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Bijsterbosch, Martin; Dahlhaus, Tatjana - 2011

This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses panel probit models to analyse key determinants...

Persistent link: https://www.econbiz.de/10011605404

Macro-networks: an application to the euro area financial accounts

Castrén, Olli; Rancan, Michela - 2013

We use financial accounts data at sector level to construct financial networks for individual euro area countries. We then connect the country-level networks to one large “Macro Network”, using information on cross-border linkages between the national banking sectors. We then evaluate the...

Persistent link: https://www.econbiz.de/10011605555

Financial policy in an exuberant world

Walther, Ansgar - 2020

This paper studies optimal financial policy in a world where the financial sector can become excessively optimistic. I decompose the welfare effects of bank capital regulation to demonstrate the effects of exuberance and its interaction with incentive problems in banking. The optimal policy...

Persistent link: https://www.econbiz.de/10012422042

A framework for early-warning modeling with an application to banks

Lang, Jan Hannes; Peltonen, Tuomo; Sarlin, Peter - 2018

This paper proposes a framework for deriving early-warning models with optimal out-of-sample forecasting properties and … specification with optimal real-time out-of-sample forecasting properties. Third, the paper illustrates how the modeling framework …

Persistent link: https://www.econbiz.de/10012142026

To what extent are financial crises comparable and thus predictable?

Diamondopoulos, John - Volkswirtschaftliche Fakultät, … - 2012

This paper critically examines the quantitative approach to financial crises from two perspectives. First, the assumption of comparability of financial crises is analyzed. The key question here is: how comparable are crises? An important consideration here is the context – social and...

Persistent link: https://www.econbiz.de/10011259713

Asymmetric information and financial markets

Estrada, Fernando - Volkswirtschaftliche Fakultät, … - 2012

This paper aims to explore the relevance of the Asymmetric Information and the Theory of Argumentation TA in the complex area of financial crises. Specifically, we investigated the scope of the phenomenon of persuasion in advertising. It examines advertisements in publications notable economic...

Persistent link: https://www.econbiz.de/10011111296

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

Fundamentals and joint currency crises

Hartmann, Philipp; Straetmans, Stefan; de Vries, Casper - 2004

In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...

Persistent link: https://www.econbiz.de/10011604370

Signals from housing and lending booms

Bunda, Irina; Ca' Zorzi, Michele - 2009

The contribution of this paper is to revisit the Early Warning System (EWS) literature by analysing selected episodes of financial market crisis, i.e. those preceded by a spell of credit and real estate expansions. The aim is to disentangle instances when this constitutes a natural phenomenon...

Persistent link: https://www.econbiz.de/10011605140

The dark side of bank wholesale funding

Huang, Rocco; Ratnovski, Lev - 2010

Banks increasingly use short-term wholesale funds to supplement traditional retail deposits. Existing literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad but refinancing good ones. This paper models a "dark side" of...

Persistent link: https://www.econbiz.de/10011605269