Similar Search Results

Market perception of sovereign credit risk in the euro area during the financial crisis

Camba-Méndez, Gonzalo; Serwa, Dobromil - 2014

We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...

Persistent link: https://www.econbiz.de/10011605755

Financial reputation, market interventions and debt issuance by banks: a truncated two-part model approach

Camba-Méndez, Gonzalo; Carbó-Valverde, Santiago; … - 2014

In this paper we study the impact that financial reputation and official market interventions have on the timing and amount of debt issuance decisions by banks. To do so, we propose an extension of the two-part modelling framework of Cragg (1971, eq. 7 and 9) to accommodate random effects. We...

Persistent link: https://www.econbiz.de/10011605786

Pricing sovereign credit risk of an emerging market

Camba-Méndez, Gonzalo; Kostrzewa, Konrad; Marszal, Anna; … - 2016

We analyze the market assessment of sovereign credit risk in an emerging market using a reduced-form model to price the credit default swap (CDS) spreads thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts....

Persistent link: https://www.econbiz.de/10011605969

Bank interest rate setting in the euro area during the Great Recession

Camba-Méndez, Gonzalo; Durré, Alain; Mongelli, … - 2016

This paper sheds light on how recent financial tensions in the euro area were ultimately reflected in bank interest rate setting. We make two new contributions. First, we develop a theoretical model capturing banks financing and the rate setting choices. Banks in the model can finance themselves...

Persistent link: https://www.econbiz.de/10011606010

Forecasting euro area inflation using dynamic factor measures of underlying inflation

Camba-Méndez, Gonzalo; Kapetanios, George - 2004

use of measures of underlying in?ation to formulate monetary policy and assist in forecasting observed in?ation. Recent … disaggregated price indices for European countries. We then assess the forecasting ability of these factor estimates against other … 12 to 18 months is adopted as a valid criterion to assess forecasting. Empirical results for the ?ve largest euro area …

Persistent link: https://www.econbiz.de/10011604448

An automatic leading indicator, variable reduction and variable selection methods using small and large datasets: Forecasting the industrial production growth for euro area economi...

Camba-Méndez, Gonzalo; Kapetanios, George; Papailias, Fotis - 2015

This paper assesses the forecasting performance of various variable reduction and variable selection methods. A small … and a large set of wisely chosen variables are used in forecasting the industrial production growth for four Euro Area …

Persistent link: https://www.econbiz.de/10011605818