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Securitization and Crash Risk : Evidence from Large European Banks
Battaglia, Francesca - 2018
The 2008 global financial crisis highlights the importance of securitization and crash risk. Yet there is a dearth of papers exploring the link between securitization and crash risk. We analyze 7,096 securitization deals made by large European listed banks between 2000 and 2017. Our paper...
Persistent link: https://www.econbiz.de/10012906555
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Persistent and Transient Inefficiency : Explaining the Low Efficiency of Chinese Big Banks
Fungáčová, Zuzana - 2018
Considering the evidence that China's five largest state-owned banks (the Big Five) suffer from low cost efficiency …, this paper decomposes overall efficiency of Chinese banks into: persistent efficiency and transient efficiency components …. Low persistent efficiency reflects structural problems, while low transient efficiency is associated with short …
Persistent link: https://www.econbiz.de/10012913953
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The International Transmission of Monetary Policy in a Dollar Pricing Model
Tervala, Juha - 2008
This paper analyses the international transmission of monetary policy in a case where all export prices are set in US dollars. 'Dollar pricing' implies that the international effects of US monetary shocks are different to those of European shocks because of asymmetric exchange rate pass-through...
Persistent link: https://www.econbiz.de/10012726261
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Export Pricing and the Cross-Country Correlation of Stock Prices
Tervala, Juha - 2018
This study analyses cross-country correlations of stock prices (values of firms) using the basic New Open Economy Macroeconomics model. We show that cross-country correlations of stock prices greatly depend on the currency of export pricing in the case of monetary shocks but not notably for...
Persistent link: https://www.econbiz.de/10012940690
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Leading Indicators of Systemic Banking Crises : Finland in a Panel of EU Countries
Lainà, Patrizio - 2017
This paper investigates leading indicators of systemic banking crises in a panel of 11 EU countries, with a particular focus on Finland. We use quarterly data from 1980Q1 to 2013Q2, in order to create a large number of macro-financial indicators, as well as their various transformations. We make...
Persistent link: https://www.econbiz.de/10012944124
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Leading Indicators of Systemic Banking Crises : Finland in a Panel of EU Countries
Lainà, Patrizio - 2014
This paper investigates leading indicators of systemic banking crises in a panel of 11 EU countries, with a particular focus on Finland. We use quarterly data from 1980Q1 to 2013Q2, in order to create a large number of macro-financial indicators, as well as their various transformations. We make...
Persistent link: https://www.econbiz.de/10013052383
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Toward Robust Early-Warning Models : A Horse Race, Ensembles and Model Uncertainty
Holopainen, Markus - 2015
​This paper presents first steps toward robust early-warning models. We conduct a horse race of conventional statistical methods and more recent machine learning methods. As early-warning models based upon one approach are oftentimes built in isolation of other methods, the exercise is of high...
Persistent link: https://www.econbiz.de/10013025658
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Contagion and Interdependence : Measuring CEE Banking Sector Co-Movements
Jokipii, Terhi - 2018
Making use of ten years of daily data, this paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) can be attributed to contagion or to interdependence. Our tests based on simple unadjusted correlation analysis uncover evidence...
Persistent link: https://www.econbiz.de/10012934707
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Growth Strategies and Value Creation : What Works Best for Stock Exchanges?
Hasan, Iftekhar - 2010
In recent years, demutualized stock exchanges have increasingly engaged in M&A and alliance activities. To shed light on this topic, we investigate short-run share price responses to the formation of 110 stock exchange M&As and alliances in the period 2000–2008. Our findings show that the...
Persistent link: https://www.econbiz.de/10013147413
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Are There Economies of Scale in Stock Exchange Activities?
Malkamäki, Markku - 2009
This is the first paper that examines economies of scale in stock exchanges. The data employed in the study include cost and output statistics for 37 stock exchanges in four continents around the world for the year 1997. I estimate two traditional cost functions and find that ray (overall) scale...
Persistent link: https://www.econbiz.de/10012721113