Showing 1 - 10 of 55
We propose and implement a method to identify shocks to transition risk, addressing key challenges regarding its definition and measurement. Our shocks are instances where significant new information about the economic relevance of climate change increases the valuation of green firms over brown...
Persistent link: https://www.econbiz.de/10014000493
We propose and implement a method to identify shocks to transition risk, addressing key challenges regarding its definition and measurement. Our shocks are instances where significant new information about the economic relevance of climate change increases the valuation of green firms over brown...
Persistent link: https://www.econbiz.de/10014254123
This paper presents a new approach for modelling the connectedness between asset returns. We adapt the measure of Diebold and Y¸lmaz (2014), which is based on the forecast error variance decomposition of a VAR model. However, their connectedness measure hinges on critical assumptions with...
Persistent link: https://www.econbiz.de/10011969278
Central bank announcements move financial markets. The response of inflation and growth expectations, on the other hand, is often small or even counterintuitive. Based on tick-by-tick futures prices on bonds and stock prices, I confirm these seemingly puzzling results for the euro area and...
Persistent link: https://www.econbiz.de/10011984298
This paper studies the behavior of corporate bond spreads during different market regimes between 2004 and 2016. Applying a Markov-switching vector autoregressive (MS-VAR) model, we document that the dynamic impact of spread determinants varies substantially with market conditions. In periods of...
Persistent link: https://www.econbiz.de/10011984924
We provide a simulation smoother to a exible state-space model with lagged states and lagged dependent variables. Qian (2014) has introduced this state-space model and proposes a fast Kalman filter with time-varying state dimension in the presence of missing observations in the data. In this...
Persistent link: https://www.econbiz.de/10012000997
We analyse the cross-country dimension of financial cycles by studying cyclical co-movements in credit, house prices, equity prices and interest rates across the G7 economies. We use wavelet-based statistics to assess at which frequencies cyclical fluctuations and their crosscountry co-movements...
Persistent link: https://www.econbiz.de/10012021655
We analyse the macroeconomic effects of exogenous contractions in bank lending to non-financial corporations in the Euro Area, Germany, France, Italy and Spain using a Bayesian vector autoregressive model with endogenous hyperparameter selection and identification via sign restrictions. We focus...
Persistent link: https://www.econbiz.de/10012036741
The linear pool is the most popular method for combining density forecasts. We analyze the linear pool's implications concerning forecast uncertainty in a new theoretical framework that focuses on the mean and variance of each density forecast to be combined. Our results show that, if the...
Persistent link: https://www.econbiz.de/10012055471
The current paper broadens the understanding for the role of uncertainty in the context of a macroeconomic environment. It focuses on the implications of uncertainty shocks on indicators that tend to precede financial crises. In an empirical analysis we show for a set of four euro area countries...
Persistent link: https://www.econbiz.de/10012105935