APPENDIX

59

60

10.2. A

2

Central Bank 1st quartile 2nd quartile 3rd quartile 4th quartile

European Central Bank 613 344 189 57

Bank of England 354 186 108 42

Bank of Italia 294 160 87 52

Deutsche Bundesbank 247 185 99 36

De Nederlandsche Bank 236 166 104 32

Bank of Spain 232 147 58 37

Bank of Finland 221 165 87 38

Banco de Portugal 147 98 39 16

Bank of Greece 131 159 108 48

Sveriges Riksbank 125 78 31 6

Oesterreichische Nationalbank 90 81 50 21

National Bank of Belgium 73 30 16 13

Bank of Australia 50 88 91 12

Czech National Bank 47 62 183 106

Narodowy Bank Polski 39 72 58 17

Magyar Nemzeti Bank 34 13 9 3

Central Bank of Luxembourg 26 21 8 4

Danmarks Nationalbank 17 13 4 5

Swiss National Bank 17 16 6 NA

Central Bank of Ireland 14 17 9 2

Banka Slovenije 10 11 15 8

Central Bank of Cyprus 10 7 5 NA

Central Bank of Iceland 10 9 4 1

Central Bank of Argentina 8 5 3 5

National Bank of Serbia 7 14 2 4

Bank of Albania 5 1 2 2

Bank of Estonia 5 10 13 5

Bank of Lithuania 4 4 4 NA

Central Bank of Malta 4 7 1 2

Norges Bank 4 4 5 2

Bank of Latvia 3 9 5 4

Bank of Russia 3 8 9 2

Croatian National Bank 3 5 6 14

National Bank of Romania 3 14 3 5

Bulgarian National Bank 1 3 4 3

61

10.3. A

3

Bank Name Year of

Publication Title Abstract

Deutsche

Bundesbank 2012

Price Setting in the Euro Area: Some Stylized Facts from Individual Producer Price Data

This paper summarizes the microevidence on the setting of producer prices in the euro area. The main findings are: (i) 21% of producer prices are adjusted each month, (ii) producer prices are changed more frequently and by smaller amounts than consumer prices (even after controlling for product characteristics), (iii) price decreases are relatively frequent, (iv) inflation correlates positively with the difference between the frequency of price increases and decreases, and (v) there is substantial variation in price flexibility across sectors, which can be explained in part by differences in the cost structure, the degree of competition, and the level of sectoral inflation.

De Nederlandsche

Bank 2002

Competition, concentration and their relationship:

An empirical analysis of the banking industry

This article examines competitive conditions and market structure in the banking industry, and investigates their interrelationship.

Competition is measured using the Panzar-Rosse model. In order to distinguish competitive behaviour on local, national and international markets, for each country, three subsamples are taken: small or local banks, medium-sized banks and large or international banks. For all 23 countries considered, estimations indicate monopolistic competition, competition being weaker in local markets and stronger in international markets. Subsequently, a relationship for the impact of the market structure on

competition is derived and tested empirically, providing support for the conventional view that concentration impairs

competitiveness.

Banco de

Portugal 1995

The survival of new plants: Start-up conditions and post-entry evolution

This paper examines the longevity of entrants. We find size to be an important determinant of the chances of survival, this being particularly relevant to de novo entrants as compared with entry by established firms. Current size is also found to be a better predictor of failure than initial size. Moreover, our findings indicate that, after controlling for size differences, past growth matters for survival suggesting a partial adjustment process for firm size in the post entry period. Finally, new plants are more likely to live longer if they enter growing industries or industries with little entry activity.

Banco de

Portugal 2009

International comovement of stock market returns: A wavelet analysis

The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, we re-examine such comovement by resorting to a novel approach, wavelet analysis. Wavelet analysis allows one to measure the comovement in the time-frequency space. In this way, one can characterize how international stock returns relate in the time and frequency domains simultaneously, which allows one to provide a richer analysis of the comovement. We focus on Germany, Japan, UK and US and the analysis is done at both the aggregate and sectoral levels.

Bank of Spain 2005

An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps

We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find two forms of deviation from parity. First, for three firms, CDS prices are substantially higher than credit spreads for long periods of time, arising from combinations of imperfections in the contract specification of CDSs and measurement errors in computing the credit spread. Second, we find short-lived deviations from parity

62

for all other companies due to a lead for CDS prices over credit spreads in the price discovery process.

Oesterreichisch

e Nationalbank 2006 Risk assessment for banking systems

We propose a new approach to assess systemic financial stability of a banking system using standard tools from modern risk management in combination with a network model of interbank loans. We apply our model to a unique data set of all Austrian banks. We find that correlation in banks' asset portfolios dominates contagion as the main source of systemic risk.

Contagion is rare but can nonetheless wipe out a major part of the banking system. Low bankruptcy costs and an efficient crisis resolution policy are crucial to limit the systemwide impact of contagious default events. We compute the quot value at risk quot for a lender of last resort and find that the funds necessary to prevent contagion are surprisingly small.

Oesterreichisch e Nationalbank 2009

How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks

The aim of this paper is to analyze how diversification of banks across size and industry affects risk, cost and profit efficiency, and bank capitalization for large Austrian commercial banks over the years 1997-2003. Employing a unique dataset, provided by the Austrian Central Bank, we test for several different types of managerial hypotheses, formalized according to a modified version of the Berger and DeYoung model [Berger, A.N., DeYoung, R., 1997. Problem loans and cost efficiency in commercial banks.

Journal of Banking and Finance 21, 849-870]. We find that, although diversification negatively affects cost efficiency, it increases profit efficiency and reduces banks' realized risk. Finally, diversification seems to have a positive impact on banks'

capitalization.

National Bank

of Belgium 2007

Shocks and frictions in US business cycles: A Bayesian DSGE approach

Using a Bayesian likelihood approach, we estimate a dynamic stochastic general equilibrium model for the US economy using seven macroeconomic time series. The model incorporates many types of real and nominal frictions and seven types of structural shocks. We show that this model is able to compete with Bayesian Vector Autoregression models in out-of-sample prediction. We investigate the relative empirical importance of the various frictions. Finally, using the estimated model, we address a number of key issues in business cycle analysis: What are the sources of business cycle fluctuations? Can the model explain the cross correlation between output and inflation? What are the effects of productivity on hours worked? What are the sources of the "Great Moderation"?

Deutsche

Bundesbank 2004

Estimating bilateral exposures in the German interbank market: Is there a danger of contagion?

Credit risk associated with interbank lending may lead to domino effects, where the failure of one bank results in the failure of other banks not directly affected by the initial shock. Recent work in economic theory shows that this risk of contagion depends on the precise pattern of interbank linkages. We use balance sheet information to estimate a matrix of bilateral credit relationships for the German banking system and test whether the breakdown of a single bank can lead to contagion. We find that in the absence of a safety net, there is considerable scope for contagion that could affect a large proportion of the banking system. The financial safety net (in this case institutional guarantees for saving banks and cooperative banks) considerably reduces-but does not eliminate-the danger of contagion. Even so, the failure of a single bank could lead to the breakdown of up to 15% of the banking system in terms of assets.