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Bank lending procyclicality and credit quality during financial crises

Caporale, Guglielmo Maria; Di Colli, Stefano; Lopez, … - 2013

This paper analyses macroeconomic and financial determinants of bad loans applying a SVAR approach to investigate whether excessive loans granted during expansionary phases can explain the more than proportional increase in non-performing loans during contractionary periods. The results indicate...

Persistent link: https://www.econbiz.de/10009763782

Bank Lending Procyclicality and Credit Quality During Financial Crises

Caporale, Guglielmo Maria - 2013

Persistent link: https://www.econbiz.de/10013079293

Macro-Financial Linkages in the High-Frequency Domain : The Effects of Uncertainty on Realized Volatility

Caporale, Guglielmo Maria - 2020

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...

Persistent link: https://www.econbiz.de/10012844423

Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility

Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019

Persistent link: https://www.econbiz.de/10012158736

Financial integration and European tourism stocks

Caporale, Guglielmo Maria; Yfanti, Stavroula; … - 2023

characterized by higher uncertainty and geopolitical risk, tighter credit and liquidity conditions, and sluggish economic and real …

Persistent link: https://www.econbiz.de/10013540847

Liquidity Risk, Credit Risk and the Overnight Interest Rate Spread : A Stochastic Volatility Modelling Approach

Beirne, John - 2010

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more …

Persistent link: https://www.econbiz.de/10013141038

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

Persistent link: https://www.econbiz.de/10003979875

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; liquidity risk ; credit risk ; stochastic volatility …

Persistent link: https://www.econbiz.de/10003983199

Liquidity risk, credit risk and the overnight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - 2010

liquidity risk, credit risk (financial and sovereign), and interest rate expectations. Our results suggest that liquidity risk … fears. In addition, the ECB appears to have been more effective in addressing liquidity risk since the onset of the crisis … ; Liquidity Risk ; Credit Risk ; Stochastic Volatility …

Persistent link: https://www.econbiz.de/10009129975

Liquidity risk, credit risk and the overknight interest rate spread : a stochastic volatility modelling approach

Beirne, John; Caporale, Guglielmo Maria; Spagnolo, Nicola - In: The Manchester School 81 (2013) 6, pp. 925-940

Persistent link: https://www.econbiz.de/10010341577