Moment estimators of the extreme value index for randomly censored data in the Weibull domain of attraction

This paper addresses the problem of estimating the extreme value index in presence of random censoring for distributions in the Weibull domain of attraction. The methodologies introduced in [Worms (2014)], in the heavy-tailed case, are adapted here to the negative extreme value index framework, leading to the definition of weighted versions of the popular moments of relative excesses with arbitrary exponent. This leads to the definition of two families of estimators (with an adaptation of the so called Moment estimator as a particular case), for which the consistency is proved under a first order condition. Illustration of their performance, issued from an extensive simulation study, are provided

A Lynden-Bell integral estimator for extremes of randomly truncated data

This work deals with the estimation of the extreme value index and extreme quantiles for heavy tailed data,randomly right truncated by another heavy tailed variable. Under mild assumptions and the condition thatthe truncated variable is less heavy-tailed than the truncating variable, asymptotic normality is proved for bothestimators. The proposed estimator of the extreme value index is an adaptation of the Hill estimator, in thenatural form of a Lynden-Bell integral. Simulations illustrate the quality of the estimators under a variety ofsituations

Effects of curative treatment emphasizing endurance training on the performance and blood pressure of hypertensive and normotensives

The problem of normal values of blood pressure after exercise taking into account the blood pressure at the end of the exercise test is discussed. Hypertensives showed a lower working capacity than normotensives. In normotensives, however, systolic blood pressure at the end of an exercise correlated well with the working capacity. After the endurance cure submaximal blood pressure was markedly lower in hypertensives with a striking dependence on the level of initial values. Systolic blood pressure at the end of an exercise test was not changed significantly. Most probably it is not possible to overcome this malregulation in hypertensives by endurance training alone

The reaction of bank lending to monetary policy measures in Germany

A crucial condition for the existence of a credit channel through bank loans is that monetary policy should be able to change bank loan supply. This paper contributes to the discussion on this issue by presenting empirical evidence from dynamic panel estimations based on a dataset that comprises individual balance sheet information on all German banks. It shows that the average bank reduces its lending more sharply in reaction to a restrictive monetary policy measure the lower its ratio of short-term interbank deposits to total assets. A dependence on its size can only be found if explicitly controlled for this dominating effect and/or if the very small banks are excluded. Overall, the evidence is compatible with the existence of a credit channel JEL Classification: C23, E52, G21credit channel, dynamic panel data, financial structure, Monetary policy transmission

Transparency in monetary policy

For some time now the buzzword 'transparency' has been bandied about in the media almost daily. For example, calls were made for greater transparency in the financial system in connection with developments in the Asian financial markets. But the call for greater transparency goes far beyond the financial markets. It is now regarded as a necessary part of "good governance" demanded of all economic policy makers. As the World Bank's chief economist Joseph Stiglitz put it: 'No one would dare say that they were against transparency (....): It would be like saying you were against motherhood or apple pie.' This paper focuses on transparency in monetary policy, in particular with respect to the European System of Central Bank

Interbank lending and monetary policy transmission: evidence for Germany

This paper presents empirical evidence on the behaviour of interbank lending in Germany after a monetary policy impulse. Our VAR analysis shows that following a monetary contraction, the banking system as a whole attracts additional funds from foreign banks. Whereas small cooperative and savings banks do not seem to directly access the interbank market themselves, they do so indirectly through the head institutions of their sectors, i.e. the savings banks and credit cooperative sector, respectively. The interbank flows within these two sectors allow small banks to access funds that might help them in keeping their loan portfolio relatively unaffected. This may explain why the evidence for a bank lending channel in Germany seems to be weaker compared to other countries, e.g. the US. -- Dieses Papier präsentiert empirische Evidenz zum Verhalten der Interbankkredite in Deutschland nach einem geldpolitischen Impuls. Unsere VAR-Analyse zeigt, dass das Bankensystem als Ganzes nach einer geldpolitischen Kontraktion zusätzliche Mittel von Banken aus dem Ausland aufnimmt. Während kleine Kreditgenossenschaften und Sparkassen nicht direkt auf den Interbankenmarkt zugreifen, tun sie dies indirekt durch die übergeordneten Institute ihres jeweiligen Girosystems, d.h. des Genossenschafts- bzw. Sparkassensektors. Die Interbankströme innerhalb dieser beiden Sektoren erlauben es auf diese Weise kleinen Banken an Mittel zu gelangen, mit deren Hilfe sie die Wirkungen geldpolitischer Maßnahmen auf ihr Kreditportefeuille abfedern können. Dies könnte auch erklären, warum die Evidenz für einen Bankkreditkanal in Deutschland schwächer zu sein scheint als in anderen Ländern, beispielsweise den USA.monetary policy,bank lending channel,interbank market

Interbank lending and monetary policy transmission - evidence for Germany

This paper presents empirical evidence on the behaviour of interbank lending in Germany after a monetary policy impulse. Our VAR analysis shows that following a monetary contraction, the banking system as a whole attracts additional funds from foreign banks. Whereas small cooperative and savings banks do not seem to directly access the interbank market themselves, they do so indirectly through the head institutions of their sectors, i.e. the savings banks` and credit cooperative sector, respectively. The interbank flows within these two sectors allow small banks to access funds that might help them in keeping their loan portfolio relatively unaffected. This may explain why the evidence for a bank lending channel in Germany seems to be weaker compared to other countries, e.g. the US. JEL Classification: C32, E52, G21bank lending channel, Interbank Market, monetary policy

Macroeconomic fluctuations and bank lending: evidence for Germany and the euro area

This paper analyzes how bank lending to the private nonbank sector responds dynamically to aggregate supply, demand and monetary policy shocks in Germany and the euro area. The results suggest that the dynamic responses in the two areas are broadly similar, although there are some differences in the relative contribution of the three shocks to the development of output, prices, interest rates and bank loans over time. In order to assess the role of bank lending in the transmission of macroeconomic shocks, we perform counterfactual simulations and analyze the dynamic responses of German loan sub-aggregates in order to test the distributional implications of potential credit market frictions. The results suggest that there is no evidence that loans amplify the transmission of macroeconomic fluctuations or that a "financial accelerator" via bank lending exists. --Business cycle fluctuations,bank lending,SVAR model,sign restrictions

Money-based interest rate rules: lessons from German data

The paper derives the monetary policy reaction function implied by money growth targeting. It consists of an interest rate response to deviations of the inflation rate from target, to the change in the output gap, to money demand shocks and to the lagged interest rate. In the second part, it is shown that this type of inertial interest rate rule characterises the Bundesbank's monetary policy from 1979 to 1998 quite well. This result is robust to the use of real-time or ex post data and to the consideration of serially correlated errors. The main lesson is that, in addition to anchoring long-term inflation expectations, monetary targeting introduces inertia and history-dependence into the monetary policy rule. This is advantageous when private agents have forward-looking expectations and when the level of the output gap is subject to persistent measurement errors. --Monetary policy,Taylor rule,money growth targets,history dependence