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The Great Recession versus the Great Depression: stylized facts on siblings that were given different foster parents
Aiginger, Karl - Institut für Weltwirtschaft (IfW) - 2010
This paper compares the depth of the Recent Crisis and the Great Depression. We use a new data set to compare the drop in activity in the industrialized countries for seven activity indicators. This is done under the assumption that the Recent Crisis leveled off in mid-2009 for production and...
Persistent link: https://www.econbiz.de/10008615592
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Debt deleveraging and business cycles: An agent-based perspective
Raberto, Marco; Teglio, Andrea; Cincotti, Silvano - Institut für Weltwirtschaft (IfW) - 2011
The recent financial crises pointed out the central role of public and private debt in modern economies. However, even … if debt is a recurring topic in discussions about the current economic situation, economic modelling does not take into … account debt as one of the crucial determinants of economic dynamics. Our contribution, in this paper, is to investigate the …
Persistent link: https://www.econbiz.de/10009246869
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Different risk-adjusted fund performance measures: a comparison
Grau-Carles, Pilar; Sainz, Jorge; Otamendi, Javier; … - Institut für Weltwirtschaft (IfW) - 2009
Traditional risk-adjusted performance measures, such as the Sharpe ratio, the Treynor index or Jensen's alpha, based on the mean-variance framework, are widely used to rank mutual funds. However, performance measures that consider risk by taking into account only losses, such as Value-at-Risk...
Persistent link: https://www.econbiz.de/10008561128
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Financial stress and economic dynamics: an application to France
Aboura, Sofiane; Roye, Björn van - Institut für Weltwirtschaft (IfW) - 2013
In this paper, we develop a financial stress index for France that can be used as a real-time composite indicator for the state of financial stability in France. We take 17 financial variables from different market segments and extract a common stress component using a dynamic approximate factor...
Persistent link: https://www.econbiz.de/10010886871
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Register, issue, cap and trade: A proposal for ending current and future financial crises
Milne, Alistair - Institut für Weltwirtschaft (IfW) - 2012
A fundamental cause of the global financial crisis was excessive creation of short-term money-like liabilities (quasi-money), notably in shadow banking holdings of sub-prime MBS and other US dollar structured credit instruments and in cross-border flow of capital to the uncompetitive Euro area...
Persistent link: https://www.econbiz.de/10010956136
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Modelling bank asset quality and profitability: An empirical assessment
Swamy, Vighneswara - Institut für Weltwirtschaft (IfW) - 2015
The determinants of default risk of banks in emerging economies have so far received inadequate attention in the literature. This paper seeks to study the determinants of bank asset quality and profitability using panel data techniques and robust data sets for the period between 1997 and 2009....
Persistent link: https://www.econbiz.de/10011263002
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Credit conditions indices: controlling for regime shifts in the Norwegian credit market
Jansen, Eilev S.; Krogh, Tord S. H. - Institut für Weltwirtschaft (IfW) - 2011
regulations. In order to take account of these effects the authors control explicitly for regime shifts in a system of debt …
Persistent link: https://www.econbiz.de/10009025225
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Good governance problems and recent financial crises in some EU countries
Gamberger, Dragan; Smuc, Tomislav - Institut für Weltwirtschaft (IfW) - 2013
This study examines 147 banking crises in the period of 1976-2011 documented by the International Monetary Fund. The countries affected by crises are analysed in respect of publicly available World Bank indicators in the periods of three years before the crises. Machine learning methodology for...
Persistent link: https://www.econbiz.de/10010956094
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The Dynamics of Business Investment Following Banking Crises and Normal Recessions
Jannsen, Nils - Institut für Weltwirtschaft (IfW) - 2015
I empirically analyze the dynamics of business investment following normal recessions (declines in business investment that are not associated with banking crises) and banking crises. Using a panel of 16 advanced economies, I find evidence for significant non-linear trend reversion or...
Persistent link: https://www.econbiz.de/10011272151
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Debt and Interest Rates: The U.S. and the Euro Area
Frankel, Jeffrey; Chinn, Menzie D. - Institut für Weltwirtschaft (IfW) - 2007
We find that real interest rates paid on government debt depend significantly upon current and expected future levels … of debt, in Europe as in the US. But this result only emerges when we condition on foreign interest rates, illustrating … financial international integration. The previously strong effect of debt on US interest rates has been diluted by the addition …
Persistent link: https://www.econbiz.de/10005083400