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Market Finance as a Spare Tyre? Corporate Investment and Access to Bank Credit in Europe

Andersson, Malin; Maurin, Laurent; Rusinova, Desislava - 2021

We estimate a FAVAR with Bayesian techniques in order to investigate the impact of loan supply conditions on euro area corporate investment and its financing structure. We identify shocks to overall demand and loan supply with sign and impact restrictions. Although tightened financial conditions...

Persistent link: https://www.econbiz.de/10013324181

Economic Analysis Using Higher Frequency Time Series : Challenges for Seasonal Adjustment

Ollech, Daniel - 2022

The COVID-19 pandemic has increased the need for timely and granular information to assess the state of the economy in real time. Weekly and daily indices have been constructed using higher frequency data to address this need. Yet the seasonal and calendar adjustment of the underlying time...

Persistent link: https://www.econbiz.de/10013306820

Financial Conditions Index and Credit Supply Shocks for the Euro Area

Darracq Paries, Matthieu - 2014

We implement a two-step approach to construct a financing conditions index (FCI) for the euro area and its four larger member states (Germany, France, Italy and Spain). The method, which follows Hatzius et al. (2010), is based on factor analysis and enables to summarise information on financing...

Persistent link: https://www.econbiz.de/10013058648

On time series modeling of Nigeria's external reserves

Doguwa, Sani I.; Alade, Sarah O. - In: CBN journal of applied statistics 6 (2015) 1, pp. 1-28

This paper proposes three short-term forecasting models for the adjusted external reserves using the seasonal …-out-of-sample forecasting procedure over July 2013 to May 2014. The results show that SARIMA model outperformed the other models in three to six … months forecast horizon, whereas ARDL model performs better in one to two months forecast horizon. Therefore, in forecasting …

Persistent link: https://www.econbiz.de/10011473622

Interbank Loans, Collateral and Modern Monetary Policy

Wolski, Marcin - 2016

This study develops a novel agent-based model of the interbank market with endogenous credit risk formation mechanisms. We allow banks to exchange funds through unsecured and secured transactions in order to facilitate the flow of funds to the most pro table investment projects. Our model...

Persistent link: https://www.econbiz.de/10012983086

Firm or bank weakness? Access to finance since the European sovereign debt crisis

Corbisiero, Giuseppe; Faccia, Donata - 2020

This paper uses a unique dataset where credit rejections experienced by euro area firms are matched with firm and bank characteristics. This allows us to study simultaneously the role that bank and firm weakness had in the credit reduction observed in the euro area during the sovereign debt...

Persistent link: https://www.econbiz.de/10012389564

Caution: Do not cross! Capital buffers and lending in Covid-19 times

Couaillier, Cyril; Lo Duca, Marco; Reghezza, Alessio; … - 2022

While regulatory capital buffers are expected to be drawn to absorb losses and meet credit demand during crises, this paper shows that banks were unwilling to do so during the pandemic. To the contrary, banks engaged in forms of pro-cyclical behaviour to preserve capital ratios. By employing...

Persistent link: https://www.econbiz.de/10013272135

Gender diversity in bank boardrooms and green lending: Evidence from euro area credit register data

Gambacorta, Leonardo; Pancotto, Livia; Reghezza, Alessio; … - 2022

Do female directors on banks' boards influence lending decisions toward less polluting firms? By using granular credit register data matched with information on firm-level greenhouse gas (GHG) emission intensities, we isolate credit supply shifts and find that banks with more gender-diverse...

Persistent link: https://www.econbiz.de/10014278315

Investigating chaos in the Nigerian Asset and Resource Management (ARM) discovery fund

Fuwape, Ibiyinka A.; Ogunjo, Samuel T. - In: CBN journal of applied statistics 4 (2013) 2, pp. 129-140

This paper investigates chaos in a Nigerian mutual fund, Asset and Resource Management Company Limited (ARM) for a period of eleven years. The existence of chaotic signals in the data was identified by the reconstruction of the phase space of the daily closing price of the fund and the delay...

Persistent link: https://www.econbiz.de/10011474696

Exchange-rates volatility in Nigeria : application of GARCH models with exogenous break

Bala, Dahiru A.; Asemota, Joseph O. - In: CBN journal of applied statistics 4 (2013) 1, pp. 89-116

This paper examines exchange-rate volatility with GARCH models using monthly exchange-rate return series from 1985:1 to 2011:7 for Naira/US dollar return and from 2004:1 to 2011:7 for Naira/British Pounds and Naira/Euro returns. The study compare estimates of variants of GARCH models with break...

Persistent link: https://www.econbiz.de/10011476095