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Global credit risk : world, country and industry factors

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2015

area sovereign debt crises. We find that macro and default-specific world factors are a primary source of default …

Persistent link: https://www.econbiz.de/10010484886

Klaassen, Franc; Teulings, Rutger - 2017

all variables proposed by theory, despite a broad set of fixed effects (FE). We find that both REERs are important and … multilateral resistances. Untangling normalization helps to get a better view of what is still unexplained by theory. …

Persistent link: https://www.econbiz.de/10011791519

Generalized dynamic panel data models with random effects for cross-section and time

Mesters, Geert; Koopman, Siem Jan - 2012

Persistent link: https://www.econbiz.de/10009722706

Network, market, and book-based systemic risk rankings

Leur, Michiel van de; Lucas, André - 2016

We investigate the information content of stock correlation based network measures for systemic risk rankings, such as SIFIRank (based on Google's PageRank). Using European banking data, we first show that SIFIRank is empirically equivalent to a ranking based on average pairwise stock...

Persistent link: https://www.econbiz.de/10011531142