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Conditional probabilities and contagion measures for Euro area sovereign default risk

Zhang, Xin; Schwaab, Bernd; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720702

Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models …

Persistent link: https://www.econbiz.de/10011378229

What option prices tell us about the ECB's unconventional monetary policies

Olijslagers, Stan; Petersen, Annelie; Vette, Nander de; … - 2018

We use a series of different approaches to extract information about crash risk from option prices for the Euro …

Persistent link: https://www.econbiz.de/10011940034

Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads

Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016

We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...

Persistent link: https://www.econbiz.de/10011531096

Output divergence in fixed exchange rate regimes : is the euro area growing apart?

Chen, Yao; Ward, Felix - 2022 - This version: April 2022

calibrated to the euro area, the model implies a slowdown in the TFP growth rate of the euro area's periphery relative to its … TFP growth in the aftermath of joining the euro. …

Persistent link: https://www.econbiz.de/10013186796

The importance of accounting for time trends when estimating the Euro effect on trade

Bun, Maurice J. G.; Klaassen, Franc - 2004

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … euro is only present at the end of the sample, this may have led to an upward bias in existing euro estimates to help … have different effects across country-pairs. Data on industrialized countries over 1967-2002 show the existing euro effects …

Persistent link: https://www.econbiz.de/10011334328