Narrow search
Showing 1 - 10 of 1,862
Cover Image
Are bootstrapped cointegration test findings unreliable?
Schreiber, Sven - 2018
Applied time series research often faces the challenge that (a) potentially relevant variables are unobservable, (b) it is fundamentally uncertain which covariates are relevant. Thus cointegration is often analyzed in partial systems, ignoring potential (stationary) covariates. By simulating...
Persistent link: https://www.econbiz.de/10011843041
Cover Image
Apparent bubbles and misspecified fundamentals
Smith, Gregor W. - 1987
Persistent link: https://www.econbiz.de/10003532777
Cover Image
Banks, markets, and financial stability
Eder, Armin; Fecht, Falko; Pausch, Thilo - 2014
We use a Diamond/Dybvig-based model with two banks operating in separate regions connected by a common asset market in which banks and sophisticated depositors invest. We study the effect of a potential run (crisis) and subsequent fire sales on the asset price in both the crisis and no-crisis...
Persistent link: https://www.econbiz.de/10010433396
Cover Image
LTV regulation and housing bubbles
Chevallier, Claire Océane; El Joueidi, Sarah - 2020
Persistent link: https://www.econbiz.de/10012818364
Cover Image
Speculative trade and market newcomers
Klishchuk, Bogdan - 2019
Arguing that in the real world relatively optimistic inexperienced investors are prey for relatively pessimistic veteran traders, we formalize this intuitive conjecture as a proven proposition in a simple model. This agreement to disagree leads to a perpetual bubble, in which more experienced,...
Persistent link: https://www.econbiz.de/10012064782
Cover Image
LTV regulation and housing bubbles
Chevallier, Claire Océane; El Joueidi, Sarah - 2022
Persistent link: https://www.econbiz.de/10013337353
Cover Image
Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?
Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015
In the last decade, stress tests have become indispensable in bank risk management which has led to significantly increased requirements for stress tests for banks and regulators. Although the complexity of stress testing frameworks has been enhanced considerably over the course of the last few...
Persistent link: https://www.econbiz.de/10011419593
Cover Image
Calculating trading book capital : is risk separation appropriate?
Raupach, Peter - 2015
Regulatory capital for trading book positions includes two components that cover different risks but apply to the same portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic capital. Although it is known that joint market...
Persistent link: https://www.econbiz.de/10011299075
Cover Image
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
Cover Image
Are there bubbles in the Sterling-dollar Exchange Rate? : new evidence from Sequential ADF Tests
Bettendorf, Timo; Chen, Wenjuan - 2012
There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. Standard … unit root and cointegration tests are criticized for their low power to detect rational bubbles that periodically collapse …. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. Our …
Persistent link: https://www.econbiz.de/10009704893