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A minimal moral hazard central stabilisation capacity for the EMU based on world trade

Beetsma, Roel; Cima, Simone; Cimadomo, Jacopo - 2018

, because the transfers are based on changes in world trade in the various sectors. These changes can be considered as largely … manipulation. Our scheme works as follows: if a sector is hit by a bad shock at the world market level, then a country with an … addition, since transfers are based on temporary changes in world trade, the danger of permanent transfers from one set of …

Persistent link: https://www.econbiz.de/10011810026

Incentives for effective risk management

Daníelsson, Jón; Jorgensen, Bjorn N.; Vries, Casper G. de - 2001

Under the new Capital Accord, banks choose between two different types of risk management systems, the standard or the internal rating based approach. The paper considers how a bank's preference for a risk management system is affected by the presence of supervision by bank regulators. The model...

Persistent link: https://www.econbiz.de/10011318589

Has the Euro increased trade?

Bun, Maurice J. G.; Klaassen, Franc - 2002

A major economic reason for the introduction of the euro was its supposedly positive effect on intra-EMU trade. Existing studies examine this suspicion indirectly using non-EMU data and report ambiguous results. We estimate the euro-effect directly from data that include EMU observations. Using...

Persistent link: https://www.econbiz.de/10011327839

In-sample bounds for time-varying parameters of observation driven models

Blasques, Francisco; Koopman, Siem Jan; Łasak, Katarzyna; … - 2015

We study the performance of two analytical methods and one simulation method for computing in-sample confidence bounds for time-varying parameters. These in-sample bounds are designed to reflect parameter uncertainty in the associated filter. They are applicable to the complete class of...

Persistent link: https://www.econbiz.de/10010484891

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010391543

Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective

Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2010

We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...

Persistent link: https://www.econbiz.de/10011379607

Directed search in the housing market

Albrecht, James W.; Gautier, Pieter; Vroman, Susan B. - 2009

In this paper, we present a directed search model of the housing market. The pricing mechanism we analyze reflects the way houses are bought and sold in the United States. Our model is consistent with the observation that houses are sometimes sold above, sometimes below and sometimes at the...

Persistent link: https://www.econbiz.de/10011379608

Systemic risk diagnostics

Schwaab, Bernd; Lucas, André; Koopman, Siem Jan - 2010

, and the rest of the world. Controlling for global,region-specific, and industry effects, we construct coincident measures …

Persistent link: https://www.econbiz.de/10011382067

Identifying the weights in exchange market pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...

Persistent link: https://www.econbiz.de/10011383023