Currency Crises and the Stock Market: Empirical Evidence for Another Type of Twin Crisis
Stefan Eichler, Dominik Maltritz
Applied Economics,
Nr. 29,
2011
Abstract
We explore the dependency between currency crises and the stock market in emerging economies. Our focus is two-fold. First, the risk of a currency crisis rises as the foreign stake in the domestic stock market increases. Successful economies with high capital flows into their booming stock markets especially are prone to stock market-induced currency crises. Second, we apply the dividend growth model to show that stock markets crash in the run-up to a currency crisis. This new type of twin crisis is empirically tested by employing a logit framework using quarterly data for 33 emerging economies for 1994Q1–2007Q4.
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Are there Gender-specific Preferences for Location Factors? A Grouped Conditional Logit-model of Interregional Migration Flows in Germany
Lutz Schneider, Alexander Kubis
Schmollers Jahrbuch,
2010
Abstract
Die vorliegende Arbeit untersucht geschlechtsspezifische Unterschiede in der Wertschätzung regionaler Standortfaktoren. Die Standortpräferenzen werden auf Basis einer Analyse von interregionalen Wanderungsströmen innerhalb Deutschlands analysiert. Die Untersuchung basiert auf einem Grouped Conditional Logit-Ansatz, wobei die Probleme der Unabhängigkeit von irrelevanten Alternativen und der Überdispersion berücksichtigt werden. Im Ergebnis zeigt sich zunächst, dass bei Frauen und Männern dieselben regionalen Charakteristika als Pull- oder aber als Push-Faktoren wirken. Geschlechtsspezifische Unterschiede werden aber hinsichtlich Stärke des Einflusses der einzelnen Faktoren sichtbar, vor allem im Hinblick auf das regionale Lohnniveau und das Angebot an Bildungseinrichtungen. Darüber hinaus zeigt sich, dass Frauen auch nach Kontrolle von Standortfaktoren mobiler sind als Männer.
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Cross-Border Bank Contagion in Europe
Reint E. Gropp, M. Lo Duca, Jukka M. Vesala
International Journal of Central Banking,
Nr. 1,
2009
Abstract
We analyze cross-border contagion among European banks in the period from January 1994 to January 2003. We use a multinomial logit model to estimate, in a given country, the number of banks that experience a large shock on the same day (“coexceedances”) as a function of common shocks and lagged coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the daily percentage change in distance to default of banks.We find evidence of significant cross-border contagion among large European banks, which is consistent with a tiered cross-border interbank structure. The results also suggest that contagion increased after the introduction of the euro.
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Are there Gender-specific Preferences for Location Factors? A Grouped Conditional Logit-model of Interregional Migration Flows in Germany
Lutz Schneider, Alexander Kubis
IWH Discussion Papers,
Nr. 5,
2009
Abstract
The article analyses the question whether women and men differ in their tastes for location factors. The question is answered by quantifying the impact of location characteristics on interregional migration flows across Germany. The analysis is based on a grouped conditional logit approach. We augment the framework by controlling for violation of the independence of irrelevant alternatives assumption and for overdispersion. As a result, we find no differences in terms of direction of impact. However, the regressions confirm gender differences in terms of intensity, particularly regarding regional wage levels and the availability of educational institutions.
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A Lesson Learned? Pre- and Post-Crisis Entry Decisions in Turkish Banking
H. Evren Damar
Contemporary Economic Policy,
Nr. 1,
2009
Abstract
This study looks at the determinants of entry by Turkish banks into local markets during the periods before and after the crisis of 2000–2001. Motivated by a theoretical model of entry, results of fixed-effects logit regressions suggest that there has been a change in the geographical diversification strategies of Turkish banks. It appears that the dominance of strategic concerns, such as competing with banks of similar size, has diminished, while economic concerns, such as incumbent characteristics and cost considerations, have become more important. Overall, the postcrisis restructuring policies seem to have led to improved decision making in the sector.
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Slippery Slopes of Stress: Ordered Failure Events in German Banking
Thomas Kick, Michael Koetter
Journal of Financial Stability,
Nr. 2,
2007
Abstract
Outright bank failures without prior indication of financial instability are very rare. In fact, banks can be regarded as troubled to varying degrees before outright closure. But failure studies usually neglect the ordinal nature of bank distress. We distinguish four different kinds of increasingly severe events on the basis of the distress database of the Deutsche Bundesbank. Only the worst distress event entails a bank to exit the market. Since the four categories of hazard functions are not proportional, we specify a generalized ordered logit model to estimate respective probabilities of distress simultaneously. We find that the likelihood of ordered distress events changes differently in response to given changes in the financial profiles of banks. Consequently, bank failure studies should account more explicitly for the different shades of distress. This allows an assessment of the relative importance of financial profile components for different degrees of bank distress.
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Cross-border Bank Contagion in Europe
Reint E. Gropp, M. Lo Duca, Jukka M. Vesala
ECB Working Paper, No. 662,
Nr. 662,
2006
Abstract
This paper analyses cross-border contagion in a sample of European banks from January 1994 to January 2003. We use a multinomial logit model to estimate the number of banks in a given country that experience a large shock on the same day (“coexceedances“) as a function of variables measuring common shocks and lagged coexceedances in other countries. Large shocks are measured by the bottom 95th percentile of the distribution of the daily percentage change in the distance to default of the bank. We find evidence in favour of significant cross-border contagion. We also find some evidence that since the introduction of the euro cross-border contagion may have increased. The results seem to be very robust to changes in the specification.
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Prekäre Einkommenslagen in Deutschland: Ein Ost-West-Vergleich 1996 bis 2002
Herbert S. Buscher, Juliane Parys
IWH Discussion Papers,
Nr. 2,
2006
Abstract
Der Beitrag untersucht die Verteilung der äquivalenzgewichteten Nettoeinkommen von Haushalten und Lebensgemeinschaft in West- und Ostdeutschland für die Zeit von 1996 bis 2002 auf der Grundlage der Daten des Mikrozensus. Die Untersuchung gliedert sich in einen deskriptiven Teil, der eindimensionale Maße zur Einkommensverteilung und zur Messung der Ungleichheit diskutiert, und in einen zweiten Teil, in dem auf der Basis eines Logit-Modells Determinanten bestimmt werden, die für prekäre Lebens- und Einkommenslagen ursächlich sein können. Ein besonderes Gewicht wird hierbei auf unterschiedliche Lebensformen und die Anzahl der Kinder gelegt. Die Ergebnisse zeigen ein deutlich höheres Armutsrisiko für Lebensgemeinschaften bzw. Familien mit Kindern im Vergleich zu kinderlosen Paaren.
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