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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

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

Targeting financial stability : macroprudential or monetary policy?

Aikman, David; Giese, Julia; Kapadia, Sujit; McLeay, Michael - 2019

This paper explores monetary-macroprudential policy interactions in a simple, calibrated New Keynesian model incorporating the possibility of a credit boom precipitating a financial crisis and a loss function reflecting financial stability considerations. Deploying the countercyclical capital...

Persistent link: https://www.econbiz.de/10012009108

Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach

Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021

-of-sample predictions and forecasting. We identify economic drivers of our machine learning models using a novel framework based on Shapley …

Persistent link: https://www.econbiz.de/10012705396

Financial policy in an exuberant world

Walther, Ansgar - 2020

This paper studies optimal financial policy in a world where the financial sector can become excessively optimistic. I decompose the welfare effects of bank capital regulation to demonstrate the effects of exuberance and its interaction with incentive problems in banking. The optimal policy...

Persistent link: https://www.econbiz.de/10012178343

Latent fragility : conditioning banks' joint probability of default on the financial cycle

Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2022

We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...

Persistent link: https://www.econbiz.de/10013332831

A wake-up call theory of contagion

Ahnert, Toni; Bertsch, Christoph - 2022

We offer a theory of financial c ontagion b ased o n t he i nformation c hoice o f i nvestors after observing a financial crisis e lsewhere. We study global coordination games of regime change in two regions linked by an initially unobserved macro shock. A crisis in region 1 is a wake-up call to...

Persistent link: https://www.econbiz.de/10013189252

How income expectations adjust to inflation - a consumers' expectations-revealed pass-through

Aprigliano, Valentina; Di Nino, Virginia - 2024

We use inflation and income growth expectations from the ECB Consumer Expectations Survey to measure the subjective expected pass-through of inflation to income in the main euro area countries. By aggregating consumers' responses to probabilistic questions, we obtain significantly higher...

Persistent link: https://www.econbiz.de/10015176978

Putting the New Keynesian DSGE model to the real-time forecasting test

Kolasa, Marcin; Rubaszek, Michał; Skrzypczyński, Paweł - 2009

. Nevertheless, their forecasting properties are still barely explored. We fill this gap by comparing the quality of real … priors from a DSGE model. We show that the analyzed DSGE model is relatively successful in forecasting the US economy in the … accurate forecasting power of the DSGE turns out to be similar or better than that of the SPF for all the variables and …

Persistent link: https://www.econbiz.de/10003963819