Marcel Bluhm

Xiamen University | XMU · The Wang Yanan Institute For Studies in Economics

I develop a theory of multiple maturity segments on the interbank market based on the persistence of liquidity shocks and banks’ liquidity management. The developed framework is embedded in a micro-founded network model, which features interbank funding as an over-the-counter phenomenon and replicates financial system phenomena of network formation...

This paper proposes a new approach to use qualitative information for investigating central banks' monetary policy strategy. Quantitative assessment indicators which are generated from a central bank's public statement with the balance statistic method are used to estimate Taylor-type rules. This procedure allows to directly capture a policymaker's...

This paper makes a conceptual contribution to the effect of monetary policy on �financial stability. We develop a microfounded network model with endogenous network formation to analyze the impact of central banks' monetary policy interventions on systemic risk. Banks choose their portfolio, including their borrowing and lending decisions on the in...

We analyze the emergence of systemic risk in a network model of interconnected bank balance sheets. The model incorporates multiple sources of systemic risk, including size of financial institutions, direct exposure from interbank lendings, and asset fire sales. We suggest a new macroprudential risk management approach building on a system wide val...

We develop a dynamic network model whose links are governed by banks' optmizing decisions and by an endogenous tâtonnement market adjustment. Banks in our model can default and engage in firesales: risk is transmitted through direct and cascading counterparty defaults as well as through indirect pecuniary externalities triggered by firesales. We us...

This paper outlines a new method for using qualitative information to analyze the monetary policy strategy of central banks. Quantitative assessment indicators that are extracted from a central bank's public statements via the balance statistic approach are employed to estimate a Taylor-type rule. This procedure allows to directly capture a policy...

This paper analyzes the emergence of systemic risk in a network model of interconnected bank balance sheets. Given a shock to asset values of one or several banks, systemic risk in the form of multiple bank defaults depends on the strength of balance sheets and asset market liquidity. The price of bank assets on the secondary market is endogenous i...

Firs draft: March 2011. Abstract The monitoring and assessment of systemic risk in complex financial systems has become paramount in the design of reforms devoted to safeguard financial stability. Against this back-ground stands the lack of proper models devoted to such a task and used to analyze the optimal design of financial regulation. In this...

The empirical evidence currently available in the literature regarding the effects of a country's IMF program participation on its output growth is rather mixed. To shed new evidence on this issue, in this paper we specify a state-dependent panel data model accounting in particular for program participation selection and the potential conditionalit...

The empirical evidence currently available in the literature regarding the eects of a country's IMF program participation on its output growth is rather mixed. To shed new evidence on this issue, in this paper we specify a panel data model accounting in particular for sam- ple selection, aspects of endogeneity, and the potential conditionality of o...

This paper reinvestigates the monetary policy of the Bundesbank from 1970 to 1998. Using a new dataset with cardinal assessment indicators that are extracted from statements the Bundesbank gave in its monthly bulletins, a monetary policy rule is estimated. This approach allows to directly capture policymakers' assessments of macroeconomic variables...