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Huang, Chengyu - 2020

We construct sentiment indices for 20 countries from 1980 to 2019. Relying on computational text analysis, we capture specific language like 'fear', 'risk', 'hedging', 'opinion', and, 'crisis', as well as 'positive' and 'negative' sentiments, in news articles from the Financial Times. We assess...

Persistent link: https://www.econbiz.de/10012843513

Bank Capital and the Cost of Equity

Belkhir, Mohamed - 2020

indicate that a 1 percentage point increase in a bank's equity-to-assets ratio lowers its cost of equity by about 18 basis …

Persistent link: https://www.econbiz.de/10012843315

Competition and Bank Risk the Role of Securitization and Bank Capital

Altunbas, Yener - 2019

We examine how bank competition in the run-up to the 2007-2009 crisis affects banks' systemic risk during the crisis …. We then investigate whether this effect is influenced by two key bank characteristics: securitization and bank capital …. Using a sample of the largest listed banks from 15 countries, we find that greater market power at the bank level and higher …

Persistent link: https://www.econbiz.de/10012865123

Lasso Regressions and Forecasting Models in Applied Stress Testing

Chan-Lau, Jorge A. - 2017

Model selection and forecasting in stress tests can be facilitated using machine learning techniques. These techniques have proved robust in other fields for dealing with the curse of dimensionality, a situation often encountered in applied stress testing. Lasso regressions, in particular, are...

Persistent link: https://www.econbiz.de/10012945686

Granger Predictability of Oil Prices after the Great Recession

Benk, Szilard - 2019

Real oil prices surged from 2009 through 2014, comparable to the 1970's oil shock period. Standard explanations based on monopoly markup fall short since inflation remained low after 2009. This paper contributes strong evidence of Granger (1969) predictability of nominal factors to oil prices,...

Persistent link: https://www.econbiz.de/10012858386

Repeated Use of IMF-Supported Programs : Determinants and Forecasting

Iseringhausen, Martin - 2019

This paper studies the determinants of repeated use of Fund-supported programs in a large sample covering virtually all General Resources Account (GRA) arrangements that were approved between 1952 and 2012. Generally, the revolving nature of the IMF's resources calls for the temporary sup-port...

Persistent link: https://www.econbiz.de/10012858950

How to Improve Inflation Forecasting in Canada

Matheson, Troy - 2019

-time inflation forecasts of the Bank of Canada with the aim of identifying potential areas for improvement. Not surprisingly, the …

Persistent link: https://www.econbiz.de/10012860993

Predictive Density Aggregation : A Model for Global GDP Growth

Caselli, Francesca - 2020

In this paper we propose a novel approach to obtain the predictive density of global GDP growth. It hinges upon a bottom-up probabilistic model that estimates and combines single countries' predictive GDP growth densities, taking into account cross-country interdependencies. Specifically,we...

Persistent link: https://www.econbiz.de/10012829696

Predicting Downside Risks to House Prices and Macro-Financial Stability

Deghi, Andrea - 2020

This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and emerging market economies. Through a macro-model and predictive quantile regressions, we show that current house price overvaluation, excessive credit growth, and tighter...

Persistent link: https://www.econbiz.de/10012831613

Money Creation in Fiat and Digital Currency Systems

Gross, Marco - 2020

notion of money creation as a result of banks' loan creation is compatible with the notion of liquid funding needs in a multi-bank … has a bearing on macroeconomic dynamics precisely due to that multi-bank structure. It would lose its impact in the … hypothetical case that only one ('singular') commercial bank would exist. We link our discussion to the emergence and design of …

Persistent link: https://www.econbiz.de/10012842210

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