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Forecasting Swiss exports using Bayesian forecast reconciliation

Eckert, Florian; Hyndman, Rob J.; Panagiotelis, Anastasios - 2019

This paper conducts an extensive forecasting study on 13,118 time series measuring Swiss goods exports, grouped …

Persistent link: https://www.econbiz.de/10012058388

Liquidity risk and correlation risk : a clinical study of the General Motors and Ford downgrade of may 2005

Acharya, Viral V.; Schaefer, Stephen M.; Zhang, Yilie - In: The quarterly journal of finance 5 (2015) 2, pp. 1-51

Persistent link: https://www.econbiz.de/10011301003

Investment and contagion tradeoffs between fair value and historical cost accounting

Acharya, Viral V.; Mukherjee, Saptarshi; Sundaram, … - 2021

Persistent link: https://www.econbiz.de/10013188619

Does the lack of financial stability impair the transmission of monetary policy?

Acharya, Viral V.; Imbierowicz, Björn; Steffen, Sascha; … - 2019

We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the January 2006 to June 2010 period. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan spreads...

Persistent link: https://www.econbiz.de/10011994210

Does the lack of financial stability impair the transmission of monetary policy?

Acharya, Viral V.; Imbierowicz, Björn; Steffen, Sascha; … - 2019

We investigate the transmission of central bank liquidity to bank deposits and loan spreads in Europe over the period from January 2006 to June 2010. We find evidence consistent with an impaired transmission channel due to bank risk. Central bank liquidity does not translate into lower loan...

Persistent link: https://www.econbiz.de/10012156604

Lender of last resort versus buyer of last resort : the impact of the European Central Bank actions on the bank-sovereign nexus

Acharya, Viral V.; Pierret, Diane; Steffen, Sascha - 2016 - This version: February 29, 2016

In summer 2011, elevated sovereign risk in Eurozone peripheral countries increased the solvency risk of Eurozone banks, precipitating a run on their short-term debt. We assess the effectiveness of different European Central Bank (ECB) interventions that followed – lender of last resort vs....

Persistent link: https://www.econbiz.de/10011436391

Does the lack of financial stability impair the transmission of monetary policy?

Acharya, Viral V.; Imbierowicz, Björn; Steffen, Sascha; … - 2019

Persistent link: https://www.econbiz.de/10012155137

Bank use of sovereign CDS in the eurozone crisis : hedging and risk incentives

Acharya, Viral V.; Gündüz, Yalın; Johnson, Tim - 2018

Using a comprehensive dataset from German banks, we document the usage of sovereign credit default swaps (CDS) during the European sovereign debt crisis of 2008-2013. Banks used the sovereign CDS market to extend, rather than hedge, their long exposures to sovereign risk during this period....

Persistent link: https://www.econbiz.de/10011888333

Lender of last resort versus buyer of last resort : evidence from the European sovereign debt crisis

Acharya, Viral V.; Pierret, Diane; Steffen, Sascha - 2018

We document the mechanism through which the risk of fire sales in the sovereign bond market contributed to the effectiveness of two major central bank interventions designed to restore financial stability during the European sovereign debt crisis. As a lender of last resort via the long-term...

Persistent link: https://www.econbiz.de/10011899821

Market failures and regulatory failures : lessons from past and present financial crises

Acharya, Viral V.; Cooley, Thomas F.; Richardson, Matthew; … - 2011

The paper analyzes the financial crisis of through the lens of market failures and regulatory failures. We present a case that there were four primary failures contributing to the crisis: excessive risk-taking in the financial sector due to mispriced government guarantees; regulatory focus on...

Persistent link: https://www.econbiz.de/10008907804