Similar Search Results

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

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

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

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

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

A wake-up call theory of contagion

Ahnert, Toni; Bertsch, Christoph - 2022

We offer a theory of financial c ontagion b ased o n t he i nformation c hoice o f i nvestors after observing a financial crisis e lsewhere. We study global coordination games of regime change in two regions linked by an initially unobserved macro shock. A crisis in region 1 is a wake-up call to...

Persistent link: https://www.econbiz.de/10013189252

Efficiency gains of a European banking union

Schoenmaker, Dirk; Siegmann, Adriaan Hendrik - 2013

Persistent link: https://www.econbiz.de/10010191428

Twin default crises

Mendicino, Caterina; Nikolov, Kalin; Rubio-Ramírez, … - 2020

We study the interaction between borrowers' and banks' solvency in a quantitative macroeconomic model with financial frictions in which bank assets are a portfolio of defaultable loans. We show that ex-ante imperfect diversification of bank lending generates bank asset returns with limited...

Persistent link: https://www.econbiz.de/10012224086

Targeting financial stability : macroprudential or monetary policy?

Aikman, David; Giese, Julia; Kapadia, Sujit; McLeay, Michael - 2019

This paper explores monetary-macroprudential policy interactions in a simple, calibrated New Keynesian model incorporating the possibility of a credit boom precipitating a financial crisis and a loss function reflecting financial stability considerations. Deploying the countercyclical capital...

Persistent link: https://www.econbiz.de/10012009108

A framework for early-warning modeling with an application to banks

Lang, Jan Hannes; Peltonen, Tuomo; Sarlin, Peter - 2018

This paper proposes a framework for deriving early-warning models with optimal out-of-sample forecasting properties and … specification with optimal real-time out-of-sample forecasting properties. Third, the paper illustrates how the modeling framework …

Persistent link: https://www.econbiz.de/10011920949

1
2
3
4
5
6
7
8
9
10
Next
Last