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Short and Long-Run Behaviour of Long-Term Sovereign Bond Yields

Afonso, António - 2010

period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the … estimator of Pesaran (2006) and on Panel Error Correction Models to sort out short- and long-run fiscal developments show that …

Persistent link: https://www.econbiz.de/10013135912

A Micro Data Aproach to the Identification of Credit Crunches

Rottmann, Horst - 2013

This paper presents a micro data approach to the identification of credit crunches. Using a survey among German firms which regularly queries the firms' assessment of the current willingness of banks to extend credit we estimate the probability of a restrictive credit supply policy by time...

Persistent link: https://www.econbiz.de/10013094402

How Banks Respond to Negative Interest Rates : Evidence from the Swiss Exemption Threshold

Basten, Christoph - 2018

Switzerland. For identification, we compare changes in the behavior of banks that had different fractions of their central bank …

Persistent link: https://www.econbiz.de/10012921277

Long-Run Determinants of Sovereign Yields

Afonso, António; Rault, Christophe - 2021

We study sovereign bond yields in OECD countries with a dynamic panel by checking for cross-section dependence …; assessing panel cointegration; and estimating panel error-correction models. The results show that markets consider budgetary …

Persistent link: https://www.econbiz.de/10013316172

Macroeconomic Factors and Micro-Level Bank Risk

Buch, Claudia M. - 2013

address the following questions. How are macroeconomic shocks transmitted to bank risk and other banking variables? What are … the sources of bank heterogeneity, and what explains differences in individual banks' responses to macroeconomic shocks …? Our paper has two main findings: (i) Average bank risk declines, and average bank lending increases following expansionary …

Persistent link: https://www.econbiz.de/10013094240

How Do Banks and Households Manage Interest Rate Risk? Evidence from the Swiss Mortgage Market

Basten, Christoph - 2017

We exploit a unique data set that features both un-intermediated mortgage requests and independent offers from multiple banks for each request. We show that households typically are not prudent risk managers but prioritize the minimization of current mortgage payments over the risk of possible...

Persistent link: https://www.econbiz.de/10012946926

Catching-Up and Inflation in Europe : Balassa-Samuelson, Engel's Law and Other Culprits

Égert, Balázs - 2013

focus on the new member countries of Central and Eastern Europe. Using an array of estimation methods, we show that the …

Persistent link: https://www.econbiz.de/10013094566

Dutch Disease Scare in Kazakhstan : Is it Real?

Égert, Balázs; Leonard, Carol Scott - 2021

In this paper we explore the evidence that would establish that Dutch disease is at work in, or poses a threat to, the Kazakh economy. Assessing the mechanism by which fluctuations in the price of oil can damage non-oil manufacturing and thus long-term growth prospects in an economy that relies...

Persistent link: https://www.econbiz.de/10013317109

Bank Networks : Contagion, Systemic Risk and Prudential Policy

Aldasoro, Iñaki - 2015

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...

Persistent link: https://www.econbiz.de/10013028909

Cash Flow Duration and the Term Structure of Equity Returns

Weber, Michael - 2016

The term structure of equity returns is downward-sloping: stocks with high cash flow duration earn 1.10% per month lower returns than short-duration stocks in the cross section. I create a measure of cash flow duration at the firm level using balance sheet data to show this novel fact. Factor...

Persistent link: https://www.econbiz.de/10012981605