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Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models

Blasques, Francisco; Koopman, Siem Jan; Mallee, Max - 2014

The multivariate analysis of a panel of economic and financial time series with mixed frequencies is a challenging problem. The standard solution is to analyze the mix of monthly and quarterly time series jointly by means of a multivariate dynamic model with a monthly time index: artificial...

Persistent link: https://www.econbiz.de/10010491332

Nowcasting and Forecasting Economic Growth in the Euro Area using Principal Components

Hindrayanto, Irma; Koopman, Siem Jan; de Winter, Jasper - 2014

short-term forecasting models. These empirical findings have been established for different macroeconomic data sets and … specification is most effective in its forecasting performance. Furthermore, the forecast performances of the different … extended empirical out-of-sample forecasting competition for quarterly growth of gross domestic product in the euro area and …

Persistent link: https://www.econbiz.de/10010491343

Efficiency Gains of a European Banking Union

Schoenmaker, Dirk; Siegmann, Arjen - 2013

An anticipated benefit of the prospective European Banking Union is stronger supervision of European banks. Another benefit would be enhanced resolution of banks in distress. While national governments confine themselves to the domestic effects of a banking failure, a European Resolution...

Persistent link: https://www.econbiz.de/10010326204

A Bayesian Approach to Excess Volatility, Short-term Underreaction and Long-term Overreaction During Financial Crises

Guo, Xu; McAleer, Michael; Wong, Wing-Keung; Zhu, Lixing - 2016

In this paper, we introduce a new Bayesian approach to explain some market anomalies during financial crises and subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to incorporate the impact of financial crises. We further assume...

Persistent link: https://www.econbiz.de/10011451517

Liquidity risk in stock returns: An event-study perspective

Cao, Charles; Petrasek, Lubomir - In: Journal of Banking & Finance 45 (2014) C, pp. 72-83

We examine in an event-study context what factors affect the relative performance of stocks during liquidity crises. We find that market risk, measured by the market beta, is not a good measure of expected abnormal stock returns on days with liquidity crises. Instead, abnormal stock returns...

Persistent link: https://www.econbiz.de/10010943189

Integration of European bond markets

Christiansen, Charlotte - In: Journal of Banking & Finance 42 (2014) C, pp. 191-198

I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...

Persistent link: https://www.econbiz.de/10010753671

Supervisors as information producers: Do stress tests reduce bank opaqueness?

Petrella, Giovanni; Resti, Andrea - In: Journal of Banking & Finance 37 (2013) 12, pp. 5406-5420

Supervisory stress tests assess the impact of an adverse macroeconomic scenario on the profitability and capitalisation of a large number of banks. The results of such stress test exercises have recently been disclosed to the public in an attempt to restore confidence and to curb bank opaqueness...

Persistent link: https://www.econbiz.de/10010709466

Market capitalization and Value-at-Risk

Dias, Alexandra - In: Journal of Banking & Finance 37 (2013) 12, pp. 5248-5260

The potential of economic variables for financial risk measurement is an open field for research. This article studies the role of market capitalization in the estimation of Value-at-Risk (VaR). We test the performance of different VaR methodologies for portfolios with different market...

Persistent link: https://www.econbiz.de/10010709488

Are stock market crises contagious? The role of crisis definitions

Mierau, Jochen O.; Mink, Mark - In: Journal of Banking & Finance 37 (2013) 12, pp. 4765-4776

Financial contagion studies generally examine whether co-movement between markets increases during a crisis. We use a flexible co-movement measure to examine how conclusions of such analyses depend on the sample chosen as the ‘crisis’. To this end, we analyse stock market co-movement during...

Persistent link: https://www.econbiz.de/10010709505

What factors drive systemic risk during international financial crises?

Weiß, Gregor N.F.; Bostandzic, Denefa; Neumann, Sascha - In: Journal of Banking & Finance 41 (2014) C, pp. 78-96

We analyze the determinants of the contribution of international banks to both global and local systemic risk during prominent financial crises. We find no empirical evidence supporting conjectures that bank size, leverage, non-interest income or the quality of the bank’s credit portfolio are...

Persistent link: https://www.econbiz.de/10011065641

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