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Conditional probabilities and contagion measures for Euro area sovereign default risk

Zhang, Xin; Schwaab, Bernd; Lucas, André - 2011

Persistent link: https://www.econbiz.de/10009720702

Model-free measurement of exchange market pressure

Klaassen, Franc; Jager, Henk - 2006

If there is exchange market pressure (EMP), monetary authorities can use the interest rate and official interventions to offset this depreciation tendency, or they can let the exchange rate change. We introduce a new approach to derive how these three variables should be combined to measure EMP....

Persistent link: https://www.econbiz.de/10011350376

Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models …

Persistent link: https://www.econbiz.de/10011378229

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Output divergence in fixed exchange rate regimes : is the euro area growing apart?

Chen, Yao; Ward, Felix - 2022 - This version: April 2022

calibrated to the euro area, the model implies a slowdown in the TFP growth rate of the euro area's periphery relative to its … TFP growth in the aftermath of joining the euro. …

Persistent link: https://www.econbiz.de/10013186796

The importance of accounting for time trends when estimating the Euro effect on trade

Bun, Maurice J. G.; Klaassen, Franc - 2004

To study the effect of the euro on international goods trade one typically estimates a panel model for the level of … euro is only present at the end of the sample, this may have led to an upward bias in existing euro estimates to help … have different effects across country-pairs. Data on industrialized countries over 1967-2002 show the existing euro effects …

Persistent link: https://www.econbiz.de/10011334328

The importance of heterogeneity in dynamic network models applied to European systemic risk

Zhang, Xingmin; Opschoor, Anne; Lucas, André - 2021

Standard spatial time-series models for financial networks can fail substantially in uncovering empirical network and risk dynamics. We propose a novel empirical spatial modeling framework that solves this problem by accommodating both heterogeneity and time-variation in economic connections and...

Persistent link: https://www.econbiz.de/10012650168

Identifying the weights in exchange market pressure

Klaassen, Franc - 2011

Persistent link: https://www.econbiz.de/10008857053

Identifying the weights in exchange market pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currencyto depreciate. It adds to the actual depreciation a weightedcombination of policy instruments used to ward off depreciation,such as interest rates and foreign exchange interventions, where theweights are their effectiveness. The...

Persistent link: https://www.econbiz.de/10011383023

Identifying the weights in exchange market pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....

Persistent link: https://www.econbiz.de/10011383120