Workshop Cluster 4: "Reshaping the Banking Business - Current Trends and Future Challenges"
Timo Litty und Valentin Braun,
Housing as an Explanation for low Stock Market Participation? A Simulation Approach
Hierbei wird untersucht, inwiefern eine sehr niedrige Aktienmarktpartizipation in Deutschland rational begründet ist. Im ersten Abschnitt wird hierfür eine Portfoliooptimierung unter Berücksichtigung statischer Hauswert-zu-Nettovermögen-Anteilen auf Basis eines bundesweiten Hauspreisindex durchgeführt. Im Anschluss zeigt eine Monte-Carlo Simulation allgemeingültige Bezüge zwischen den einzelnen Assetklassen auf, die Aufschluss über die rationalen Aktienanteile eines Portfolios geben.
Determinants of Bank Liquidity Creation: Evidence from German Savings Banks
In spite of the large body of theoretic literature on bank liquidity, there are only a few research papers measuring the actual creation of bank liquidity. This lack of empirical evidence on bank liquidity creation is astounding, as liquidity is not only of high practical relevance to the subjects of an economy but is also used in bank theory to help explain the existence and role of banks in an economy. To add to this body of literature and help further understand the liquidity transformation and creation by banks, the research conducted in the analysis at hand measures the liquidity created by German savings banks over the period 1997-2006. To do so, two measures of liquidity creation are applied: the Berger/Bouwman method introduced in 2007 and the Deep and Schaefer method introduced in 2004. The secondary goal of this analysis is to find out which determinants influence the liquidity creation or destruction over time. Existing micro- and macroeconomic theories on banking provide specific predictions regarding the effects of certain determinants on bank liquidity. The analysis empirically tests these effects on the liquidity created by German savings banks between 1997 and 2006 and therefore helps to understand how bank liquidity is influenced and which factors are responsible for the changes in bank liquidity creation.
Electronic Marketplaces and Intermediation - The Spontaneous Emergence of Intermediaries on an Online P2P Lending Marketplace
Prior literature provides arguments in favour of disintermediation due to the increasing role of electronic marketplaces. Our analysis of an electronic lending platform provides differentiated results: we find that there are participants on the electronic market acting as financial intermediaries, and that intermediation services significantly improve borrowers' credit conditions.
We analyze the role of intermediaries on electronic markets using detailed data of more than 14,000 originated loans on an electronic P2P (person-to-person) lending platform. On such an electronic credit market lenders bid for supplying a private loan. Screening of potential borrowers and the monitoring of loan repayment can be delegated to designated group leaders. We find that these participants act as financial intermediaries between borrowers and lenders and significantly improve borrowers' credit conditions. As suggested by traditional intermediation theory (e.g. Diamond, 1984, Leland and Pyle, 1976), the intermediary creates value by reducing information asymmetries between borrowers and lenders. We document the positive impact of the intermediary's screening activities. Based on superior private information, the recommendation of a borrower significantly improves credit conditions. Moreover, the intermediary's bid on a credit listing has an even stronger impact on the resulting interest rate. A mandatory screening process by means of the intermediary's commitment to screen every loan listing within the group furthermore significantly improves borrowers' access to credit. Our findings are robust to self-selection and characteristics of the financial transactions, and may be surprising given the long discussion on disintermediation due to electronic marketplaces. Our results contribute to the existing literature on electronic markets and disintermediation and yield some interesting implications for the design of P2P lending platforms and the behaviour of its participants.