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Dynamic clustering of multivariate panel data
João, Igor Custodio; Lucas, André; Schaumburg, Julia; … - 2021
We propose a dynamic clustering model for uncovering latent time-varying group structures in multivariate panel data. The model is dynamic in three ways. First, the cluster location and scale matrices are time-varying to track gradual changes in cluster characteristics over time. Second, all...
Persistent link: https://www.econbiz.de/10012594269
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Dynamic clustering of multivariate panel data
Lucas, André; Schaumburg, Julia; Schwaab, Bernd - 2020
We propose a dynamic clustering model for studying time-varying group structures in multivariate panel data. The model is dynamic in three ways: First, the cluster means and covariance matrices are time-varying to track gradual changes in cluster characteristics over time. Second, the units of...
Persistent link: https://www.econbiz.de/10012161029
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Banks' capital surplus and the impact of additional capital requirements
Malovaná, Simona - 2017
this adjustment seems to be delivered through changes in average risk weights. For this and other reasons, it is desirable … to regularly assess whether the evolution and current level of risk weights give rise to any risk of underestimating the …
Persistent link: https://www.econbiz.de/10011763804
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Forecasting with a panel Tobit model
Liu, Laura; Moon, Hyungsik Roger; Schorfheide, Frank - In: Quantitative economics : QE ; journal of the … 14 (2023) 1, pp. 117-159
We use a dynamic panel Tobit model with heteroskedasticity to generate forecasts for a large cross‐section of short time series of censored observations. Our fully Bayesian approach allows us to flexibly estimate the cross‐sectional distribution of heterogeneous coefficients and then...
Persistent link: https://www.econbiz.de/10014306360
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Bayesian treatments for panel data stochastic frontier models with time varying heterogeneity
Liu, Junrong; Sickles, Robin C.; Tsionas, Efthymios G. - In: Econometrics : open access journal 5 (2017) 3, pp. 1-21
-sample performance of our estimators. An empirical study of efficiency trends in the largest banks operating in the U.S. from 1990 to …
Persistent link: https://www.econbiz.de/10011711007
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Risk taking in the market of speculative exchange-traded retail products : do socio-economic factors matter?
Baller, Stefanie - 2017
When purchasing a financial product, investors may actively decide upon the risk they take. This paper analyzes the … surroundings on their risk taking in the market of speculative exchange-traded retail products. Using a large trade dataset of … warrants and leverage certificates on an individual investor level, I find evidence that risk taking behavior is strongly …
Persistent link: https://www.econbiz.de/10011849256
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Empirical linkages between branching, lending, and competition : a study of Pakistani banks
Ahmed, Jaleel; Farooq, Umar; Al-Naimi, Ahmad A.; … - In: Economies : open access journal 11 (2023) 5, pp. 1-16
of geographic diversification and distance on the performance of banks, the market power of loans and deposits, and the … effect of large and medium banks on the performance of small banks, a sample of commercial banks is selected. The study finds … that geographic diversification and distance between bank branches and headquarters do not affect the performance of the …
Persistent link: https://www.econbiz.de/10014319534
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Corporate Governance und Unternehmenserfolg : eine empirische Analyse des Zusammenhangs zwischen den Führungs-, Kontroll- und Anreizstrukturen und der Geschäftsentwicklung deutsche...
Steinbrecher, Johannes - 2016
needed how banks are governed and how bank governance is associated with performance and risk taking. This report deals with … corporate governance matter. Higher executive team expertise is associated with superior bank outcomes regarding performance …, risk and efficiency. Compensation analyses show strong variation in compensation schemes between banks and bank divisions …
Persistent link: https://www.econbiz.de/10011742813
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Bank lending in Switzerland: capturing crosssectional heterogeneity and asymmetry over time
Beutler, Toni; Gubler, Matthias; Hauri, Simona; … - 2020
We study the bank lending channel in Switzerland over three decades using unbalanced quarterly bank-individual data spanning 1987 to 2016. In contrast to the usual empirical approach, we take an agnostic stance on which bank characteristic drives the heterogenous lending response to interest...
Persistent link: https://www.econbiz.de/10012264674
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Can low interest rates be harmful : an assessment of the bank risk-taking channel in Asia
Ramayandi, Arief; Rawat, Umang; Hsiao Chink Tang - 2014
interest rates and bank risk-taking. This paper also finds the presence of the risk-taking channel based on a panel of publicly … bank risk-taking. …
Persistent link: https://www.econbiz.de/10010336963