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Financial Integration of New EU Member States
Cappiello, Lorenzo; Kadareja, Arjan; Gerard, Bruno; … - 2021
This study assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to...
Persistent link: https://www.econbiz.de/10013317420
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Financial integration of new EU Member States
Cappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; … - 2006
This study assesses the degree of financial integration for a selected number of new EU member states between themselves and with the euro zone. Within the framework of a factor model for market returns, we measure integration as the amount of variance explained by the common factor relative to...
Persistent link: https://www.econbiz.de/10011604729
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Between Hawks and Doves : Measuring Central Bank Communication
Tobback, Ellen - 2017
We propose a Hawkish-Dovish (HD) indicator that measures the degree of 'hawkishness' or 'dovishness' of the media's perception of the ECB's tone at each press conference. We compare two methods to calculate the indicator: semantic orientation and Support Vector Machines text classification. We...
Persistent link: https://www.econbiz.de/10012952829
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Interest Rate Volatility : A Consol Rate-Based Measure
Brousseau, Vincent - 2013
In this paper we propose a new methodology to estimate the volatility of interest rates in the euro area money market. In particular, our approach aims at avoiding the limitations of currently available measures, i.e. the dependency on arbitrary choices in terms of maturity and frequencies...
Persistent link: https://www.econbiz.de/10013088954
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Using Machine Learning to Measure Financial Risk in China
Al-Haschimi, Alexander; Apostolou, Apostolos; … - 2023
We develop a measure of overall financial risk in China by applying machine learning techniques to textual data. A pre-defined set of relevant newspaper articles is first selected using a specific constellation of risk-related keywords. Then, we employ topical modelling based on an unsupervised...
Persistent link: https://www.econbiz.de/10014258212
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Clustering techniques applied to outlier detection of financial market series using a moving window filtering algorithm
Puigvert Gutiérrez, Josep Maria; Fortiana Gregori, Josep - 2008
outliers. We apply the algorithm to a set of financial market data which consists of 25 series selected from a larger dataset … combinations that detect most of the outliers by market segment. In addition, the algorithm parameters that have been found can … also be used to detect outliers in other series with similar economic behaviour in the same cluster. Moreover, the …
Persistent link: https://www.econbiz.de/10011604994
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Business Cycles, Monetary Transmission and Shocks to Financial Stability : Empirical Evidence from a New Set of Danish Quarterly National Accounts 1948-2010
Abildgren, Kim - 2012
In Denmark official quarterly national accounts are only available for the period since 1977. The paper constructs a set of summary non-seasonally adjusted quarterly national accounts for Denmark for 1948-2010 in current and constant prices as well as a set of other key quarterly macroeconomic...
Persistent link: https://www.econbiz.de/10013102102
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What Drives Euro Area Financial Market Developments? The Role of US Spillovers and Global Risk
Brandt, Lennart; Guilhem, Arthur Saint; Schröder, … - 2021
Financial asset prices contain a rich set of real-time information on the economy. To extract this information, it is crucial to understand the driving factors behind financial market developments. In this paper, we exploit daily cross-asset price movements in a sign-restricted BVAR model to...
Persistent link: https://www.econbiz.de/10013225754
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Financial Stress and Economic Dynamics : The Transmission of Crises
Hubrich, Kirstin; Tetlow, Robert J. - 2021
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/10013315582
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The Natural Rate of Interest and the Financial Cycle
Krustev, Georgi - 2018
I extend the model of Laubach and Williams (2003) by introducing an explicit role for the financial cycle in the joint estimation of the natural rates of interest, unemployment and output, and the sustainable growth rate of the US economy. By incorporating the financial cycle - arguably an...
Persistent link: https://www.econbiz.de/10012914883