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Interactions between financial markets and macroeconomic variables in EU : a nonlinear modeling approach

Albu, Lucian-Liviu; Lupu, Radu; Călin, Adrian Cantemir - 2015

more protected against crisis when compared to those inside the euro zone. Therefore, the so-called contagion effect is …

Persistent link: https://www.econbiz.de/10011480254

Margins and Financial Collateral for Derivatives Contracts : How to Deal with Procyclical Implications in a Financial Crisis

Tambucci, Martina - 2014

One of the lessons to be learned from the financial crisis is that the mechanics of initial margins and collateral haircuts, applied to manage counterparty credit risk and market risk out of an outstanding position in derivatives, may cause significant perverse effects on the financial system by...

Persistent link: https://www.econbiz.de/10013052205

The persistent effects of financial crises on the composition of real investment

Jenkinson, Tim; Kim, Hyeik; Weisbach, Michael S. - 2021

Our paper provides the first cross-country evidence on the distinct dynamics of tangible and intangible investments during and after the global financial crisis. The pre-crisis rise of intangible-to-tangible capital ratio was reversed outside the U.S. due to a greater decline of intangible...

Persistent link: https://www.econbiz.de/10012816453

How to predict financial stress? : an assessment of Markov switching models

Duprey, Thibaut; Klaus, Benjamin - 2017

This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a...

Persistent link: https://www.econbiz.de/10011697685

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

Leveraging and risk taking within the German banking system : evidence from the financial crisis in 2007 and 2008

Schmielewski, Frank - 2012

The present study is centered primarily on determining whether the German banking system is to be characterized by procyclical behavior from 2000 to 2011 and to what extent specific sectors of the German banking system showed significant balance sheet operations to increase their leverage within...

Persistent link: https://www.econbiz.de/10009419529

Boom-Bust Cycles, Imbalances and Discipline in Europe

Alberola, Enrique - 2012

The fallout from the 2008 financial crisis has been particularly acute in the euro area Member States of the south-western rim and in the new EU Member States, due to their previously accumulated macroeconomic and financial imbalances. The perception that the euro environment provided a solid...

Persistent link: https://www.econbiz.de/10013105081

The shifts and the shocks : bank risk, leverage, and the macroeconomy

Kuvshinov, Dmitry; Richter, Björn; Zimmermann, Kaspar - 2022

This paper studies the long-run evolution of bank risk and its links to the macroeconomy. Using data for 17 advanced economies, we show that the riskiness of bank assets declined materially between 1870 and 2016. But even though bank assets have become safer, the losses on these assets are...

Persistent link: https://www.econbiz.de/10013265941

Margin Procyclicality and Systemic Risk

Bakoush, Mohamed - 2018

hoard liquidity in the interbank market. Other banks might do the same leading to a liquidity hoarding contagion that is … sell their less liquid assets leading to consecutive declines in the price of these assets. This fire sale contagion is …

Persistent link: https://www.econbiz.de/10012934168

What Do the Value at Risk Measure and the Respective Legislative Framework Really Offer to Financial Stability? Critical Views and Procyclicality

Vasileiou, Evangelos - 2018

In this paper, we examine how Value at Risk (VaR) contributes to the financial market's stability. We apply the … incentives to investment funds to adopt conventional models for the VaR estimation in order to avoid the increased costs that the … advanced models involve. For this reason, we applied the commonly used historical simulation VaR model (HVaR), which is: (a …

Persistent link: https://www.econbiz.de/10012931579

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