking System
Hans Degryse, Grégory Nguyen
International Journal of Central Banking,
No. 2,
2007
Abstract
Robust (cross-border) interbank markets are important for the proper functioning of modern financial systems. However, a network of interbank exposures may lead to domino effects following the event of an initial bank failure. We investigate the evolution and determinants of contagion risk for the Belgian banking system over the period 1993–2002 using detailed information on aggregate interbank exposures of individual banks, large bilateral interbank exposures, and cross-border interbank exposures. The "structure" of the interbank market affects contagion risk. We find that a change from a complete structure (where all banks have symmetric links) toward a "multiplemoney-center" structure (where money centers are symmetrically linked to otherwise disconnected banks) has decreased the risk and impact of contagion. In addition, an increase in the relative importance of cross-border interbank exposures has lowered local contagion risk. However, this reduction may have been compensated by an increase in contagion risk stemming from foreign banks.
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Bank Lending, Bank Capital Regulation and Efficiency of Corporate Foreign Investment
Diemo Dietrich, Achim Hauck
IWH Discussion Papers,
No. 4,
2007
Abstract
In this paper we study interdependencies between corporate foreign investment and the capital structure of banks. By committing to invest predominantly at home, firms can reduce the credit default risk of their lending banks. Therefore, banks can refinance loans to a larger extent through deposits thereby reducing firms’ effective financing costs. Firms thus have an incentive to allocate resources inefficiently as they then save on financing costs. We argue that imposing minimum capital adequacy for banks can eliminate this incentive by putting a lower bound on financing costs. However, the Basel II framework is shown to miss this potential.
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Signaling Currency Crises in South Africa
Tobias Knedlik
IWH Discussion Papers,
No. 19,
2006
Abstract
Currency crises episodes of 1996, 1998, and 2001 are used to identify common country specific causes of currency crises in South Africa. The paper identifies crises by the use of an Exchange Market Pressure (EMP) index as introduced by Eichengreen, Rose and Wyplosz (1996). It extends the Signals Approach introduced by Kaminsky and Reinhart (1996, 1998) by developing a composite indicator in order to measure the evolution of currency crisis risk in South Africa. The analysis considers the standard suspects from international currency crises and country specifics as identified by the Myburgh Commission (2002) and current literature as potentially relevant indicators.
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Excess Volatility in European Equity Style Indices - New Evidence
Marian Berneburg
IWH Discussion Papers,
No. 16,
2006
Abstract
Are financial markets efficient? One proposition that seems to contradict this is Shiller’s finding of excess volatility in asset prices and its resulting rejection of the discounted cash flow model. This paper replicates Shiller’s approach for a different data set and extends his analysis by testing for a long-run relationship by means of a cointegration analysis. Contrary to previous studies, monthly data for an integrated European stock market is being used, with special attention to equity style investment strategies. On the basis of this analysis’ results, Shiller’s findings seem questionable. While a long-run relationship between prices and dividends can be observed for all equity styles, a certain degree, but to a much smaller extent than in Shiller’s approach, of excess volatility cannot be rejected. But it seems that a further relaxation of Shiller’s assumptions would completely eliminate the finding of an overly strong reaction of prices to changes in dividends. Two interesting side results are, that all three investment styles seem to have equal performance when adjusting for risk, which by itself is an indication for efficiency and that market participants seem to use current dividend payments from one company as an indication for future dividend payments by other firms. Overall the results of this paper lead to the conclusion that efficiency cannot be rejected for an integrated European equity market.
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Equity and Bond Market Signals as Leading Indicators of Bank Fragility
Reint E. Gropp, Jukka M. Vesala, Giuseppe Vulpes
Journal of Money, Credit and Banking,
No. 2,
2006
Abstract
We analyse the ability of the distance to default and subordinated bond spreads to signal bank fragility in a sample of EU banks. We find leading properties for both indicators. The distance to default exhibits lead times of 6-18 months. Spreads have signal value close to problems only. We also find that implicit safety nets weaken the predictive power of spreads. Further, the results suggest complementarity between both indicators. We also examine the interaction of the indicators with other information and find that their additional information content may be small but not insignificant. The results suggest that market indicators reduce type II errors relative to predictions based on accounting information only.
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Deposit Insurance, Moral Hazard and Market Monitoring
Reint E. Gropp, Jukka M. Vesala
Review of Finance,
No. 4,
2004
Abstract
The paper analyses the relationship between deposit insurance, debt-holder monitoring, and risk taking. In a stylised banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non-deposit creditors. Testing the model using EU bank level data yields evidence consistent with the model, suggesting that explicit deposit insurance may serve as a commitment device to limit the safety net and permit monitoring by uninsured subordinated debt holders. We further find that credible limits to the safety net reduce risk taking of smaller banks with low charter values and sizeable subordinated debt shares only. However, we also find that the introduction of explicit deposit insurance tends to increase the share of insured deposits in banks' liabilities.
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Are European Equity Style Indexes Mean Reverting? Testing the Validity of the Efficient Market Hypothesis
Marian Berneburg
IWH Discussion Papers,
No. 193,
2004
Abstract
The article tests for a random walk in European equity style indexes. After briefly
introducing the efficient market hypothesis, equity styles in general and the used
statistical techniques (Variance Ratio Test and modified Rescaled Range Test) it is
shown that a random walk in European equity style indexes cannot be rejected. At least in the period since the mid 70s, for which this research has been conducted, the weak form efficient market hypothesis seems to hold.
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