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Risk spillover among hedge funds
Klaus, Benjamin; Rzepkowski, Bronka - 2009
This paper aims at analysing the mortality patterns of hedge funds over the period January 1994 to May 2008. In particular, we investigate the extent to which a spillover of risk among hedge funds through redemptions and failures of other funds has affected the probability of fund failure. We...
Persistent link: https://www.econbiz.de/10009640467
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The dark side of bank wholesale funding
Huang, Rocco; Ratnovski, Lev - 2010
Banks increasingly use short-term wholesale funds to supplement traditional retail deposits. Existing literature mainly points to the "bright side" of wholesale funding: sophisticated financiers can monitor banks, disciplining bad but refinancing good ones. This paper models a "dark side" of...
Persistent link: https://www.econbiz.de/10009640317
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Similarities and convergence in G-7 cycles
Canova, Fabio; Ciccarelli, Matteo; Ortega, Eva - 2004
This paper examines the properties of G-7 cycles using a multicountry Bayesian panel VAR model with time variations …
Persistent link: https://www.econbiz.de/10009636535
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Social returns to education
Canton, Erik - 2007
This paper presents new evidence on the social returns to education within a macroeconomic growth regression framework. I use improved schooling data and a macro version of the Mincer relationship between education and wages for individual workers. The results suggest that an increase by one...
Persistent link: https://www.econbiz.de/10009640173
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Econometric analysis of high dimensional VARs featuring a dominant unit
Pesaran, M. Hashem; Chudik, Alexander - 2010
This paper extends the analysis of infinite dimensional vector autoregressive models (IVAR) proposed in Chudik and Pesaran (2010) to the case where one of the variables or the cross section units in the IVAR model is dominant or pervasive. This extension is not straightforward and involves...
Persistent link: https://www.econbiz.de/10009640346
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Fiscal variables and bond spreads
Nickel, Christiane; Rother, Philipp; Rülke, Jan C. - 2009
results from panel regressions with those from country (seemingly unrelated regression) estimates, and conduct analogous …
Persistent link: https://www.econbiz.de/10009640486
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Weak and strong cross section dependence and estimation of large panels
Chudik, Alexander; Pesaran, Hashem; Tosetti, Elisa - 2009
This paper introduces the concepts of time-specific weak and strong cross section dependence. A double-indexed process … is said to be cross sectionally weakly dependent at a given point in time, t, if its weighted average along the cross … an application to the estimation of panel data models with an infinite number of weak factors and a finite number of …
Persistent link: https://www.econbiz.de/10009640487
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Nowcasting
Bańbura, Marta; Giannone, Domenico; Reichlin, Lucrezia - 2010
essentially requires the assessment of the impact of new data on the subsequent forecast revisions for the target variable. We … design a statistical model which produces a sequence of nowcasts in relation to the real time releases of various economic … data releases and the resulting forecast revisions. To illustrate our ideas, we study the nowcast of euro area GDP in the …
Persistent link: https://www.econbiz.de/10009640507
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Systemic risk diagnostics
Schwaab, Bernd; Koopman, Siem Jan; Lucas, André - 2011
We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial...
Persistent link: https://www.econbiz.de/10009640766
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Guess what
Koeppl, Thorsten V.; Monnet, Cyril - 2004
Exchanges and other trading platforms are often vertically integrated to carry out trading, clearing and settlement as one operation. We show that such vertical silos can prevent efficiency gains from horizontal consolidation of trading and settlement platforms to be realized. Independent of the...
Persistent link: https://www.econbiz.de/10009639429