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Point, interval and density forecasts of exchange rates with time-varying parameter models

Abbate, Angela; Marcellino, Massimiliano - 2016

We explore whether modelling parameter time variation improves the point, interval and density forecasts of nine major exchange rates vis-a-vis the US dollar over the period 1976-2015. We find that modelling parameter time variation is needed for an accurate calibration of forecast confidence...

Persistent link: https://www.econbiz.de/10011490150

Point, Interval and Density Forecasts of Exchange Rates with Time-Varying Parameter Models

Abbate, Angela - 2016

Persistent link: https://www.econbiz.de/10012987883

Freeze! Financial sanctions and bank responses

Efing, Matthias; Goldbach, Stefan; Nitsch, Volker - 2018

We study the effects of financial sanctions on cross-border credit supply. Using a differences-in-differences approach to analyze eleven sanctions episodes between 2002 and 2015, we find that banks located in Germany reduce their positions in countries with sanctioned entities by 38%. The...

Persistent link: https://www.econbiz.de/10011939416

Asymmetric credit growth and current account imbalances in the euro area

Unger, Robert - 2015

The euro area crisis is often linked to the emergence of current account imbalances. As most of the deficit countries experienced pronounced credit booms at the same time that these imbalances were building up, this paper investigates the link between domestic credit developments and the current...

Persistent link: https://www.econbiz.de/10011372006

Maturity shortening and market failure

Thierfelder, Felix - 2012

uniform across maturities. As funding pressures were felt particularly severe at longer maturities, central banks saw a high … need to provide longer-term liquidity. The paper asks what market failure central banks were addressing by intervening and … the willingness of lenders to provide future long-term liquidity. Central banks, by promising to provide long …

Persistent link: https://www.econbiz.de/10010308262

Stress testing German banks against a global cost-of-capital shock

Duellmann, Klaus; Kick, Thomas - 2012

This paper introduces a stress test of the corporate credit portfolios of 24 large German banks by a two-stage approach: First, a macro-econometric model is used to forecast the impact of a substantial increase of the user cost of business capital for firms worldwide on three particularly...

Persistent link: https://www.econbiz.de/10010308263

Regulation, credit risk transfer with CDS, and bank lending

Pausch, Thilo; Welzel, Peter - 2012

We integrate Basel II (and III) regulations into the industrial organization approach to banking and analyze the interaction between capital adequacy regulation and credit risk transfer with credit default swaps (CDS) including its effect on lending behavior and risk sensitivity of a...

Persistent link: https://www.econbiz.de/10010308265

Executive board composition and bank risk taking

Berger, Allen N.; Kick, Thomas; Schaeck, Klaus - 2012

Little is known about how socioeconomic characteristics of executive teams affect corporate governance in banking. Exploiting a unique dataset, we show how age, gender, and education composition of executive teams affect risk taking of financial institutions. First, we establish that age,...

Persistent link: https://www.econbiz.de/10010308267

Credit portfolio modelling and its effect on capital requirements

Bülbül, Dilek; Lambert, Claudia - 2012

The subprime crisis revealed that the adoption of suitable systems for the management of credit risk is of utmost concern. The Basel Committee on Banking Supervision (2009) advises banks to use credit portfolio models with caution when assessing the capital adequacy. This paper investigates...

Persistent link: https://www.econbiz.de/10010308726

Capital regulation, liquidity requirements and taxation in a dynamic model of banking

De Nicolò, Gianni; Gamba, Andrea; Luccetta, Marcella - 2012

This paper studies the impact of bank regulation and taxation in a dynamic model where banks are exposed to credit and liquidity risk and can resolve financial distress in three costly forms: bond issuance, equity issuance or fire sales. We find an inverted U-shaped relationship between capital...

Persistent link: https://www.econbiz.de/10010308728