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Dating systemic financial stress episodes in the EU countries
Duprey, Thibaut; Klaus, Benjamin; Peltonen, Tuomo - 2016
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are...
Persistent link: https://www.econbiz.de/10011441674
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Testing for financial contagion with applications to the Canadian banking system
Li, Fuchun - 2009
The author proposes a new test for financial contagion based on a non-parametric measure of the cross … good power to detect financial contagion, and that Forbes and Rigobon's test (2002) is conservative, suggesting that their … test tends not to find evidence of contagion when it does exist. The author’s new test is applied to investigate contagion …
Persistent link: https://www.econbiz.de/10003852845
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How to predict financial stress? : an assessment of Markov switching models
Duprey, Thibaut; Klaus, Benjamin - 2017
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a...
Persistent link: https://www.econbiz.de/10011697685
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A counterfactual valuation of the stock index as a predictor of crashes
Roberts, Tom - 2017
Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon - instead, I shift focus to severe downside risk (i.e., crashes). I use the cointegrating relationship between the log S&P Composite Index and log earnings over 1871 to 2015, combined with...
Persistent link: https://www.econbiz.de/10011777936
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Time-varying crash risk : the role of stock market liquidity
Christoffersen, Peter F.; Feunou, Bruno; Jeon, Yoontae; … - 2016
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on...
Persistent link: https://www.econbiz.de/10011517122
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Financial intermediaries and the macroeconomy : evidence from a high-frequency identification
Ottonello, Pablo; Song, Wenting - 2022 - Last updated: May 20, 2022
We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...
Persistent link: https://www.econbiz.de/10013252981
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Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions
Díez de los Ríos, Antonio - 2017
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large - a situation in which other recently proposed approaches lose their...
Persistent link: https://www.econbiz.de/10011777912
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It hurts (stock prices) when your team is about to lose a soccer match
Ehrmann, Michael; Jansen, David-Jan - 2014
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that moodrelated pricing effects can materialize as...
Persistent link: https://www.econbiz.de/10010235888
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How important is liquidity risk for sovereign bond risk premia? : evidence from the London Stock Exchange
Alquist, Ron (contributor) - 2008
This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign...
Persistent link: https://www.econbiz.de/10003790566
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McCallum rules, exchange rates, and the term structure of interest rates
Díez de los Ríos, Antonio (contributor) - 2008
McCallum (1994a) proposes a monetary rule where policymakers have some tendency to resist rapid changes in exchange rates to explain the forward premium puzzle. We estimate this monetary policy reaction function within the framework of an affine term structure model to find that, contrary to...
Persistent link: https://www.econbiz.de/10003775749