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We combine modern methods from Speech Emotion Recognition and Natural Language Processing with high-frequency financial data to analyze how the vocal emotions and language of ECB President Mario Draghi affect the yield curve of major euro area economies. Vocal emotions significantly impact the...
Persistent link: https://www.econbiz.de/10014255461
vanguard of the inflation targeting policy strategy, namely Australia, Canada, and New Zealand, and use the resulting estimates …
Persistent link: https://www.econbiz.de/10013156549
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We use a factor model and elastic net shrinkage to model a high-dimensional network of European CDS spreads. Our empirical approach allows us to assess the joint transmission of bank and sovereign risk to the non-financial corporate sector. Our findings identify a sectoral clustering in the CDS...
Persistent link: https://www.econbiz.de/10012899565
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10012317318
Using variance decompositions in vector auto-regressions (VARs) we model a high-dimensional network of European CDS spreads to assess the transmission of credit risk to the non-financial corporate sector. Our findings suggest a sectoral clustering in the CDS network, where financial institutions...
Persistent link: https://www.econbiz.de/10011978741
generally – from a eurozone economic shock ought to represent a pressing source of concern for Canada's policymakers. The … have on the Canadian macroeconomy might appear small. After all, Canada's trade in goods and services and financial flows …, however, likely would arise out of any major economic or financial shock originating from the globe's largest economic block …
Persistent link: https://www.econbiz.de/10013057480
. However, the effects of the demand and supply shock are for most countries only short-lived. If domestic inflation accelerates … shock on inflation expectations are smaller post-crisis …
Persistent link: https://www.econbiz.de/10012907659
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