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Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2016

Persistent link: https://www.econbiz.de/10011618479

Private and public risk sharing in the euro area

Cimadomo, Jacopo; Furtuna, Oana; Giuliodori, Massimo - 2018

This paper investigates the contribution of private and public channels for consumption risk sharing in the EMU over the period 1999-2015. In particular, we explore the role of financial integration versus international financial assistance for private consumption smoothing in this set of...

Persistent link: https://www.econbiz.de/10011856373

Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …

Persistent link: https://www.econbiz.de/10009006653

Central banks, macro-financial stability and the future of the financial system

George, Esther L.; Acemoglu, Daron; Allen, Hilary J.; … - BIS Annual Conference <22., 2023, Basel> - 2023

Persistent link: https://www.econbiz.de/10014442377

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011349820

A minimal moral hazard central stabilisation capacity for the EMU based on world trade

Beetsma, Roel; Cima, Simone; Cimadomo, Jacopo - 2018

, because the transfers are based on changes in world trade in the various sectors. These changes can be considered as largely … manipulation. Our scheme works as follows: if a sector is hit by a bad shock at the world market level, then a country with an … addition, since transfers are based on temporary changes in world trade, the danger of permanent transfers from one set of …

Persistent link: https://www.econbiz.de/10011810026

Risk endogeneity at the lender/investor-of-last-resort

Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank portfolio credit risks associated with such...

Persistent link: https://www.econbiz.de/10011959298

Conditional and joint credit risk

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2013

Persistent link: https://www.econbiz.de/10010233247

Real-time data and fiscal analysis : a survey of the literature

Cimadomo, Jacopo - 2011

This paper surveys the empirical research on fiscal policy analysis based on real-time data. This literature can be broadly divided in three groups that focus on: (1) the statistical properties of revisions in fiscal data; (2) the political and institutional determinants of projection errors by...

Persistent link: https://www.econbiz.de/10009405594

Modeling extreme events : time-varying extreme tail shape

Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021

Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a …

Persistent link: https://www.econbiz.de/10012429187