Similar Search Results

Forecasting stock market volatility with macroeconomic variables in real time

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - Deutsche Bundesbank - 2005

We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we … used a statistical, a utility-based, and an options-based criterion to evaluate volatility forecasts. Our main result is … that the statistical and economic value of volatility forecasts based on real-time data is comparable to the value of …

Persistent link: https://www.econbiz.de/10005082771

Real-time macroeconomic data and ex ante predictability of stock returns

Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - Deutsche Bundesbank - 2006

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised macroeconomic data. Our real-time macroeconomic data cover the period 1994-2005. We report three results. 1) Real-time macroeconomic data did not contribute much to ex ante...

Persistent link: https://www.econbiz.de/10005083182

The impact of downward rating momentum on credit portfolio risk

Güttler, André; Raupach, Peter - Deutsche Bundesbank - 2008

Rating downgrades are known to make subsequent downgrades more likely. We analyze the impact of this ?downward momentum? on credit portfolio risk. Using S&P ratings from 1996 to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitive to previous...

Persistent link: https://www.econbiz.de/10005082753

Forecasting Credit Portfolio Risk

Hamerle, Alfred; Liebig, Thilo; Scheule, Harald - Deutsche Bundesbank - 2004

The main challenge of forecasting credit default risk in loan portfolios is forecasting the default probabilities and the default correlations. We derive a Merton-style threshold-value model for the default probability which treats the asset value of a firm as unknown and uses a factor model...

Persistent link: https://www.econbiz.de/10005082801

Financial constraints and capacity adjustment in the United Kingdom: Evidence from a large panel of survey data

von Kalckreuth, Ulf; Murphy, Emma - Deutsche Bundesbank - 2005

The interrelationship between financial constraints and firm activity is a hotly debated issue. The way firms cope with financial constraints is fundamental to the analysis of monetary transmission, of financial stability and of growth and development. The CBI Industrial Trends Survey contains...

Persistent link: https://www.econbiz.de/10005083137

Recovery determinants of distressed banks: Regulators, market discipline, or the environment?

Kick, Thomas; Koetter, Michael; Poghosyan, Tigran - Deutsche Bundesbank - 2010

Based on detailed regulatory intervention data among German banks during 1994-2008, we test if supervisory measures affect the likelihood and the timing of bank recovery. Severe regulatory measures increase both the likelihood of recovery and its duration while weak measures are insignificant....

Persistent link: https://www.econbiz.de/10008595895

Households' disagreement on inflation expectations and socioeconomic media exposure in Germany

Menz, Jan-Oliver; Poppitz, Philipp - Deutsche Bundesbank - 2013

Inflation expectations are often found to depend on socioeconomic and demographic characteristics of households, such as age, income and education, however, the reasons for this systematic heterogeneity are not yet fully understood. Since accounting for these expectation differentials could help...

Persistent link: https://www.econbiz.de/10010957123

Efficient, profitable and safe banking: an oxymoron? Evidence from a panel VAR approach

Koetter, Michael; Porath, Daniel - Deutsche Bundesbank - 2007

Efficiency is considered a key factor when evaluating a bank's performance. Moreover, efficiency enhancement is an explicit policy objective in the Single Market Directive of the European Commission. But efficiency improvements may come at the expense of deteriorating bank profits and excessive...

Persistent link: https://www.econbiz.de/10005082751

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard; de Raaij, Gabriela - Deutsche Bundesbank - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10005083070

Real-time data and business cycle analysis in Germany

Döpke, Jörg - Deutsche Bundesbank - 2004

This paper examines the consequences of using "real-time" data for business cycle analysis in Germany based on a novel data set covering quarterly real output data from 1968 to 2001. Real-time output gaps are calculated. They differ considerably from their counterparts based on the most recent...

Persistent link: https://www.econbiz.de/10005083158

1
2
3
4
5
6
7
8
Next
Last