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Default Predictors and Credit Scoring Models for Retail Banking
Kočenda, Evžen - 2013
This paper develops a specification of the credit scoring model with high discriminatory power to analyze data on loans at the retail banking market. Parametric and non- parametric approaches are employed to produce three models using logistic regression (parametric) and one model using...
Persistent link: https://www.econbiz.de/10013095290
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Business Cycle Effects of Credit and Technology Shocks in a DSGE Model with Firm Defaults
Pesaran, M. Hashem - 2011
This paper proposes a theoretical framework to analyze the impacts of credit and technology shocks on business cycle dynamics, where firms rely on banks and households for capital financing. Firms are identical ex ante but differ ex post due to different realizations of firm specific technology...
Persistent link: https://www.econbiz.de/10013119521
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Do Banks Pass Through Credit Expansions? The Marginal Profitability of Consumer Lending During the Great Recession
Agarwal, Sumit - 2015
We examine the ability of policymakers to stimulate household borrowing and spending during the Great Recession by reducing banks' cost of funds. Using panel data on 8.5 million U.S. credit card accounts and 743 credit limit regression discontinuities, we estimate the marginal propensity to...
Persistent link: https://www.econbiz.de/10013013488
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Robust Bond Risk Premia
Bauer, Michael - 2015
structure can help predict interest rates and excess bond returns. We demonstrate that the statistical tests that have been used … highly persistent regressors and correlation between the true predictors and lags of the dependent variable. We revisit the … slope of the yield curve are robust predictors of excess bond returns, and there is no robust and convincing evidence for …
Persistent link: https://www.econbiz.de/10013012562
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Weak and Strong Cross Section Dependence and Estimation of Large Panels
Chudik, Alexander - 2009
an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …
Persistent link: https://www.econbiz.de/10013158328
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A Multiple Testing Approach to the Regularisation of Large Sample Correlation Markets
Bailey, Natalia - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of …
Persistent link: https://www.econbiz.de/10013051612
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Exponent of Cross-Sectional Dependence : Estimation and Inference
Bailey, Natalia - 2012
An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...
Persistent link: https://www.econbiz.de/10013111367
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Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash
Pesaran, Bahram - 2013
version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and show that the t-DCC model …
Persistent link: https://www.econbiz.de/10013094817
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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
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How Strongly Did the 2007/08 Oil Price Hike Contribute to the Subsequent Recession?
Carstensen, Kai - 2011
What were the economic consequences of the 2007/08 oil price hike for Germany? In this paper we use a structural vector autoregressive model to study the effects of oil price changes driven by different supply and demand shocks on the German economy. We find that a higher oil bill always stifles...
Persistent link: https://www.econbiz.de/10013129250