Showing 1 - 10 of 65
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10010503874
Persistent link: https://www.econbiz.de/10003693057
Well-anchored inflation expectations have become a key indicator for the credibility of a central bank’s inflation target. Since the outbreak of the recent financial crisis, the existence and the degree of de-anchoring of U.S. inflation expectations have been under debate. This paper...
Persistent link: https://www.econbiz.de/10010529337
This paper employs numerical simulations of the Park and Sabourian (2011) herd model to derive new theory-based predictions for how information risk and market stress influence aggregate herding intensity. We test these predictions empirically using a comprehensive data set of highfrequency and...
Persistent link: https://www.econbiz.de/10010356865
To what extent are US and Euro Area (EA) inflation expectations determined by foreign shocks? How do transmissions …
Persistent link: https://www.econbiz.de/10011458367
Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...
Persistent link: https://www.econbiz.de/10011309638
Are financial cycles an international phenomenon, and, if so, how do financial cycles interact? This letter provides new evidence for the US and the UK. Considering the properties of the data in both the time and the frequency domains, we find a strong relation between the financial cycles of...
Persistent link: https://www.econbiz.de/10010529345
We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break …
Persistent link: https://www.econbiz.de/10010255370
We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....
Persistent link: https://www.econbiz.de/10009634306
connected nodes and node spe- ci c characteristics in a quantile autoregression process. A minimum contrast estimation approach …
Persistent link: https://www.econbiz.de/10011572028