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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Today we live in a post-truth and highly digitalized era characterized by a flow of (mis-) information around the world. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more difficult task, perhaps almost impossible....
Persistent link: https://www.econbiz.de/10012039605
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A structural approach to identify financial transmission in distinguished scenarios of crises
Herwartz, Helmut; Roestel, Jan - 2018
This paper investigates the propagation of instability through key asset markets of the US financial system - equity, real estate, banking and treasury - between 1/3/2000 and 12/26/2014. For this purpose, we develop an identification method to uncover characteristic financial market...
Persistent link: https://www.econbiz.de/10011903210
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The great mortgaging : housing finance, crises, and business cycles
Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - 2014
17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the …
Persistent link: https://www.econbiz.de/10010412763
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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
- border lending after the Lehman failure; for banks headquartered in periphery countries, the impact is quantitatively …
Persistent link: https://www.econbiz.de/10010471858
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Tackling the volatility paradox: spillover persistence and systemic risk
Kubitza, Christian - 2021 - This version: April 13, 2021
This paper proposes Spillover Persistence as a measure for financial fragility. The volatility paradox predicts that fragility builds up when volatility is low, which challenges existing measures. Spillover Persistence tackles this challenge by exploring a novel dimension of systemic risk: loss...
Persistent link: https://www.econbiz.de/10012499703
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Going to extremes : politics after financial crisis, 1870 - 2014
Funke, Manuel; Schularick, Moritz; Trebesch, Christoph - 2015
Partisan conflict and policy uncertainty are frequently invoked as factors contributing to slow post-crisis recoveries. Recent events in Europe provide ample evidence that the political aftershocks of financial crises can be severe. In this paper we study the political fall-out from systemic...
Persistent link: https://www.econbiz.de/10011349087
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The distribution of excess liquidity in the euro area
Baldo, Luca; Hallinger, Benoît; Helmus, Caspar; … - 2017
combination of a number of factors, such as banks following strict internal credit limits, investment incentives created by yield … liquidity that resulted also determined TARGET2 balances. At the individual bank level, when controlling for banks' capital, non … smaller and better-capitalised banks, and for banking groups with liquidity centralised at the head institution. In addition …
Persistent link: https://www.econbiz.de/10011747703
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Financial variables and macroeconomic forecast errors
Barnes, Michelle L.; Olivei, Giovanni P. - 2017 - This version: October 31, 2017
A large set of financial variables has only limited power to predict a latent factor common to the year-ahead forecast errors for real Gross Domestic Product (GDP) growth, the unemployment rate, and Consumer Price Index (CPI) inflation for three sets of professional forecasters: the Federal...
Persistent link: https://www.econbiz.de/10011817884
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The Distribution of Excess Liquidity in the Euro Area
Baldo, Luca - 2017
combination of a number of factors, such as banks following strict internal credit limits, investment incentives created by yield … liquidity that resulted also determined TARGET2 balances.At the individual bank level, when controlling for banks' capital, non … smaller and better-capitalised banks, and for banking groups with liquidity centralised at the head institution. In addition …
Persistent link: https://www.econbiz.de/10012943463
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Household Deleveraging and Saving Rates : A Cross-Country Analysis
Bouis, Romain - 2022
Historically high household debt in several economies is calling for a deleveraging, but according to some economists, this adjustment can slow GDP growth by weighing on consumption. Using a sample of advanced and emerging market economies, this paper finds evidence of a negative relationship...
Persistent link: https://www.econbiz.de/10013306732