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Do stress tests matter? : evidence from the 2014 and 2016 stress tests

Georgescu, Oana-Maria; Groß, Marco; Kapp, Daniel; Kok … - 2017

Stress tests have been increasingly used in recent years by regulators to foster confidence in the banking sector by not only increasing its resilience via mandatory capital increases but also by enhancing transparency to allow investors to better discriminate between banks. In this study, using...

Persistent link: https://www.econbiz.de/10011648333

A structural model to assess the impact of bank capitalization changes conditional on a bail-in versus bail-out regime

Groß, Marco; Dubiel-Teleszynski, Tomasz; Población, Javier - 2018

We develop a structural model for valuing bank balance sheet components such as the equity and debt value, the value for the government when the bank is operated by private shareholders including the present value of a possible future bailout, the bailout value incurred by the government...

Persistent link: https://www.econbiz.de/10011910725

Mind the output gap : the disconnect of growth and inflation during recessions and convex Phillips curves in the euro area

Groß, Marco; Semmler, Willi - Task Force on Low Inflation (LIFT) - 2017

We develop a theoretical model that features a business cycle-dependent relation between out- put, price inflation and inflation expectations, augmenting the model by Svensson (1997) with a nonlinear Phillips curve that reflects the rationale underlying the capacity constraint theory (Macklem...

Persistent link: https://www.econbiz.de/10011636803

Spillovers in space and time : where spatial econometrics and Global VAR models meet

Elhorst, J. Paul; Groß, Marco; Tereanu, Eugen - 2018

detailed methodological review of where they meet in terms of structure, interpretation, and estimation methods. We discuss the … structure of cross-section connectivity (weight) matrices used by these models and its implications for estimation. Primarily … modeling and estimation method and of choices that represent empirical spillovers in a clear and interpretable form. …

Persistent link: https://www.econbiz.de/10011802171

Measuring contagion potential among sovereigns and banks using a Mixed-Cross-Section GVAR

Groß, Marco; Kok Sørensen, Christoffer - 2013

Persistent link: https://www.econbiz.de/10010195503

Regime-switching global vector autoregressive models

Binder, Michael; Groß, Marco - 2013

Persistent link: https://www.econbiz.de/10010195507

On secular stagnation and low interest rates : demography matters

Ferrero, Giuseppe; Groß, Marco; Neri, Stefano - 2017

Nominal and real interest rates in advanced economies have been decreasing since the mid-1980s and reached historical low levels in the aftermath of the global financial crisis. Understanding why interest rates have fallen is essential for both monetary policy and financial stability. This paper...

Persistent link: https://www.econbiz.de/10011697366