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Probability of informed trading on the euro overnight market rate: an update
Idier, Julien; Nardelli, Stefano - 2008
analyze the role and impact of heterogeneities in euro overnight unsecured market. The empirical assessment of the functioning … against some significant events that occurred in the euro money market, such as the reform of the Eurosystem’s operational … of this market is based on the PIN which measures the ability of traders to interpret signals on the expected evolution …
Persistent link: https://www.econbiz.de/10011605033
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Trade with Central and Eastern Europe : Is it Really a Threat to Wages in the West?
Polgar, Eva Katalin - 2010
This paper analyses the relationship between openness to trade and wages at the industry level (15 manufacturing industries) in 25 EU countries over the period from 1995 to 2005. By applying a cross-country and industry-specific approach, it is possible to control for unobserved heterogeneity at...
Persistent link: https://www.econbiz.de/10013138239
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Risk, Capital Buffer and Bank Lending : A Granular Approach to the Adjustment of Euro Area Banks
Maurin, Laurent - 2012
ratio, lending policy and holding of securities. The model is estimated on a panel of listed euro area banks and country …
Persistent link: https://www.econbiz.de/10013097610
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The Business Cycle Implications of Banks' Maturity Transformation
Andreasen, Martin M. - 2012
This paper develops a DSGE model where banks use short-term deposits to provide firms with long-term credit. The demand for long-term credit arises because firms borrow in order to finance their capital stock which they only adjust at infrequent intervals. Within an RBC framework, we show that...
Persistent link: https://www.econbiz.de/10013099027
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Bank Ratings : What Determines Their Quality?
Hau, Harald - 2012
This paper examines the quality of credit ratings assigned to banks in Europe and the United States by the three largest rating agencies over the past two decades. We interpret credit ratings as relative assessments of creditworthiness, and define a new ordinal metric of rating error based on...
Persistent link: https://www.econbiz.de/10013099611
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Fragmentation, Incomes and Jobs : An Analysis of European Competitiveness
Timmer, Marcel P. - 2013
Increasing fragmentation of production across borders is changing the nature of international competition. As a result, conventional indicators of competitiveness based on gross exports become less informative and new measures are needed. In this paper we propose an ex-post accounting framework...
Persistent link: https://www.econbiz.de/10013072991
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House Price Cycles in Europe
Corradin, Stefano - 2013
Euro area sovereign debt crisis …
Persistent link: https://www.econbiz.de/10013072994
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Setting Countercyclical Capital Buffers Based on Early Warning Models : Would it Work?
Behn, Markus - 2013
This paper assesses the usefulness of private credit variables and other macrofinancial and banking sector indicators for the setting of Basel III/CRD IV countercyclical capital buffers (CCBs) in a multivariate early warning model framework, using data for 23 EU Members States from 1982 Q2 to...
Persistent link: https://www.econbiz.de/10013074386
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Predicting Distress in European Banks
Betz, Frank - 2013
The paper develops an early-warning model for predicting vulnerabilities leading to distress in European banks using both bank and country-level data. As outright bank failures have been rare in Europe, the paper introduces a novel dataset that complements bankruptcies and defaults with state...
Persistent link: https://www.econbiz.de/10013074637
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Systemic Risk Rankings and Network Centrality in the European Banking Sector
Bruyckere, Valerie De - 2015
This paper presents a methodology to calculate the Systemic Risk Ranking of financial institutions in the European banking sector using publicly available information. The proposed model makes use of the network structure of financial institutions by including the stock return series of all...
Persistent link: https://www.econbiz.de/10013014960