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How repayments manipulate our perceptions about loan dynamics after a boom

Adalid, Ramón; Falagiarda, Matteo - 2018

We propose a method to decompose net lending flows into loan origination and repayments. We show that a boom in loan origination is transmitted to repayments with a very long lag, depressing the growth rate of the stock for many periods. In the euro area, repayments of the mortgage loans granted...

Persistent link: https://www.econbiz.de/10011958891

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

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

Tackling the volatility paradox : spillover persistence and systemic risk

Kubitza, Christian - 2024

Financial losses can have persistent effects on the financial sy stem. This paper proposes an empirical measure for the duration of these effects, S pillover P ersistence. I d ocument that Spillover Persistence is strongly correlated with financial c onditions; d uring b anking crises, Spillover...

Persistent link: https://www.econbiz.de/10015176897

Efficiency gains of a European banking union

Schoenmaker, Dirk; Siegmann, Adriaan Hendrik - 2013

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

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

Semi-structural credit gap estimation

Lang, Jan Hannes; Welz, Peter - 2018

This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived that depends on four fundamental economic factors: real potential GDP, the...

Persistent link: https://www.econbiz.de/10011928898

Cross-country linkages and spill-overs in early warning models for financial crises

Lang, Jan Hannes - 2018

This paper uses data on bilateral foreign exposures of domestic banking systems in order to construct early warning models for financial crises that take into account cross-country spill-overs of vulnerabilities. The empirical results show that incorporating cross-country financial linkages can...

Persistent link: https://www.econbiz.de/10011864175

A framework for early-warning modeling with an application to banks

Lang, Jan Hannes; Peltonen, Tuomo; Sarlin, Peter - 2018

This paper proposes a framework for deriving early-warning models with optimal out-of-sample forecasting properties and … specification with optimal real-time out-of-sample forecasting properties. Third, the paper illustrates how the modeling framework …

Persistent link: https://www.econbiz.de/10011920949

How robust is the result that the cost of "leaning against the wind" exceeds the benefit? : response to Adrian and Liang

Svensson, Lars E. O. - 2017

The main result in Svensson (2017) and its previous versions is that, given current knowledge and empirical estimates, the cost of using monetary policy to \lean against the wind" for financialstability purposes exceeds the benefit by a substantial margin. Adrian and Liang (2016a) conduct a...

Persistent link: https://www.econbiz.de/10011637310