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A macroeconomic reverse stress test
Grundke, Peter; Pliszka, Kamil - 2015
Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...
Persistent link: https://www.econbiz.de/10011335351
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A Macroeconomic Reverse Stress Test
Grundke, Peter - 2016
Reverse stress tests are a relatively new stress test instrument that aims at finding exactly those scenarios that cause a bank to cross the frontier between survival and default. Afterward, the scenario which is most probable has to be identified. This paper sketches a framework for a...
Persistent link: https://www.econbiz.de/10012988674
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Macroeconomic now- and forecasting based on the factor error correction model using targeted mixed frequency indicators
Kurz-Kim, Jeong-Ryeol - 2016
Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...
Persistent link: https://www.econbiz.de/10011567405
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Large mixed-frequency VARs with a parsimonious time-varying parameter structure
Götz, Thomas B.; Hauzenberger, Klemens - 2018
To simultaneously consider mixed-frequency time series, their joint dynamics, and possible structural changes, we introduce a time-varying parameter mixed-frequency VAR. To keep our approach from becoming too complex, we implement time variation parsimoniously: only the intercepts and a common...
Persistent link: https://www.econbiz.de/10011904464
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MIDAS and bridge equations
Schumacher, Christian - 2014
This paper compares two single-equation approaches from the recent nowcast literature: Mixed-data sampling (MIDAS) regressions and bridge equations. Both approach are used to nowcast a low-frequency variable such as quarterly GDP growth by higher-frequency business cycle indicators. Three...
Persistent link: https://www.econbiz.de/10010435205
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Macroeconomic Now- and Forecasting Based on the Factor Error Correction Model Using Targeted Mixed Frequency Indicators
Kurz-Kim, Jeong-Ryeol - 2016
Since the influential paper of Stock and Watson (2002), the dynamic factor model (DFM) has been widely used for forecasting macroeconomic key variables such as GDP. However, the DFM has some weaknesses. For nowcasting, the dynamic factor model is modified by using the mixed data sampling...
Persistent link: https://www.econbiz.de/10012977505
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Midas and Bridge Equations
Schumacher, Christian - 2016
This paper compares two single-equation approaches from the recent nowcast literature: Mixed-data sampling (MIDAS) regressions and bridge equations. Both approach are used to nowcast a low-frequency variable such as quarterly GDP growth by higher-frequency business cycle indicators. Three...
Persistent link: https://www.econbiz.de/10012988719
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On Measuring Uncertainty and its Impact on Investment : Cross-Country Evidence from the Euro Area
Meinen, Philipp - 2016
Investment fell sharply in the euro area after the financial crisis and has not yet returned to pre-crisis levels in … investment dynamics. By doing so, we compare five prominent uncertainty proxies put forward in the recent literature: the … type of uncertainty proxy, we document pronounced negative investment responses to uncertainty shocks. We further show that …
Persistent link: https://www.econbiz.de/10012977301
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Credit risk interconnectedness: What does the market really know?
Abbassi, Puriya; Brownlees, Christian; Hans, Christina; … - 2016
We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...
Persistent link: https://www.econbiz.de/10011460748
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Credit Risk Interconnectedness : What Does the Market Really Know?
Abbassi, Puriya - 2016
We analyze the relation between market-based credit risk interconnectedness among banks during the crisis and the associated balance sheet linkages via funding and securities holdings. For identification, we use a proprietary dataset that has the funding positions of banks at the bank-to-bank...
Persistent link: https://www.econbiz.de/10012988628