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Altavilla, C., Burlon, L., Giannetti, M., & Holton, S. (2022). Is there a zero lower bound? the effects of negative policy rates on banks and firms. Journal of Financial Economics, 144(3), 885â907.
Athey, S., & Imbens, G. W. (2022). Design-based analysis in difference-in-differences settings with staggered adoption. Journal of Econometrics, 226(1), 62â79.
- âTiming groupsâ refers to comparisons between earlier and later treated units. âNever treated vs timingâ refers to comparisons between never-treated and treated units. âWithinâ refers to the within component of the estimator, which gives an idea about the variation due to the inclusion of control variables. Own depiction; Data Source: Research Data and Service Centre (RDSC) of the Deutsche Bundesbank, BISTA 1999-2022, used in 2022 and 2023, own calculations. Figure 16: Effect of Negative Household Deposit Rates on Deposits of all Households by Deposit Intensity, defined as Deposits over Total Assets, Own Illustration.
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Basten, C., & Mariathasan, M. (2023). Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves. Journal of Financial Stability, 68, 101â160.
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- Bundesbank, D. (2023). Monatsbericht april. Frankfurt am Main.
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- Caetano, C., Callaway, B., Payne, S., & Rodrigues, H. S. (2022). Difference in differences with time-varying covariates. arXiv preprint arXiv:2202.02903.
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Callaway, B., & SantâAnna, P. H. (2021). Difference-in-differences with multiple time periods. Journal of Econometrics, 225(2), 200â230.
Chiu, A., Lan, X., Liu, Z., & Xu, Y. (2023). What to do (and not to do) with causal panel analysis under parallel trends: Lessons from a large reanalysis study. Available at SSRN 4490035.
- Data Source: Research Data and Service Centre (RDSC) of the Deutsche Bundesbank, BISTA 1999-2022, used in 2022 and 2023, own calculations.
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- Data Source: Research Data and Service Centre (RDSC) of the Deutsche Bundesbank, BISTA 1999-2022, used in 2022 and 2023, own calculations.
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De Chaisemartin, C., & dâHaultfoeuille, X. (2020). Two-way fixed effects estimators with heterogeneous treatment effects. American Economic Review, 110(9), 2964â2996.
Demiralp, S., Eisenschmidt, J., & Vlassopoulos, T. (2021). Negative interest rates, excess liquidity and retail deposits: Banksâ reaction to unconventional monetary policy in the euro area. European Economic Review, 136, 103745.
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- Figure 19: Quantile-Quantile Plot comparing Bank Size (top panel) and Deposit Intensity (bottom panel) for NIR-Banks with and without the Date of Introduction in 05/2018 and 06/2022, Own Illustration.
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Fritsch, M., Kritikos, A. S., & Sorgner, A. (2015). Verdienen selbständige tatsächlich weniger als angestellte? DIW Wochenbericht, 82(7), 134â141.
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- Gov.) 272 65552 2755 10391 39658 317897 274 117307 3557 15815 62246 688441 Deposits (for. non-banks) 283 97031 1194 4311 15892 959166 283 110821 1527 5179 19106 1025358 Loans (all HH) 283 1659928 198290 538086 1380859 5469635 283 2033852 281710 673683 1757803 6741036 Saving Deposits (all HH) 283 591029 96388 283773 713633 1049929 283 563672 93238 270062 663298 1063359 Total Assets 283 5689574 491290 1331970 3425705 26197375 283 7848407 639526 1679469 4399526 40058664 Deposits (all dom. HH) 910 868296 85094 258222 646355 4320457 910 1190986 126875 393834 914934 5141259 Deposits (econ. ind. HH) 909 147082 14627 46121 107454 684434 909 201426 23085 65251 157563 884612 Total Deposits (emp. HH) 909 612379 59565 181038 472563 2794919 909 879359 92274 282256 690529 3833146 Deposits (other HH) 910 109669 7949 21992 63464 1074400 908 111634 9842 28276 76420 671601 Deposits (gen.
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- Gov.) 584 23306 1329 5446 21232 81405 584 33686 1592 6690 35704 66117 Deposits (for. non-banks) 619 12894 481 1795 7278 83579 621 24532 576 2201 8511 220418 Loans (all HH) 627 598039 98524 267321 707622 1247502 627 717109 125570 336157 897815 1298738 Saving Deposits (all HH) 627 289975 46790 141737 375687 416611 627 276645 45530 131558 355521 396765 Total Assets 627 1579397 208265 653071 1712560 3989032 627 1885403 271662 807678 2159761 3769763 Deposits (all dom. HH) 283 1813683 175813 416646 1179250 7576178 283 2438751 254730 591152 1622184 8956252 Deposits (econ. ind. HH) 283 315125 31333 75270 179764 1201430 283 424513 46063 105015 269149 1551336 NIR = 1 Deposits (emp. HH) 283 1250059 120458 294027 888521 4854204 283 1779532 174902 448695 1247821 6649780 Deposits (other HH) 283 248499 14172 38364 111814 1912426 283 234706 17152 51378 133335 1177139 Deposits (gen.
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Roth, J., SantâAnna, P. H., Bilinski, A., & Poe, J. (2023). Whatâs trending in difference-indifferences ? a synthesis of the recent econometrics literature. Journal of Econometrics.
SantâAnna, P. H., & Zhao, J. (2020). Doubly robust difference-in-differences estimators. Journal of Econometrics, 219(1), 101â122.
- Since the estimators by Callaway and SantâAnna (2021) and Borusyak et al. (2023) have only been recently proposed, they are discussed in a bit more detail. The CS estimator is build upon a particular disaggregation of the overall treatment effect, namely the group-time average treatment effect. The group-time average treatment effect is defined as the treatment effect for group g at time t, where a group is defined as a cohort of units first treated at time g. This effect is denoted in a potential outcomes framework by ATT(g, t) = E[Yt(g) â Yt(0)|Gg = 1]. The unit subscripts are omitted for clarity. The group-time effect parameters can then be used to compute more aggregated ones, for example event study parameters where group-time effects are aggregated for each event horizon e and weighted accordingly: βes(e) = X
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- Stahl, H. (2023). Selected master data for mfis (mamfi), data report 2023-04 - metdadata version mamfi-doc-v7. Deutsche Bundesbank, Research Data and Service Centre.
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Sun, L., & Abraham, S. (2021). Estimating dynamic treatment effects in event studies with heterogeneous treatment effects. Journal of Econometrics, 225(2), 175â199.
- Table 1: Statistics For Bank Balance Sheet Variables 05/2018 06/2022 N Mean P25 P50 P75 SD N Mean P25 P50 P75 SD Deposits (all dom. HH) 627 441590 63776 196126 537044 813469 627 627800 97997 2785617 775707 1107072 Deposits (econ. ind. HH) 626 71114 11043 34803 89236 103536 626 100573 17531 49165 133731 135175 NIR = 0 Deposits (emp. HH) 626 324098 45165 133069 381713 670467 626 472412 69186 204820 572777 928091 Deposits (other HH) 627 47007 6188 15454 46092 126355 625 55907 7293 20254 56909 139353 Deposits (gen.
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Ulate, M. (2021). Going negative at the zero lower bound: The effects of negative nominal interest rates. American Economic Review, 111(1), 1â40. https://doi.org/10.1257/ aer.20190848 Urbschat, F. (2018). The good, the bad, and the ugly: Impact of unconventional monetary policy on the profitability and risk-taking of 1600 german banks (tech. rep.). CESifo Working Paper, Munich.
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