Showing 1 - 10 of 887
We propose a method to capture the notion of resilience, the dynamic aspect of liquidity in the limit order book, through the Threshold Exceedance Duration (TED) metric that we introduce. This measures the duration of liquidity 'droughts.' We illustrate the explanatory power of a survival...
Persistent link: https://www.econbiz.de/10012920532
We study the potential model instability problem with respect to mortgage default risk and examine to what extent it helps explain the default shock during the recent crisis. We find that econometric default risk models based on historical data can be unstable over time. Due to temporal shifts...
Persistent link: https://www.econbiz.de/10013138217
Persistent link: https://www.econbiz.de/10012007899
Persistent link: https://www.econbiz.de/10012503405
Persistent link: https://www.econbiz.de/10012486063
Persistent link: https://www.econbiz.de/10013477319
This paper evaluates the unemployment duration and labor mobility using data from the household surveys provided by the National Statistical office (INDEC) for the period 1998 to 2005. The paper aims to understand and explain the evolution and main determinants of labor mobility and unemployment...
Persistent link: https://www.econbiz.de/10014225523
This paper examines how pre-crisis conditions affect the duration of different types of financial crises using a data sample of 244 financial crises in 89 countries over the period 1985-2017. Results from our parametric survival analysis show that the duration of any type of financial crisis is...
Persistent link: https://www.econbiz.de/10013220203
Over the last four decades, banking crises around the globe have become longer. This, along with the unprecedented government responses to the Great Recession of 2007/08, has led to a critical question of whether political decisions were somehow to blame for these more prolonged crises. Despite...
Persistent link: https://www.econbiz.de/10013241871
This paper studies the effects of systematic distress and sectoral distress in the context of default/bankruptcy prediction using a large sample of U.S. public company default data from 1991 to 2009. I construct measures to proxy for economy-wide systematic distress and sectoral distress based...
Persistent link: https://www.econbiz.de/10013139978