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Model-based business cycle and financial cycle decomposition for Europe and the U.S.

Koopman, Siem Jan; Lit, Rutger; Lucas, André - 2016

We develop a multivariate unobserved components model to extract business cycle and financial cycle indicators from a panel of economic and financial time series of four large developed economies. Our model is flexible and allows for the inclusion of cycle components in different selections of...

Persistent link: https://www.econbiz.de/10011520505

The dynamic factor network model with an application to global credit-risk

Bräuning, Falk; Koopman, Siem Jan - 2016

We introduce a dynamic network model with probabilistic link functions that depend on stochastically time-varying parameters. We adopt the widely used blockmodel framework and allow the high-dimensional vector of link probabilities to be a function of a low-dimensional set of dynamic factors....

Persistent link: https://www.econbiz.de/10011566388

A capital adequacy buffer model

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013

circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel …

Persistent link: https://www.econbiz.de/10010224793

The political economy of financial systems

Haber, Stephen H.; Perotti, Enrico C. - 2008

This survey reviews the literature on the political economy of financial structure, broadly defined to include the size of capital markets and banking systems as well as the distribution of access to external finance across firms.The theoretical literature on the institutional basis for...

Persistent link: https://www.econbiz.de/10011374399

Can relationship banking survive competition?

Boot, Arnoud W. A.; Thakor, Anjan V. - 1998

Persistent link: https://www.econbiz.de/10000984707

Bayesian forecasting of federal funds target rate decisions

Hauwe, Sjoerd van den; Dijk, Dick van; Paap, Richard - 2011

Persistent link: https://www.econbiz.de/10009720780

Unsecured and secured funding

Di Filippo, Mario; Ranaldo, Angelo; Wrampelmeyer, Jan - 2018

We empirically investigate why wholesale funding is fragile by providing the first study of how individual banks borrow and lend in the euro unsecured and secured interbank market. Consistent with theories in which lenders enforce market discipline by monitoring counterparty credit risk and...

Persistent link: https://www.econbiz.de/10011818292

Bank deregulation, competition and economic growth : the US free banking experience

Ager, Philipp; Spargoli, Fabrizio - 2013

removing barriers to bank entry on bank competition and economic growth. As governments were not concerned about systemic … stability in this period, we are able to isolate the effects of bank competition from those of state implicit guarantees. We … find that the introduction of free banking laws stimulated the creation of new banks and led to more bank failures. Our …

Persistent link: https://www.econbiz.de/10010227307

The political economy of financial systems

Haber, Stephen H.; Perotti, Enrico C. - 2008

Persistent link: https://www.econbiz.de/10003739017

Washington meets Wall Street : a closer examination of the presidential cycle puzzle

Kräussl, Roman; Lucas, André; Rijsbergen, David; … - 2008

Persistent link: https://www.econbiz.de/10003787145

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