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Growth and Inflation Implications of Systemic Risk in the Euro Area Banking Industry : Lessons from the Financial Crisis

Kabundi, Alain Ntumba - 2020

This study has two objectives. It first assesses the output and inflation effects of systemic risk-taking in the euro … Characteristic approach. The main findings are that, overall, real GDP growth and inflation react negatively to a one …-standard deviation shock to systemic risk measures of the euro area banking industry. Inflation depicts a more pronounced response than …

Persistent link: https://www.econbiz.de/10012838151

New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil

Morana, Claudio - 2014

The paper investigates the statistical features of the US OIS spreads term structure during the recent financial turmoil, originating from the subprime crisis and the ensuing euro area sovereign debt crisis. By means of a comprehensive econometric modeling strategy, new insights on US money...

Persistent link: https://www.econbiz.de/10013064212

Cross-border liquidity, relationships and monetary policy : evidence from the Euro area interbank crisis

Abbassi, Puriya; Bräuning, Falk; Fecht, Falko; … - 2014 - This version: November 2014

We analyze the impact of financial crises and monetary policy on the supply of wholesale funding liquidity, and also on the compositional supply effects through cross-border and relationship lending. For empirical identification, we draw on the proprietary bank-to-bank European interbank dataset...

Persistent link: https://www.econbiz.de/10010471858

Building Immunity to Contagion

Edmunds, John C. - 2011

During world financial crises in 1994 and 1998, most Latin American countries suffered severe contagion. But from the crisis of 2001 onward the amounts of contagion those countries suffered was less. This paper is a preliminary discussion of how several Latin American countries protected...

Persistent link: https://www.econbiz.de/10013124061

Credit Growth, the Yield Curve and Financial Crisis Prediction : Evidence from a Machine Learning Approach

Bluwstein, Kristina - 2020

We develop early warning models for financial crisis prediction using machine learning techniques on macrofinancial data for 17 countries over 1870–2016. Machine learning models mostly outperform logistic regression in out-of-sample predictions and forecasting. We identify economic drivers of...

Persistent link: https://www.econbiz.de/10012843879

Financial Shocks, Credit Spreads and the International Credit Channel

Cesa-Bianchi, Ambrogio - 2017

Recent empirical evidence on the cross-country synchronization of credit spreads in response to US monetary policy shocks has led to the notion of an ‘international credit channel' of US monetary policy. This paper provides novel evidence on the existence of an international credit channel for...

Persistent link: https://www.econbiz.de/10012943439

Beyond Spreads : Measuring Sovereign Market Stress in the Euro Area

Garcia-de-Andoain, Carlos - 2017

We develop a novel composite indicator to measure sovereign bond market stress in the euro area. The indicator integrates measures of credit risk, volatility and liquidity into an overall measure of sovereign market stress. An application to the spillover literature suggests that stress mainly...

Persistent link: https://www.econbiz.de/10012968869

Bond Risk Premia, Macroeconomic Factors and Financial Crisis in the Euro Area

Garcia, Juan A. - 2015

This paper investigates the power of macroeconomic factors to explain euro area bond risk premia using (i) a big dataset (ii) the Elastic Net variable selection. We find that macroeconomic factors, in particular economic activity and sentiment indicators, explain 40% of the variability of risk...

Persistent link: https://www.econbiz.de/10013014181

Mind the Gap : Disentangling Credit and Liquidity in Risk Spreads

Schwarz, Krista - 2020

Euro-area sovereign bond and interbank interest rate spreads widened sharply in the 2007-2009 Global Financial Crisis and over the subsequent European Debt Crisis, greatly increasing financing costs. Such rate volatility could represent concerns over asset liquidity or issuer solvency. To...

Persistent link: https://www.econbiz.de/10012857617

Predicting Recessions : Financial Cycle versus Term Spread

Borio, Claudio E. V. - 2019

Financial cycles can be important drivers of real activity, but there is scant evidence about how well they signal recession risks. We run a horse race between the term spread - the most widely used indicator in the literature - and a range of financial cycle measures. Unlike most papers, ours...

Persistent link: https://www.econbiz.de/10012861342

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