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Risk spillover among hedge funds: The role of redemptions and fund failures
Klaus, Benjamin; Rzepkowski, Bronka - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10011605158
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Finance and diversification
Manganelli, Simone; Popov, Alexander - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors. …
Persistent link: https://www.econbiz.de/10011605305
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The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios
Craig, Ben R. - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of … European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the … analysis. We then analyse the risk and diversification in the sovereign bond portfolios of the largest European banks and …
Persistent link: https://www.econbiz.de/10012838336
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Technological Diversification
Koren, Miklós; Tenreyro, Silvana - 2021
technological diversification. Production makes use of different input varieties, which are subject to imperfectly correlated shocks …. In our model, the expansion in the number of varieties provides diversification benefits against variety-specific shocks …
Persistent link: https://www.econbiz.de/10013318779
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Finance and Diversification
Manganelli, Simone - 2010
We study how financial market efficiency affects a measure of diversification of output across industrial sectors … and for various levels of disaggregation, we construct a benchmark measure of diversification as the set of allocations of … patterns disappear when we employ "naive" measures of diversification based on the equal spreading of output across sectors …
Persistent link: https://www.econbiz.de/10013136834
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Risk Spillover among Hedge Funds : The Role of Redemptions and Fund Failures
Klaus, Benjamin - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10013154957
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Euro's Influence upon Trade : Rose Effect versus Border Effect
Cafiso, Gianluca - 2008
This paper assesses the Euro's influence upon European trade by estimating two different indicators. The first is the so-called quot;Rose Effectquot;, while the second is the quot;Border Effectquot;. The former measures how much a country within a currency union trades more with its partners...
Persistent link: https://www.econbiz.de/10012770431
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Sectoral Money Demand Models for the Euro Area Based on a Common Set of Determinants
von Landesberger, Julian - 2007
Empirical money demand analysis undertaken at the aggregate level may obscure behavioural differences between the financial, non-financial corporation and household sectors. Looking at the individual and more homogenous sectors may allow more clearly interpretable empirical relationships between...
Persistent link: https://www.econbiz.de/10012777406
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Inflation Dynamics and Regime Shifts
Lendvai, Julia - 2006
This paper extends the New Keynesian model to allow for stochastic shifts in the monetary policy regime. Agents cannot observe the regime and use a Bayesian learning rule to make optimal inferences. Price setting is adapted to this environment: lagged expectations about monetary policy influence...
Persistent link: https://www.econbiz.de/10012779241
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A New Approach to Early Warning Systems for Small European Banks
Bräuning, Michael - 2019
This paper describes a machine learning technique to timely identify cases of individual bank financial distress. Our work represents the first attempt in the literature to develop an early warning system specifically for small European banks. We employ a machine learning technique, and build a...
Persistent link: https://www.econbiz.de/10012857756