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Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010391543

Nowcasting and forecasting economic growth in the Euro area using principal components

Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10010395082

A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises

Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011441491

Efficiency gains of a European banking union

Schoenmaker, Dirk; Siegmann, Adriaan Hendrik - 2013

Persistent link: https://www.econbiz.de/10010191428

Business cycles and the balance sheets of the financial and non-financial sectors

Villacorta, Alonso - 2018

I propose and estimate a dynamic model of financial intermediation to study the different roles of the condition of banks' and firms' balance sheets in real activity. The net worth of firms determines their borrowing capacity both from households and banks. Banks provide risky loans to multiple...

Persistent link: https://www.econbiz.de/10011848362

Financial contagion and the wealth effect : an experimental study

Bayona, Anna; Peia, Oana - 2020

We design a laboratory experiment to test the importance of wealth as a channel for financial contagion across markets with unrelated fundamentals. Specifically, in a sequential global game, we analyze the decisions of a group of investors that hold assets in two markets. We consider two...

Persistent link: https://www.econbiz.de/10012182689

Decomposing financial (in)stability in emerging economies

Lepers, Etienne; Sánchez Serrano, Antonio - 2017

The build-up of risks in advanced economies has seen a lot of research efforts in the recent years, while similar research efforts on emerging economies have not been so strong and, when undertaken, have focused mostly on its international dimension. Simultaneously, the financial system of the...

Persistent link: https://www.econbiz.de/10011976156

Use of unit root methods in early warning of financial crises

Virtanen, Timo; Tölö, Eero; Virén, Matti E. E.; … - 2017

In several recent studies unit root methods have been used in detection of financial bubbles in asset prices. The basic idea is that fundamental changes in the autocorrelation structure of relevant time series imply the presence of a rational price bubble. We provide cross-country evidence for...

Persistent link: https://www.econbiz.de/10011976947

Pockets of risk in European housing markets : then and now

Kelly, Jane; Le Blanc, Julia; Lydon, Reamonn - 2019

Using household survey data, we document evidence of a loosening of credit standards in Euro area countries that experienced a property price boom-and-bust cycle. Borrowers in these countries exhibited significantly higher loan-to-value (LTV) and loan-to-income (LTI) ratios in the run up to the...

Persistent link: https://www.econbiz.de/10011978833

Effectiveness of policy and regulation in European sovereign credit risk markets : a network analysis

Buse, Rebekka; Schienle, Melanie; Urban, Jörg - 2019

We study the impact of changes in regulations and policy interventions on systemic risk among European sovereigns measured as volatility spillovers in respective credit risk markets. Our unique intraday CDS dataset allows for precise measurement of the effectiveness of these events in a network...

Persistent link: https://www.econbiz.de/10011992508

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