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Growth Fragility and Systemic Risk Under Model Uncertainty

C. Herculano, Miguel - 2021

The link between systemic risk and economic growth is hard to study because the relationship is believed to be … nonlinear and systemic risk is unobservable. The myriad of measures proposed in the literature add model uncertainty as an … additional difficulty. I use a Bayesian quantile regression to study the relevance of 33 systemic risk indicators to explain …

Persistent link: https://www.econbiz.de/10013226354

Measuring systemic financial stress and its risks for growth

Chavleishvili, Sulkhan; Kremer, Manfred - 2023

financial crises on a continuous scale. Several index designs from the financial stress and systemic risk literature can be …-correlations as systemic risk weights, computationally similar to how portfolio risk is computed from the risk characteristics of … individual assets. A boot-strap algorithm provides test statistics. Single-equation and system quantile growth-at-risk …

Persistent link: https://www.econbiz.de/10014362652

The impact of financial risks on economic growth in EU-15

Jianu, Ionuţ; Iacob, Laura-Mădălina; Tudorache, … - In: Theoretical and applied economics : GAER review 24 (2017) 1, pp. 23-44

Persistent link: https://www.econbiz.de/10011786246

The impact of financial risks on economic growth in EU-15

Jianu, Ionuţ; Iacob, Laura-Mădălina; Tudorache, … - 2017

This paper examines the impact of financial risks on economic growth in the first 15 Member States of the European Union, considering 1995-2014 period and aims to lay down a new explanatory model of economic growth, based mainly on the behavioral reactivity of the financial disruptions mentioned...

Persistent link: https://www.econbiz.de/10012124345

Stock Markets, Banks and Economic Growth : Some Evidence on the Role of Stock Price Informativeness

Cheng, Fang Chin - 2011

This paper extends the economic growth model tested by Levine and Zervos (1998) by including a measure for capital allocation efficiency proxied by stock price informativeness. Using a sample of 59 countries, this study finds that stock price informativeness as measured by firm-specific return...

Persistent link: https://www.econbiz.de/10013121128

Financial Innovation, Economic Growth, and the Consequences of Macroprudential Policies

Bernier, Maxence - 2019

We leverage a ‘catch-all' measure of financial innovation – research and development spending in the financial sector – to assess the net relationship between financial innovation and economic growth and evaluate the influence of macroprudential policy on this relationship. Using a panel...

Persistent link: https://www.econbiz.de/10012871971

Financial system risk tolerance capacity and economic growth : evidence from a cross-country analysis

Zhang, Ling; Zhang, Sheng; Tao, Na - In: Global economic review 45 (2016) 2, pp. 97-115

Persistent link: https://www.econbiz.de/10011565898

Uncertain Booms and Fragility

Lee, Michael Junho - 2017

I develop a framework of the build-up and outbreak of financial crises in an asymmetric information setting. In equilibrium, two distinct economic states arise endogenously: normal times – periods of modest investment, and booms – periods of expansionary investment. Normal times occur when...

Persistent link: https://www.econbiz.de/10012960899

Growth at risk from climate change

Kiley, Michael T. - In: Economic inquiry 62 (2024) 3, pp. 1134-1151

Persistent link: https://www.econbiz.de/10015123743

Evaluating Growth-at-Risk as a tool for monitoring macro-financial risks in the Peruvian economy

Chicana, Diego; Nivin, Rafael - 2021

Growth at Risk (GaR) methodology developed by Adrian et al. (2019) has been of special interest by policymakers since … model evaluation techniques to increase the accuracy of a Growth at Risk model for the Peruvian Economy. Considering a broad …

Persistent link: https://www.econbiz.de/10012508915