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Extreme Contagion in Equity Markets
Chan-Lau, Jorge A. - 2006
correlation with extremal dependence measures of contagion …
Persistent link: https://www.econbiz.de/10012735588
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UnFEAR : Unsupervised Feature Extraction Clustering with an Application to Crisis Regimes Classification
Chan-Lau, Jorge A.; Wang, Ran - 2021
We introduce unFEAR, Unsupervised Feature Extraction Clustering, to identify economic crisis regimes. Given labeled crisis and non-crisis episodes and the corresponding features values, unFEAR uses unsupervised representation learning and a novel mode contrastive autoencoder to group episodes...
Persistent link: https://www.econbiz.de/10013250097
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Understanding Corporate Vulnerabilities in Latin America
Caceres, Carlos - 2016
This paper analyzes the potential risks and vulnerabilities of non-financial corporates in Latin America and Canada. We quantify the impact of company-specific, countryspecific, and global factors in driving corporate spreads. Overall, we found that all these factors play a role in explaining...
Persistent link: https://www.econbiz.de/10012982426
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Handle with Care : Regulatory Easing in Times of COVID-19
Valencia, Fabián; Varghese, Richard; Yao, Weija; … - 2021
The policy response to the COVID-19 shock included regulatory easing across many jurisdictions to facilitate the flow of credit to the economy and mitigate a further ampli-fication of the shock through tighter financial conditions. Using an intraday event study,this paper examines how stock...
Persistent link: https://www.econbiz.de/10013226445
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Can Higher Reserves Help Reduce Exchange Rate Volatility?
Nowak, M. - 2021
This paper studies the role of an increase in foreign exchange reserves in reducing currency volatility for emerging … introduced in the regressions to account for other factors affecting exchange rate volatility (monetary and external indicators … exchange rate regime, since the regime can affect both the level of reserves and exchange rate volatility. The results provide …
Persistent link: https://www.econbiz.de/10013211940
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Financial Integration and Macroeconomic Volatility
Kose, Ayhan; Prasad, Eswar; Terrones, Marco - 2021
This paper examines the impact of international financial integration on macroeconomic volatility in a large group of … industrial and developing economies over the period 1960-99. We report two major results: First, while the volatility of output … volatility of consumption growth relative to that of income growth has increased for more financially integrated developing …
Persistent link: https://www.econbiz.de/10013212317
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Inflation and Output Comovement in the Euro Area : Love at Second Sight?
Andrle, Michal - 2013
This paper discusses comovement between inflation and output in the euro area. The strength of the comovement may not be apparent at first sight, but is clear at business cycle frequencies. Our results suggest that at business cycle frequency, the output and core inflation comovement is high and...
Persistent link: https://www.econbiz.de/10013074695
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Completing the Market : Generating Shadow CDS Spreads by Machine Learning
Hu, Nan - 2020
We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms' accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient...
Persistent link: https://www.econbiz.de/10012843303
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Recent Dynamics of Crude Oil Prices
Krichene, Noureddine - 2007
Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility …
Persistent link: https://www.econbiz.de/10012777937
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The Relationship between Macroeconomic Statistics Guidelines and Accounting Standards
Laliberté, Lucie - 2006
This paper aims to promote harmonization between macroeconomic statistics guidelines and accounting standards. It first highlights recent development that act as drivers to the harmonization of the two systems. It then compares the two systems and reviews approaches aimed at further...
Persistent link: https://www.econbiz.de/10012783041