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The purpose of this paper is to examine the asymmetric relationship betweenprice and implied volatility and the associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is todemonstrate that the relationship between the volatility and...
Persistent link: https://www.econbiz.de/10010326227
markets. The analysis shows that swap lines by the Swiss National Bank (SNB) had a positive impact on bank stocks in Central … and Eastern Europe. It then highlights the importance of individual bank characteristics in identifying the impact of swap … lines on bank stocks. Bank-level evidence suggests that stock prices of local and less-well capitalized banks as well as …
Persistent link: https://www.econbiz.de/10011629985
This paper analyses Delta CoVaR proposed by Adrian and Brunnermeier (2008) as a tool for identifying/ranking systemically important institutions and assessing interconnectedness. We develop a test of significance of Delta CoVaR that allows determining whether or not a financial institution can...
Persistent link: https://www.econbiz.de/10011506748
volatility of growth and profitability are bank-size dependent, and (iii) the relationship between growth and profitability of a … bank. Using a dynamic panel model estimated by GMM for a mixed sample of more than 1500 banks from 65 countries, we find no … evidence of persistence in bank growth. However, our findings suggest significant persistence in bank profitability. Moreover …
Persistent link: https://www.econbiz.de/10010274050
Accurate measurement of bank risk is a matter of considerable importance for bank regulation and supervision. Current …. Market monitoring of bank risk has typically been tested by regressing market-based risk indicators on various benchmark … indicators (such as accounting ratios and credit ratings) to detect whether the market tracks bank risk. This approach overlooks …
Persistent link: https://www.econbiz.de/10011689950
conditional correlations between European bank stock indices. These correlations are used as an indication for the …
Persistent link: https://www.econbiz.de/10010298129
Shadow banking is a term that came out of the financial crisis of 2007-2009. There is a belief that shadow banking was one of the crisis reasons. Because the excessive expansion of shadow banking endangers the financial stability of countries, this paper examines the impact of shadow banking on...
Persistent link: https://www.econbiz.de/10012819775
This study is an empirical investigation of theoretical predictions concerning the impact of bank competition on bank … banking increases, the loan-to-asset ratio will rise (under reasonable assumptions), but the probability of bank failure can … either increase or decrease. However, the probability of bank failure will fall if and only if borrowers' response to take on …
Persistent link: https://www.econbiz.de/10010274944
Folgeabkommen geben und die Welt würde im Klimaschutz weit hinter die Kyoto-Ziele von 1997 zurückfallen. Europa sollte die …
Persistent link: https://www.econbiz.de/10011602100
This paper explores implications of climate change for fiscal policy by assessing the impact of large scale extreme weather events on changes in public budgets. We apply alternative measures for large scale extreme weather events and conclude that the budgetary impact of such events ranges...
Persistent link: https://www.econbiz.de/10011605101