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Financial crises and the dynamic linkages between stock and bond returns
Eraslan, Sercan; Ali, Faek Menla - 2017
This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...
Persistent link: https://www.econbiz.de/10011663407
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Spatial multivariate regressions with panel data
Mendonça, Mário Jorge Cardoso de; Medrano, Luis … - 2016
spatial correlation. The analysis of panel data introduced here allows us to analyze not only the fixed effect but also the …
Persistent link: https://www.econbiz.de/10012059270
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The credit quality channel : modeling contagion in the interbank market
Fink, Kilian; Krüger, Ulrich; Meller, Barbara; Wong, … - 2015
We propose an algorithm to model contagion in the interbank market via what we term the credit quality channel. In existing models on contagion via interbank credit, external shocks to banks often spread to other banks only in case of a default. In contrast, shocks are transmitted via asset...
Persistent link: https://www.econbiz.de/10011381702
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M-PRESS-CreditRisk : a holistic micro- and macroprudential approach to capital requirements
Tente, Natalia; Westernhagen, Natalja von; Slopek, Ulf … - 2017
M-PRESS-CreditRisk is a new top-down macro stress testing framework that can help supervisors gauge banks' capital adequacy related to credit risk. For the first time, it combines calibration of microprudential capital requirements and macroprudential buffers in a unified, coherent framework....
Persistent link: https://www.econbiz.de/10011663208
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Robust small area estimation under spatial non-stationarity
Baldermann, Claudia; Salvati, Nicola; Schmid, Timo - 2016
Geographically weighted small area methods have been studied in literature for small area estimation. Although these … approaches are useful for the estimation of small area means efficiently under strict parametric assumptions, they can be very … spatial non-stationarity. Mean squared error estimation is performed by two different analytic approaches that account for the …
Persistent link: https://www.econbiz.de/10011455039
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Identifying indicators of systemic risk
Hartwig, Benny; Meinerding, Christoph; Schüler, Yves - 2020
We operationalize the definition of systemic risk provided by the IMF, BIS, and FSB and derive testable hypotheses to identify indicators of systemic risk. We map these hypotheses into a two-stage hierarchical testing framework, combining insights from the early-warning literature on financial...
Persistent link: https://www.econbiz.de/10012234486
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The threat of systemic risk in banking - evidence for Europe
Schüler, Martin - 2002
Persistent link: https://www.econbiz.de/10013428472
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Analyzing business and financial cycles using multi-level factor models
Breitung, Jörg; Eickmeier, Sandra - 2014
This paper compares alternative estimation procedures for multi-level factor models which imply blocks of zero …
Persistent link: https://www.econbiz.de/10010373684
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Financial cycles in euro area economies : a cross-country perspective
Kunovac, Davor; Mandler, Martin; Scharnagl, Michael - 2018
estimation methodologies. Concerning time-variation we find evidence for a decline in the extent of co-movements in house prices …
Persistent link: https://www.econbiz.de/10011809188
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Financial frictions and global spillovers
Metiu, Norbert; Hilberg, Björn; Grill, Michael - 2015
We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10010493885