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Banking crises and recessions: what can leading indicators tell us?
Corder, Matthew; Weale, Martin - Monetary Policy Committee (MPC), Bank of England - 2011
is evidence for interdependency between recessions and banking crises using both non-parametric tests and unconditional …It is widely suggested that there is some relationship between banking crises and recessions. We assess whether there … predict banking crises and recessions and if these variables can explain the previously obvserved interdependence. Inclusion …
Persistent link: https://www.econbiz.de/10009318978
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - CESifo - 2014
which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …
Persistent link: https://www.econbiz.de/10010948836
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jorda, Oscar; Schularick, Moritz; Taylor, Alan M. - Hong Kong Institute for Monetary Research (HKIMR), … - 2014
which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …
Persistent link: https://www.econbiz.de/10010929639
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The great mortgaging: housing finance, crises, and business cycles
Jorda, Oscar; Schularick, Moritz; Taylor, Alan M. - Federal Reserve Bank of San Francisco - 2014
which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …
Persistent link: https://www.econbiz.de/10011026939
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The Great Mortgaging: Housing Finance, Crises, and Business Cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014
which are typically followed by deeper recessions and slower recoveries. Housing finance has come to play a central role in …
Persistent link: https://www.econbiz.de/10011083232
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GDP at Risk in a DSGE Model : An Application to Banking Sector Stress Testing
Jokivuolle, Esa - 2008
We suggest a complementary tool for financial stability analysis based on stochastic simulation of a dynamic stochastic general equilibrium model (DSGE) of the macro economy. The paper relates to financial stability research in which financial aggregates crucial to financial stability are...
Persistent link: https://www.econbiz.de/10012725975
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Modeling the Distribution of Credit Losses With Observable and Latent Factors
Mencia, Javier - 2007
This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the loans in a banking system. We consider a sectorial structure, where default frequencies and the total number of loans are allowed to depend on macroeconomic conditions as well as on...
Persistent link: https://www.econbiz.de/10012730244
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Modelling the Distribution of Credit Losses with Observable and Latent Factors
Mencia, Javier - 2007
This paper develops a flexible and computationally efficient model to estimate the credit loss distribution of the banking industry. We consider a sectorial structure, where default frequencies and the total number of loans are allowed to depend on macroeconomic conditions as well as on...
Persistent link: https://www.econbiz.de/10012730977
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Stress-Testing Financial Systems : An Overview of Current Methodologies
Sorge, Marco - 2013
This paper reviews the state-of-the-art of macro stress-testing methodologies. Substantial progress has been made both in the econometric analysis of financial soundness indicators and in the simulation of value-at-risk measures to assess system-wide vulnerabilities. However, a number of...
Persistent link: https://www.econbiz.de/10012711941
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Good Asset Purchase Plan (GAPP) : A Strategy for Economic Recovery
Wang, Shaun - 2009
In this paper we propose a Good Asset Purchase Plan (GAPP), as a cure for the falling U.S. housing market and a stimulus for economic recovery. The central theme of the plan is that the U.S. Government directly purchases minority shares (say, up to 20%) of good assets such as residential...
Persistent link: https://www.econbiz.de/10012718052