Monetary Economics / Financial Sector

Stability of Financial Systems

Related Publications

  • Karmann, A., Ludwig, A. (2014):
    A two-step approach to examine the dynamics of market convergence, Applied Economics Letters, 21(4), S. 284-288.
  • Karmann, A., Herrera, R. (2014):
    Volatility contagion during the Asian crisis: New evidence of volatility tail dependence, Review of Development Economics, 18(2), S. 354-371.
  • Bühn, A., Karmann, A., Pedrotti, M. (2013):
    What determines the interest margin? An analysis of the German banking system, Credit and Capital Market/Kredit und Kapital, 46(4), S. 467-494.
  • Maltritz, D., Berlemann, M. (Eds.) (2013): Financial Crises, Sovereign Risk and the Role of Institutions, Springer, Heidelberg.
  • Eichler, S., Sobanski, K. (2012):     
    What Drives Banking Sector Fragility in the Eurozone? Evidence from Stock Market Data, Journal of Common Market Studies, 50(4), pp. 539-560.
  • Eichler, S., Karmann, A., Maltritz, D. (2011):
    The Term Structure of Banking Crisis Risk in the United States: A Market Data Based Compound Option Approach, Journal of Banking & Finance, 35(4), pp. 876-885.
  • Karmann, A., Sobanski, K. (2010):
    Globalisierung, Bankenkrisen und Ausfallprognosen, in: Tatarkin, A. (Ed.), Globalisierung der Wirtschaft und Bildung - betrachtet aus russischer und deutscher Perspektive, Ufaer Hochschule RGTEU, Ufa, pp. 46-53.
  • Eichler, S., Karmann, A., Maltritz, D. (2010):
    Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach: The Case of Kazakhstan, Banking and Financial Studies, No. 01/2010, Deutsche Bundesbank.

Currency Crises and the Stability of the Eurozone

Related Publications

  • Eichler, S. (2012):
    The Impact of Banking and Sovereign Debt Crisis Risk in the Eurozone on the Euro/U.S. Dollar Exchange Rate, Applied Financial Economics, 22(15), pp. 1215-1232.
  • Eichler, S., Hielscher, K. (2012):
    Does the ECB act as a lender of last resort during the subprime lending crisis?: Evidence from monetary policy reaction models, Journal of International Money and Finance, 31(3), pp. 552-568.
  • Karmann, A. (2011):
    The recent financial crisis: causes and impact on the Eurozone, in: Goisis, G., Parravicini, P. (Ed.), Real and financial issues in the international economic downturn, McGraw-Hill, Milano, pp. 41-48.
  • Eichler, S., Karmann, A. (2011):
    Optimum Currency Areas in Emerging Market Regions: Evidence Based on the Symmetry of Economic Shocks, Open Economies Review, 22(5), pp. 935-954.
  • Eichler, S. (2011):
    What Can Currency Crisis Models Tell Us About the Risk of Withdrawal from the EMU? Evidence from ADR Data, Journal of Common Market Studies 49(4), pp. 719-740.
  • Eichler, S., Maltritz, D. (2011):
    Stock Market-Induced Currency Crises - A New Type of Twins, Review of Development Economics, 15(2), pp. 223-236.
  • Eichler, S., Maltritz, D. (2011):
    Currency Crises and the Stock Market: Empirical Evidence for Another Type of Twin Crisis, Applied Economics, 43(29), pp. 4561-4587.
  • Eichler, S. (2011):
    Exchange Rate Expectations and the Pricing of Chinese Cross-Listed Stocks, Journal of Banking & Finance, 35(2), pp. 443-455.
  • Maltritz, D., Eichler, S. (2010):
    Currency Crisis Prediction Using ADR Market Data: An Options-Based Approach,  International Journal of Forecasting, 26(4), pp. 858-884.
  • Eichler, S., Karmann, A., Maltritz, D. (2009):
    The ADR Shadow Exchange Rate as an Early Warning Indicator for Currency Crises, Journal of Banking and Finance, 33(11), pp. 1983-1995.
  • Karmann, A., Eichler, S. (2008):
    To Whom to Peg? Evaluating the Optimum Currency Area for the Ruble, in: Fürstenau, B., Uhr, W. (Ed.), Der Einfluss der Globalisierung auf die wirtschaftliche und kulturelle Entwicklung - betrachtet aus russischer und deutscher Perspektive, Technische Universität Dresden, pp. 25-32.
  • Karmann, A., Weimann, M. (2004):
    A closer shock convergence under EMU? Results of a VAR analysis, in: Rivista Internationale di Scienze Economiche e Commerciali/International Review of Economics and Business (RISEC), 51(1), pp. 65-77.
  • Karmann, A. (2001):
    Denationalizing Money within Europe, in: Rivista Internationale di Scienze Economiche e Commerciali /International Review of Economics and Business (RISEC), Vol. 48, pp. 441-455.

Sovereign Default Risk: Determinants and Quantification

Related Publications

  • Karmann, A., Maltritz D. (2012):
    Sovereign Default Risk and Recovery Rates: What Government Bond Markets Expect for Greece, Review of International Economics, 20(4), pp. 723-739.
  • Eichler, S., Maltritz, D. (2012):
    The term structure of sovereign default risk in EMU member countries and its determinants, Journal of Banking and Finance (forthcoming).
  • Maltritz, D., Buehn, A., Eichler, S. (2012):
    Modelling Sovereign Risk as Latent Variable: A Structural Equations Model Approach, Applied Economics, 44(36), pp. 4679-4688.
  • Maltritz, D. (2010):
    A Compound Option Approach to Model the Interrelation between Banking Crises and Country Defaults: The Case of Hungary 2008, Journal of Banking and Finance, 34, pp. 3025.
  • Karmann, A., Maltritz, D. (2010):
    Evaluation and Comparison of Market and Rating Based Country Default Risk Assessment, Frontiers in Finance and Economics, 7(1), pp. 34-59.
  • Karmann, A., Maltritz, D. (2009):
    Estimating Sovereign Risk by a Structural Approach: The Role of Forex Reserves for Emerging Market Countries, Investment Management and Financial Institutions, 6(3), pp. 194-200.
  • Huschens, S., Karmann, A., Maltritz, D., Vogl, K. (2007):
    Country Default Probabilities: Assessing and Backtesting, The Journal of Risk Model Validation, 1(2), pp. 3-26.
  • Maltritz, D. (2004):
    Quantifizierung von Souveränitätsrisiken, Metropolis, Marburg.
  • Frenkel, M., Karmann, A., Scholtens, B. (2004):
    Sovereign Risk and Financial Crisis, Springer-Verlag, Berlin, New York.
  • Karmann, A., Maltritz, D. (2004):
    Assessment of Sovereign Risk for South America: A Structural Approach, in: Frenkel, M., Karmann, A., Scholtens, B. (Ed.), Sovereign Risk and Financial Crisis, Berlin, Heidelberg, New York, pp. 51-74.
  • Karmann, A., Maltritz, D. (2003):
    Sovereign Risk in a Structural Approach. Evaluating Sovereign Ability-to-Pay and Probability of Default in: Bol, G. et al. (Ed.), Credit Risk - Measurement, Evaluation and Managment, Heidelberg, New York, pp. 91-109.
  • Karmann, A. (2000):
    Sovereign risk, reserves, and implicit default probabilities: An option based spread analysis, in: Karmann, A. (Ed.), Financial Structure and Stability, Heidelberg, New York, pp. 232-244.
  • Karmann, A., Plate, M. (2000):
    Country-Risk Indicator. An Option Based Evaluation. Implicit Default Probabilities of Foreign USD Bonds, in: Bol, G., Nakhaeizadeh, G., Vollmer, K.-H. (Ed.), Datamining and Computational Finance, Heidelberg, Berlin, pp. 43-50.

Structure and Efficiency of Banking Systems

Related Publications

DFG-Project "Stability of the Financial Sector. Theoretical and Empirical Analysis"

Ka 1496 / 1-1 & 1-2

Final Report (Jan. 2003)

Within our research project we survey the relevant theoretical approaches on financial crises.

Based on this we develop portofoliotheoretical models and concentrate on herding behaviour and contagion effects to explain currency crises and financial market crises. Following these models we develop a cross-country evaluation to verify the empirical relevance of the theoretical models. Using a Logit model we identify the main economic indicators to explain financial crises. Within a latent-variable approach the remaining variance will then be explained by socio political indicators.

The aim of the theoretical and empirical research is also to elaborate recommendations for the regulation of the financial system w.r.t. financial crises on national as well as on international levels.

Related Publications / Projects / Presentations

  • Maltritz, D. (2008):
    Modeling the Dependency between Currency and Debt Crisis: An Option Based Approach, Economics Letters, Volume 100/3, pp. 344-347.
  • Gressmann, O. (2008):
    Währungskrisen: Eine empirische Untersuchung von Ansteckungseffekten und Kausalitäten während der Asien-Krise, Verlag Dr. Kovac, Hamburg.
  • Weimann, M. (2008):
    Sand in the wheels. Or capital account liberalization: the nexus to currency crises. Dissertation, Technische Universität Dresden, Fakultät Wirtschaftswissenschaften.
  • Graff, M., Karmann, A. (2006):
    What determines the finance - growth nexus? Empirical evidence for threshold models, in: Journal of Economics, 87(2), pp. 127-157.
  • Hott, C. (2004):
    Finanzkrisen: Eine portfoliotheoretische Betrachtung von Herdenverhalten und Ansteckungseffekten als Ursachen von Finanzkrisen, Verlag Peter Lang, Frankfurt, 2004.
  • Frenkel, M., Karmann A., Scholtens, B. (2004): Sovereign Risk and Financial Crises, Springer-Verlag, 2004.
  • Karmann, A., Greßmann, O., Hott, C. (2002):
    Contagion of Currency Crises - Some Theoretical and Empirical Analysis, Research Notes in Economics & Statistics, No. 02-2, Deutsche Bank Research.
  • Graff, M., Karmann, A. (2001):
    Does Financial Activity Cause Economic Growth?, in: Economic Growth Abstracts, Vol.2, No.4 (see also: Dresden Discussion Papers in Economics No.1/01).
  • Graff, M. (2000):
    Causal Links Between Financial Activity and Economic Growth: Evidence from Two-Wave Model Estimations, in: Karmann, A. (Ed.), Financial Structure and Stability, Contributions to Economics, Springer-Verlag, Heidelberg, Berlin, pp. 210-220.

Measuring the Stability of a transitional Banking System: Project with Deutsche bundesbank and ifo Institute for Economic Research

Related Publications

  • Eichler, S., Karmann, A., Maltritz, D. (2010):
    Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach: The Case of Kazakhstan, Banking and Financial Studies, No. 01/2010, Deutsche Bundesbank.

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Yvonne Bludau
Last modified: Aug 05, 2019