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Dating systemic financial stress episodes in the EU countries

Duprey, Thibaut; Klaus, Benjamin; Peltonen, Tuomo - 2016

This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Based on a Markov-switching model, high financial stress regimes are...

Persistent link: https://www.econbiz.de/10011441674

Canadian financial stress and macroeconomic conditions

Duprey, Thibaut - 2020

I construct a new composite measure of systemic financial market stress for Canada. Compared with existing measures, it …

Persistent link: https://www.econbiz.de/10012229875

Financial intermediaries and the macroeconomy : evidence from a high-frequency identification

Ottonello, Pablo; Song, Wenting - 2022 - Last updated: May 20, 2022

We provide empirical evidence of the causal effects of changes in financial intermediaries' net worth on the aggregate economy. Our strategy identifies financial shocks as high-frequency changes in the market value of intermediaries' net worth in a narrow window around their earnings...

Persistent link: https://www.econbiz.de/10013252981

Central bank liquidity policy in modern times

Brooks, Skylar - 2024

Central banks play a crucial role in promoting financial stability. They act as financial system stabilizers through their capacity to create liquidity and channel it to financial institutions and markets in times of stress - a role that has evolved and expanded substantially over the past 15...

Persistent link: https://www.econbiz.de/10014577846

The role of central banks in promoting financial stability : an international perspective

Cunningham, Rose M.; Friedrich, Christian - 2016

The 2007-09 global financial crisis has led policy-makers around the world, including central banks, to refocus their …

Persistent link: https://www.econbiz.de/10011515917

Fragility of resale markets for securitized assets and policy of asset purchases

Kuncl, Martin - 2016

Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or...

Persistent link: https://www.econbiz.de/10011552808

Assessing vulnerabilities in emerging-market economies

Dalhaus, Tatjana; Lam, Alexander - 2018

This paper introduces a new tool to monitor economic and financial vulnerabilities in emerging-market economies. We obtain vulnerability indexes for several early warning indicators covering 26 emerging markets from 1990 to 2017 and use them to monitor the evolution of vulnerabilities before,...

Persistent link: https://www.econbiz.de/10011926066

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

Persistent link: https://www.econbiz.de/10011987786

Managing GDP tail risk

Duprey, Thibaut; Ueberfeldt, Alexander - 2020 - Last updated: January 28, 2020

We propose a novel framework to analyze how policy-makers can manage risks to the median projection and risks specific to the tail of gross domestic product (GDP) growth. By combining a quantile regression of GDP growth with a vector autoregression, we show that monetary and macroprudential...

Persistent link: https://www.econbiz.de/10012154134

Settlement balances deconstructed

Chu, Parnell; Johnson, Grahame; Kinnear, Scott; … - 2022

belong to participants of Canada's payment system and that are an integral part of the high-value payment system. In response … to the economic shock caused by the COVID-19 pandemic, the Bank of Canada undertook a range of extraordinary policy … state of settlement balances at the Bank of Canada, explains the factors that will influence their future evolution, and …

Persistent link: https://www.econbiz.de/10013256950

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