An Empirical Analysis of Legal Insider Trading in The Netherlands
Frank de Jong, Jérémie Lefebvre, Hans Degryse
De Economist,
No. 1,
2014
Abstract
In this paper, we employ a registry of legal insider trading for Dutch listed firms to investigate the information content of trades by corporate insiders. Using a standard event-study methodology, we examine short-term stock price behavior around trades. We find that purchases are followed by economically large abnormal returns. This result is strongest for purchases by top executives and for small market capitalization firms, which is consistent with the hypothesis that legal insider trading is an important channel through which information flows to the market. We analyze also the impact of the implementation of the Market Abuse Directive (European Union Directive 2003/6/EC), which strengthens the existing regulation in the Netherlands. We show that the new regulation reduced the information content of sales by top executives.
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Die Halbwertszeit von Superstars ist kurz – nicht nur in der Unterhaltungsbranche!
Oliver Holtemöller
Wirtschaft im Wandel,
No. 1,
2014
Abstract
Jüngst fand eine wissenschaftliche Studie mit dem Titel „From Sick Man of Europe to Economic Superstar: Germany’s Resurgent Economy“ große Aufmerksamkeit in den Medien. Tatsächlich ist die ökonomische Entwicklung in Deutschland gegenwärtig „super“: Das Produktionspotenzial ist normal ausgelastet, die Inflationsrate ist niedrig, und die Erwerbstätigkeit befindet sich auf einem Rekordhoch. Ein Superstar zu sein, muss allerdings nicht von Dauer sein. Jene aus dem Fernsehen sind meist nach kurzer Zeit vergessen. Ähnlich könnte es auch mit der ökonomischen Lage in Deutschland sein. Wenn sich Unternehmen und Politik nicht laufend den neuen Herausforderungen stellen, kann der Superstar schnell wieder abstürzen.
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Did Consumers Want Less Debt? Consumer Credit Demand versus Supply in the Wake of the 2008-2009 Financial Crisis
Reint E. Gropp, J. Krainer, E. Laderman
Abstract
We explore the sources of household balance sheet adjustment following the collapse of the housing market in 2006. First, we use microdata from the Federal Reserve Board’s Senior Loan Officer Opinion Survey to document that banks cumulatively tightened consumer lending standards more in counties that experienced a house price boom in the mid-2000s than in non-boom counties. We then use the idea that renters, unlike homeowners, did not experience an adverse wealth shock when the housing market collapsed to examine the relative importance of two explanations for the observed deleveraging and the sluggish pickup in consumption after 2008. First, households may have optimally adjusted to lower wealth by reducing their demand for debt and implicitly, their demand for consumption. Alternatively, banks may have been more reluctant to lend in areas with pronounced real estate declines. Our evidence is consistent with the second explanation. Renters with low risk scores, compared to homeowners in the same markets, reduced their levels of nonmortgage debt and credit card debt more in counties where house prices fell more. The contrast suggests that the observed reductions in aggregate borrowing were more driven by cutbacks in the provision of credit than by a demand-based response to lower housing wealth.
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In Search for Yield? Survey-based Evidence on Bank Risk Taking
Claudia M. Buch, S. Eickmeier, Esteban Prieto
Journal of Economic Dynamics and Control,
No. 43,
2014
Abstract
Monetary policy can have an impact on economic and financial stability through the risk taking of banks. Falling interest rates might induce investment into risky activities. This paper provides evidence on the link between monetary policy and bank risk taking. We use a factor-augmented vector autoregressive model (FAVAR) for the US for the period 1997–2008. Besides standard macroeconomic indicators, we include factors summarizing information provided in the Federal Reserve’s Survey of Terms of Business Lending (STBL). These data provide information on banks׳ new loans as well as interest rates for different loan risk categories and different banking groups. We identify a risk-taking channel of monetary policy by distinguishing responses to monetary policy shocks across different types of banks and different loan risk categories. Following an expansionary monetary policy shock, small domestic banks increase their exposure to risk. Large domestic banks do not change their risk exposure. Foreign banks take on more risk only in the mid-2000s, when interest rates were ‘too low for too long’.
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Note on the Hidden Risk of Inflation
Makram El-Shagi, Sebastian Giesen
Journal of Economic Policy Reform,
No. 1,
2014
Abstract
The continued expansionary policy of the Federal Reserve gives rise to speculation whether the Fed will be able to maintain price stability in the coming decades. Most of the scientific work relating money to prices relies on broad monetary aggregates (i.e. M2 for the United States). In our paper, we argue that this view falls short. The historically unique monetary expansion has not yet fully reached M2. Using a cointegration approach, we aim to show the hidden risks for the future development of M2 and correspondingly prices. In a simulation analysis we show that even if the multiplier remains substantially below its pre-crisis level, M2 will exceed its current growth path with a probability of 95%.
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Aktuelle Trends: ista-IWH-Energieeffizienzindex 2012: Weiter auf dem Pfad der Einsparung!
Claus Michelsen, Sebastian Rosenschon, Michael Barkholz
Wirtschaft im Wandel,
No. 5,
2013
Abstract
Der ista-IWH-Energieeffizienzindex zeigt für die aktuelle Abrechnungsperiode 2012, dass sich die Gesamtentwicklung des sinkenden Heizenergieverbrauchs in Mehrfamilienhäusern weiter verstetigt hat. Die durchschnittliche Veränderung zwischen 2010 und 2012 liegt bei rund −0,8% pro Jahr. Der für das Jahr 2011 festgestellte leichte Anstieg des Energieverbrauchs hat sich damit erwartungsgemäß nicht als wirkliche Trendwende erwiesen. Die Einsparung der letzten beiden Jahre fällt allerdings geringer aus als der längerfristige Trend von ca. −1,8% im Jahresdurchschnitt seit 2005.
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Default Options and Social Welfare: Opt In versus Opt Out
Jan Bouckaert, Hans Degryse
Journal of Institutional and Theoretical Economics JITE,
No. 3,
2013
Abstract
We offer a social-welfare comparison of the two most prominent default options – opt in and opt out – using a two-period model of localized competition. We demonstrate that when consumers stick to the default option, the prevailing default policy shapes firms' ability to collect and use customer information, and affects their pricing strategy and entry decision differently. The free-entry analysis reveals that fewer firms enter under opt out as competition becomes harsher, and that opt out is the socially preferred default option.
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How Firms Respond to Business Cycles: The Role of Firm Age and Firm Size
Teresa C. Fort, John Haltiwanger, Ron S. Jarmin, Javier Miranda
IMF Economic Review,
No. 3,
2013
Abstract
There remains considerable debate in the theoretical and empirical literature about the differences in the cyclical dynamics of firms by firm size. This paper contributes to the debate in two ways. First, the key distinction between firm size and firm age is introduced. The evidence presented in this paper shows that young businesses (that are typically small) exhibit very different cyclical dynamics than small/older businesses. The second contribution is to present evidence and explore explanations for the finding that young/small businesses were hit especially hard in the Great Recession. The collapse in housing prices accounts for a significant part of the large decline of young/small businesses in the Great Recession.
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Macroeconomic Factors and Micro-Level Bank Risk
Claudia M. Buch
Bundesbank Discussion Paper 20/2010,
2010
Abstract
The interplay between banks and the macroeconomy is of key importance for financial and economic stability. We analyze this link using a factor-augmented vector autoregressive model (FAVAR) which extends a standard VAR for the U.S. macroeconomy. The model includes GDP growth, inflation, the Federal Funds rate, house price inflation, and a set of factors summarizing conditions in the banking sector. We use data of more than 1,500 commercial banks from the U.S. call reports to address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are the sources of bank heterogeneity, and what explains differences in individual banks’ responses to macroeconomic shocks? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary shocks. (ii) The heterogeneity of banks is characterized by idiosyncratic shocks and the asymmetric transmission of common shocks. Risk of about 1/3 of all banks rises in response to a monetary loosening. The lending response of small, illiquid, and domestic banks is relatively large, and risk of banks with a low degree of capitalization and a high exposure to real estate loans decreases relatively strongly after expansionary monetary policy shocks. Also, lending of larger banks increases less while risk of riskier and domestic banks reacts more in response to house price shocks.
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