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Dynamic factor models with macro, frailty and industry effects for US default counts : the credit crisis of 2008
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2012
Persistent link: https://www.econbiz.de/10009765151
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Bank to sovereign risk spillovers across borders : evidence from the ECB's comprehensive assessment
Breckenfelder, Johannes; Schwaab, Bernd - 2018
We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European … absorbed by their sovereigns but spilled over to non-stressed euro area sovereigns. As a result, in non-stressed countries, the … shared within the euro area. …
Persistent link: https://www.econbiz.de/10011924410
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Risk endogeneity at the lender/investor-of-last-resort
Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019
We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank portfolio credit risks associated with such...
Persistent link: https://www.econbiz.de/10011959298
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Euro area sovereign bond risk premia during the Covid-19 pandemic
Corradin, Stefano; Grimm, Niklas; Schwaab, Bernd - 2021
We decompose euro area sovereign bond yields into five distinct components: i) expected future short-term risk …
Persistent link: https://www.econbiz.de/10012519519
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Can EU bonds serve as euro- denominated safe assets?
Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022
achieving a genuine euro-denominated safe asset status, approaching that of Bunds, lies in the one-off, time-limited nature of …
Persistent link: https://www.econbiz.de/10013342231