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Dealing with financial instability under a DSGE modeling approach with banking intermediation : a forecastability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2015

Persistent link: https://www.econbiz.de/10011372826

Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2016

In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in Gertler and Karadi (2011). The estimation of shocks and of...

Persistent link: https://www.econbiz.de/10011518833

Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - In: Journal of financial stability 26 (2016), pp. 216-227

Persistent link: https://www.econbiz.de/10011705507

Why does the yield curve predict GDP growth? : the role of banks

Minoiu, Camelia; Schneider, Andrés; Wei, Min - 2023

We provide evidence on the effect of the slope of the yield curve on economic activity through bank lending. Using … rates) boosts bank profits and the supply of bank loans. Intuitively, a higher term premium represents greater expected … profits on maturity transformation, which is at the core of banks' business model, and therefore incentivizes bank lending …

Persistent link: https://www.econbiz.de/10014368571

Why does the yield curve predict GDP growth? : the role of banks

Minoiu, Camelia; Schneider, Andrés; Wei, Min - 2023 - This draft: July 10, 2023

Persistent link: https://www.econbiz.de/10014384968

Zeitstetige und -diskrete dynamische Kreditportfoliomodellierung : ein Vergleich verschiedener Modelle

Avak, Britt-Kerstin - 2011 - 1. Aufl.

Persistent link: https://www.econbiz.de/10009412405

Bank capital constraints, lending supply and economic activity

Conti, Antonio M.; Nobili, Andrea; Signoretti, Federico M. - 2018

Persistent link: https://www.econbiz.de/10011941271

Forecasting crash risk in U.S. bank returns : the role of credit booms

Mihai, Marius M.; Mansur, Iqbal - In: The journal of corporate finance : contracting, … 76 (2022), pp. 1-25

Persistent link: https://www.econbiz.de/10013494275

Changing risk-return profiles

Crump, Richard K.; Giannone, Domenico; Hundtofte, Sean - 2018

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time....

Persistent link: https://www.econbiz.de/10011868395

Dynamic leverage asset pricing

Adrian, Tobias; Mönch, Emanuel; Shin, Hyun Song - 2016

Persistent link: https://www.econbiz.de/10011544472

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