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How repayments manipulate our perceptions about loan dynamics after a boom
Adalid, Ramón; Falagiarda, Matteo - 2018
We propose a method to decompose net lending flows into loan origination and repayments. We show that a boom in loan origination is transmitted to repayments with a very long lag, depressing the growth rate of the stock for many periods. In the euro area, repayments of the mortgage loans granted...
Persistent link: https://www.econbiz.de/10011958891
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Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - 2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010491332
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Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components
Hindrayanto, Irma; Koopman, Siem Jan; de Winter, Jasper - 2014
short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …
Persistent link: https://www.econbiz.de/10010491343
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Low frequency and weighted likelihood solutions for mixed frequency dynamic factor models
Blasques, Francisco; Koopman, Siem Jan; Mallee, Max I. P. - 2014
The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...
Persistent link: https://www.econbiz.de/10010391543
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Nowcasting and forecasting economic growth in the Euro area using principal components
Hindrayanto, Irma; Koopman, Siem Jan; Winter, Jasper de - 2014
short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …
Persistent link: https://www.econbiz.de/10010395082
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Efficiency Gains of a European Banking Union
Schoenmaker, Dirk; Siegmann, Arjen - 2013
An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic effects of a banking failure, a European Resolution...
Persistent link: https://www.econbiz.de/10010326204
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A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises
Guo, Xu; McAleer, Michael; Wong, Wing-Keung; Zhu, Lixing - 2016
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011451517
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Toward a unified framework of credit creation
Becke, Susanne von der; Sornette, Didier - 2014
We identify the origin of the contradicting perspectives on credit creation offered by Austrian, Mainstream and Post Keynesian economists as the neglect of the primacy of such assets as goods, properties and securities, which always pre-exist any transaction and loan. We develop a unified...
Persistent link: https://www.econbiz.de/10010337985
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A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises
Guo, Xu; McAleer, Michael; Wong, Wing Keung; Zhu, Lixing - 2016
In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...
Persistent link: https://www.econbiz.de/10011441491
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Credit growth, the yield curve and financial crisis prediction : evidence from a machine learning approach
Bluwstein, Kristina; Buckmann, Marcus; Joseph, Andreas; … - 2021
-of-sample predictions and forecasting. We identify economic drivers of our machine learning models using a novel framework based on Shapley …
Persistent link: https://www.econbiz.de/10012705396