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Systemic risk diagnostics : coincident indicators and early warning signals

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011

components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions …

Persistent link: https://www.econbiz.de/10009006653

Modeling financial sector joint tail risk in the euro area

Lucas, André; Schwaab, Bernd; Zhang, Xin - 2015

Persistent link: https://www.econbiz.de/10011349820

Assessing asset purchases within the ECB’s Securities Markets Programme

Eser, Fabian; Schwaab, Bernd - 2013

Persistent link: https://www.econbiz.de/10010195421

Euro area sovereign bond risk premia during the Covid-19 pandemic

Corradin, Stefano; Grimm, Niklas; Schwaab, Bernd - 2021

framework to study the impact of European Central Bank (ECB) monetary policy and European Union (E.U.) fiscal policy …

Persistent link: https://www.econbiz.de/10012519519

Bank to sovereign risk spillovers across borders : evidence from the ECB's comprehensive assessment

Breckenfelder, Johannes; Schwaab, Bernd - 2018

We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank's release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release bank equity prices in stressed...

Persistent link: https://www.econbiz.de/10011924410

EAGLE-FLI : a macroeconomic model of banking and financial interdependence in the euro area

Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2016

Persistent link: https://www.econbiz.de/10011618585

Modeling extreme events : time-varying extreme tail shape

Schwaab, Bernd; Zhang, Xin; Lucas, André - 2021

We propose a dynamic semi-parametric framework to study time variation in tail parameters. The framework builds on the Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a conditional framework to allow for time-variation...

Persistent link: https://www.econbiz.de/10012429187

Can EU bonds serve as euro- denominated safe assets?

Bletzinger, Tilman; Greif, William; Schwaab, Bernd - 2022

bonds issued by the European Union (EU) are widely considered to be of high credit quality, and that their yield spread over … German Bunds remained contained during the 2020 Covid-19 pandemic recession. Recent issuances and taps under the EU's SURE … and NGEU initiatives helped improve EU bonds' market liquidity from previously low levels, also reducing liquidity risk …

Persistent link: https://www.econbiz.de/10013342231