Upcoming Talks and Conferences
Upcoming in 2017: Banque-de-France, FIRS, Summer Research Conference 2017 in Finance at ISB
Current Academic and Non-Academic Appointments
Professor of Finance (W3), Chair of Financial Markets, University of Mannheim - Business School, Since January 2016
Head of the Research Group "International Finance and Financial Management" at the Center of European Economic Research (ZEW), Since January 2016
Research Fellow Center for Financial Studies (CFS), Since 2013
Forschungsprofessor ("Professor of Research"), IWH - Halle Institute of Economic Research, 2014 - 2017
Member of the Schmalenbach-Arbeitskreis „Strategieentwicklung und Controlling in Banken“, Since 2015
Academic Advisory Board "Frankfurt Institute for Risk Management and Regulation (FIRM)", Since 2016
Associate Editor, Journal of Banking and Finance, Since 2017
Curriculum Vitae (June 2017)
News
News - Academic Research
"Monetary Policy without a Bank Lending Channel" with Benjamin Grosse-Rueschkamp and Daniel Streitz *** Coming Soon ***
The European Central Bank’s Corporate Sector Purchase Programme (CSPP), launched in June 2016, increased the supply of capital for eligible Eurozone firms through direct corporate bond purchases. Using a difference-in-difference framework, we show that the CSPP reduces financial constraints for eligible firms. These firms increase their leverage, which is driven by an increase in bond debt. In contrast, average bank debt does not change. Constrained firms with a low investment grade rating issue relatively more bond debt compared to high investment grade-rated firms. Importantly, low investment grade-rated firms increase their capital expenditures following the CSPP announcement. High investment grade-rated firms, on the other hand, increase acquisitions and use some of these funds to repurchase shares. Our results highlight possible distortions due to asset purchases by central banks.
"Lender of Last Resort versus Buyer of Last Resort - Evidence from the European Sovereign Debt Crisis" with Viral V. Acharya and D. Pierret, March 2017. *** Revised Version ***
We document channels of monetary policy transmission to banks following two significant interventions of the European Central Bank (ECB) during the sovereign debt crisis. As a lender of last resort via the long-term refinancing operations (LTROs), the ECB improved the collateral value of short-term sovereign bonds of peripheral countries. Banks in the peripheral countries became excessively dependent on public funds and increased their exposure to domestic debt. An elevated concentration of peripheral sovereign bonds in the portfolios of risky banks increased fire sale risk, increasing the riskiness of both banks and sovereign bonds. In contrast, the ECB’s announcement of being a potential buyer of last resort via the Outright Monetary Transaction (OMT) program attracted new investors to the sovereign bond market, reduced concentration and fire sale risk, and permanently improved solvency conditions for eurozone banks.
"Mind the Gap: The Difference between US and European Loan Rates", with Tobias Berg, Anthony Saunders and Daniel Streitz, 2016, Review of Financial Studies, forthcoming.
We analyze pricing differences between U.S. and European syndicated loans over the 1992-2014 period. We explicitly distinguish credit lines from term loans. For credit lines, U.S. borrowers pay significantly higher spreads, but lower fees, resulting in similar total costs of borrowing in both markets. Credit line usage is more cyclical in the U.S., which provides a rationale for the pricing structure difference. For term loans, we analyze the channels of the cross-country loan price differential and document the importance of: the composition of term loan borrowers and the loan supply by institutional investors and foreign banks.
"The Wolves of Wall Street: Managerial Attributes and Bank Business Models" with J. Hagendorff, A. Saunders, and F. Vallascas,
This Version: November 2016 *** revised version ***
PDF File Slides (coming soon)
Financial Times Coverage Financial Times Podcast
Abstract
We investigate the role of executive-specific attributes in explaining bank business models beyond pay-per-performance incentives. We decompose the variation in business models and show that idiosyncratic manager-specific effects (or ‘styles’) of members of a bank’s top management team are reflected in key bank policy choices. Manager styles far outrank executive compensation and other observable manager variables in terms of their ability to describe variation in bank business models. Bank manager styles also explain differences in risk and performance across banks, including cross-sectional variation in bank risk during the global financial crisis. Finally, we combine manager styles from various bank policies to derive manager profiles that are associated with managers’ personal risk preferences, board characteristics and whether or not managers will be appointed as CEO during their careers.
"Does Lack of Financial Stability Impair the Transmission of Monetary Policy?" with V. Acharya, B. Imbierowicz, and D. Teichmann, November 2015 * being revised for resubmission to the Journal of Financial Economics.
PDF Version Slides Online Appendix
We investigate the transmission of central bank liquidity to bank deposit and loan spreads in Europe over the January 2006 to June 2010 period. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks, even as it lowers deposit rates for both high-risk and low-risk banks. This adversely affects the balance sheets of borrowers of high-risk banks, leading to lower payouts, lower capital expenditures, and lower asset growth. These firms replace term loans drawing down existing credit lines. Our results suggest that during a banking crisis, the transmission of central bank liquidity to the real sector may be more effective if accompanied by a strengthening of banking sector health.
Upcoming in 2017: Banque-de-France, FIRS, Summer Research Conference 2017 in Finance at ISB
Current Academic and Non-Academic Appointments
Professor of Finance (W3), Chair of Financial Markets, University of Mannheim - Business School, Since January 2016
Head of the Research Group "International Finance and Financial Management" at the Center of European Economic Research (ZEW), Since January 2016
Research Fellow Center for Financial Studies (CFS), Since 2013
Forschungsprofessor ("Professor of Research"), IWH - Halle Institute of Economic Research, 2014 - 2017
Member of the Schmalenbach-Arbeitskreis „Strategieentwicklung und Controlling in Banken“, Since 2015
Academic Advisory Board "Frankfurt Institute for Risk Management and Regulation (FIRM)", Since 2016
Associate Editor, Journal of Banking and Finance, Since 2017
Curriculum Vitae (June 2017)
News
- The paper "Do Corporate Depositors Risk Everything for Nothing? The Importance of Deposit Relationships, Interest Rates and Bank Risk", with Daniel Friedmann, Bjoern Imbierowicz and Anthony Saunders, has been accepted for presentation at the AFA 2018 meetings.
- I will join the Frankfurt School of Finance & Management as Professor of Finance in August 2017.
- I was appointed Associated Editor at the Journal of Banking and Finance in March 2017.
News - Academic Research
"Monetary Policy without a Bank Lending Channel" with Benjamin Grosse-Rueschkamp and Daniel Streitz *** Coming Soon ***
The European Central Bank’s Corporate Sector Purchase Programme (CSPP), launched in June 2016, increased the supply of capital for eligible Eurozone firms through direct corporate bond purchases. Using a difference-in-difference framework, we show that the CSPP reduces financial constraints for eligible firms. These firms increase their leverage, which is driven by an increase in bond debt. In contrast, average bank debt does not change. Constrained firms with a low investment grade rating issue relatively more bond debt compared to high investment grade-rated firms. Importantly, low investment grade-rated firms increase their capital expenditures following the CSPP announcement. High investment grade-rated firms, on the other hand, increase acquisitions and use some of these funds to repurchase shares. Our results highlight possible distortions due to asset purchases by central banks.
"Lender of Last Resort versus Buyer of Last Resort - Evidence from the European Sovereign Debt Crisis" with Viral V. Acharya and D. Pierret, March 2017. *** Revised Version ***
We document channels of monetary policy transmission to banks following two significant interventions of the European Central Bank (ECB) during the sovereign debt crisis. As a lender of last resort via the long-term refinancing operations (LTROs), the ECB improved the collateral value of short-term sovereign bonds of peripheral countries. Banks in the peripheral countries became excessively dependent on public funds and increased their exposure to domestic debt. An elevated concentration of peripheral sovereign bonds in the portfolios of risky banks increased fire sale risk, increasing the riskiness of both banks and sovereign bonds. In contrast, the ECB’s announcement of being a potential buyer of last resort via the Outright Monetary Transaction (OMT) program attracted new investors to the sovereign bond market, reduced concentration and fire sale risk, and permanently improved solvency conditions for eurozone banks.
"Mind the Gap: The Difference between US and European Loan Rates", with Tobias Berg, Anthony Saunders and Daniel Streitz, 2016, Review of Financial Studies, forthcoming.
We analyze pricing differences between U.S. and European syndicated loans over the 1992-2014 period. We explicitly distinguish credit lines from term loans. For credit lines, U.S. borrowers pay significantly higher spreads, but lower fees, resulting in similar total costs of borrowing in both markets. Credit line usage is more cyclical in the U.S., which provides a rationale for the pricing structure difference. For term loans, we analyze the channels of the cross-country loan price differential and document the importance of: the composition of term loan borrowers and the loan supply by institutional investors and foreign banks.
"The Wolves of Wall Street: Managerial Attributes and Bank Business Models" with J. Hagendorff, A. Saunders, and F. Vallascas,
This Version: November 2016 *** revised version ***
PDF File Slides (coming soon)
Financial Times Coverage Financial Times Podcast
Abstract
We investigate the role of executive-specific attributes in explaining bank business models beyond pay-per-performance incentives. We decompose the variation in business models and show that idiosyncratic manager-specific effects (or ‘styles’) of members of a bank’s top management team are reflected in key bank policy choices. Manager styles far outrank executive compensation and other observable manager variables in terms of their ability to describe variation in bank business models. Bank manager styles also explain differences in risk and performance across banks, including cross-sectional variation in bank risk during the global financial crisis. Finally, we combine manager styles from various bank policies to derive manager profiles that are associated with managers’ personal risk preferences, board characteristics and whether or not managers will be appointed as CEO during their careers.
"Does Lack of Financial Stability Impair the Transmission of Monetary Policy?" with V. Acharya, B. Imbierowicz, and D. Teichmann, November 2015 * being revised for resubmission to the Journal of Financial Economics.
PDF Version Slides Online Appendix
We investigate the transmission of central bank liquidity to bank deposit and loan spreads in Europe over the January 2006 to June 2010 period. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads for high-risk banks, even as it lowers deposit rates for both high-risk and low-risk banks. This adversely affects the balance sheets of borrowers of high-risk banks, leading to lower payouts, lower capital expenditures, and lower asset growth. These firms replace term loans drawing down existing credit lines. Our results suggest that during a banking crisis, the transmission of central bank liquidity to the real sector may be more effective if accompanied by a strengthening of banking sector health.
