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During the euro-area financial crisis, interactions among sovereign spreads, sovereign credit ratings, and bank credit …, we consider a panel of five euro-area stressed countries within a three-equation simultaneous system in which sovereign … estimation, which allows us to calculate persistence and multiplier effects. Second, we apply a new, system timevarying …
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This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...
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Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....
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