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The impact of banking sector performance on economic growth : a case study of selected countries of Central and Eastern Europe
Węgrzyn, Paweł; Kruszka, Michał - In: Comparative economic research : Central and Eastern Europe 28 (2025) 2, pp. 131-149
This study explores the complex relationship between banking sector performance and economic growth in Central and Eastern European (CEE) countries. Given the banking sector’'s prominent role within the CEE financial system, our research examines its potential as a driver of economic growth...
Persistent link: https://www.econbiz.de/10015437843
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Industry Distress and Default Recovery Rates : The Unconditional Quantile Regression Approach
Chuang, Hui-Ching - 2020
In this study, we estimate the effect of industry distress on recovery rates by using the unconditional quantile regression (UQR) proposed in Firpo, Fortin, and Lemieux (2009). The UQR provides better interpretative and thus policy-relevant information on the marginal effect of the covariates...
Persistent link: https://www.econbiz.de/10012847199
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Smooth Transition Regression Models for Non-Stationary Extremes
Hambuckers, Julien - 2020
We introduce a smooth transition Generalized Pareto (GP) regression model to study the link between extreme losses and the economic context. The advantage of our approach consists in specifying a time-varying dependence structure between financial factors and the severity distribution of the...
Persistent link: https://www.econbiz.de/10012841101
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Risk-return portfolio level trade-off for Czech banks
Jankulár, Pavel - In: Prague economic papers : a bimonthly journal of … 33 (2024) 2, pp. 187-219
-adjusted profitability are used, the risk-return trade-off seems to hold. …
Persistent link: https://www.econbiz.de/10014555768
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The effect of Euribor on banking profitability : evidence from the Spanish banking system
Boto-García, David; Alvarez, Antonio M.; Baños-Pino, José - In: European journal of government and economics : EJGE 10 (2021) 1, pp. 5-29
, market concentration, the macroeconomic environment and time effects. The main purpose is to examine how the sector's ROAA … profitability. We also show that banking profitability is pro-cyclical and is positively related to the stock of performing loans …
Persistent link: https://www.econbiz.de/10013173802
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Profitability determinants of big European banks
Karadžić, Vesna; Đalović, Nikola - In: Journal of central banking theory and practice 10 (2021) 2, pp. 39-56
and market concentration have a positive effect on profitability, while the membership of the European Union has a …The subject of research in this paper is the profitability of the biggest banks in the European financial market, some … of which operate in Montenegro. The profitability of banks is influenced by a large number of factors, including internal …
Persistent link: https://www.econbiz.de/10012549192
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Identifying heterogeneous supply and demand shocks in European credit markets
De Jonghe, Olivier; Lewis, Daniel J. - 2025
We propose a new model in which relationship-specific supply and demand shocks are non-parametrically identified in bipartite data under mild assumptions. For example, separate heterogeneous supply shocks are identified for each firm to which a bank lends. We show that a simple estimator is...
Persistent link: https://www.econbiz.de/10015211643
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Time-varying Elasticity of Substitution in Near-Money Assets
Bélisle, Louis - 2019
This paper explores the modelling of time-varying dynamics of the elasticity of substitution between money and liquid assets considered near-money. The liquidity premium between near-money assets over other safe but illiquid assets can vary with time, depending on economic conditions. The model...
Persistent link: https://www.econbiz.de/10012867266
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Estimation of Equicorrelated Diffusions from Incomplete Data
Jones, Robert A. - 2011
The paper derives maximum likelihood parameter estimators for symmetrically correlated Weiner processes observed at discrete intervals. Such processes arise when pricing and determining Value-at-Risk for portfolio derivatives. Cases of driftless and mean-reverting state variables are considered....
Persistent link: https://www.econbiz.de/10013119549
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The Dynamics of Spillover Effects during the European Sovereign Debt Crisis
Alter, Adrian - 2013
In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...
Persistent link: https://www.econbiz.de/10013081460