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Does the yield spread predict recessions in the euro area?

Moneta, Fabio - 2003

This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro … outperforms all the other spreads in predicting recessions in the euro area. The result is con¯rmed when the au …

Persistent link: https://www.econbiz.de/10011604340

Predicting recession probabilities with financial variables over multiple horizons

Fornari, Fabio; Lemke, Wolfgang - 2010

-post classification of recessions and non-recessions 95% of the time for the one-quarter forecast horizon and 87% of the time for the four …

Persistent link: https://www.econbiz.de/10011605301

The dynamics of non-performing loans during banking crises: A new database

Ari, Anil; Chen, Sophia; Ratnovski, Lev - 2020

relationship between NPL problems-elevated and unresolved NPLs-and the severity of post-crisis recessions. A machine learning …

Persistent link: https://www.econbiz.de/10012422057

Business cycle duration dependence and foreign recessions

de Bondt, Gabe J.; Vermeulen, Philip - 2018

current business cycle phase and of foreign recessions on the likelihood that expansions and recessions come to an end. With … to recessions in a G7 country, we find that the likelihood of them coming to an end is not affected by other G7 countries …' recessions. We find duration dependence of recessions for all G7 countries, i.e. recessions that have gone on for a while are …

Persistent link: https://www.econbiz.de/10012142049

Fundamentals and joint currency crises

Hartmann, Philipp; Straetmans, Stefan; de Vries, Casper - 2004

In this note we demonstrate that in affine models for bilateral exchange rates, the nature of return interdependence during crises depends on the tail properties of the fundamentals' distributions. We denote crisis linkages as either strong or weak, in the sense that the dependence remains or...

Persistent link: https://www.econbiz.de/10011604370

Signals from housing and lending booms

Bunda, Irina; Ca' Zorzi, Michele - 2009

The contribution of this paper is to revisit the Early Warning System (EWS) literature by analysing selected episodes of financial market crisis, i.e. those preceded by a spell of credit and real estate expansions. The aim is to disentangle instances when this constitutes a natural phenomenon...

Persistent link: https://www.econbiz.de/10011605140

The dark side of bank wholesale funding

Huang, Rocco; Ratnovski, Lev - 2010

Banks increasingly use short-term wholesale funds to supplement traditional retail deposits. Existing literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad but refinancing good ones. This paper models a "dark side" of...

Persistent link: https://www.econbiz.de/10011605269

Determinants of credit-less recoveries

Bijsterbosch, Martin; Dahlhaus, Tatjana - 2011

This paper aims to shed light on the characteristics and particularly the determinants of credit-less recoveries. After building a dataset and documenting some stylised facts of credit-less recoveries in emerging market economies, this paper uses panel probit models to analyse key determinants...

Persistent link: https://www.econbiz.de/10011605404

Macro-networks: an application to the euro area financial accounts

Castrén, Olli; Rancan, Michela - 2013

We use financial accounts data at sector level to construct financial networks for individual euro area countries. We then connect the country-level networks to one large “Macro Network”, using information on cross-border linkages between the national banking sectors. We then evaluate the...

Persistent link: https://www.econbiz.de/10011605555

Financial stress and economic dynamics: the transmission of crises

Hubrich, Kirstin; Tetlow, Robert J. - 2014

A financial stress index for the United States is introduced – an index that was used in real time by the staff of the Federal Reserve Board to monitor the financial crisis of 2008-9 – and the interaction with real activity, inflation and monetary policy is demonstrated using a richly...

Persistent link: https://www.econbiz.de/10011605773