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Measuring global financial market stresses
Groen, Jan J. J.; Nattinger, Michael B.; Noble, Adam I. - 2020
We propose measures of financial market stress for forty-six countries and regions across the world. Our measures … the wake of the COVID-19 pandemic. However, hardly anywhere in the world did these March peaks in financial stresses reach … power for the near-term economic outlook across most parts of the world, with the exception of China. A structural Bayesian …
Persistent link: https://www.econbiz.de/10012619517
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Measuring Global Financial Market Stresses
Groen, Jan J.; Nattinger, Michael; Noble, Adam I - 2021
We propose measures of financial market stress for forty-six countries and regions across the world. Our measures … wake of the COVID-19 pandemic. However, hardly anywhere in the world did these March peaks in financial stresses reach those … for the near-term economic outlook across most parts of the world, with the exception of China. A structural Bayesian VAR …
Persistent link: https://www.econbiz.de/10013242752
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Spillovers of US unconventional monetary policy : quantitative easing, spreads, and international financial markets
Yildirim, Zekeriya; Ivrendi, Mehmet - In: Financial innovation : FIN 7 (2021), pp. 1-38
policies to the rest of the world. The extent of these effects depends on the type of QE measures. QE measures such as …
Persistent link: https://www.econbiz.de/10012798677
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Global financial cycles since 1880
Potjagailo, Galina; Wolters, Maik H. - 2019
We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...
Persistent link: https://www.econbiz.de/10011987786
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International financial integration : too much?
Taşdemir, Fatma - In: Borsa Istanbul Review 23 (2023) 2, pp. 402-411
According to theory, financial openness (FO) increases growth. The literature often conditions the growth effect of FO on favorable collateral environment. However, this can conceal the actual growth benefits of FO. This paper contributes to the literature by investigating the unconditional...
Persistent link: https://www.econbiz.de/10014307771
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The transmission of US financial stress : evidence for emerging market economies conference paper
Fink, Fabian; Schüler, Yves S. - 2013 - This draft: January 18, 2013
-FSSs represent a crucial driver for volatility in the emerging world; also at business cycle frequencies. …
Persistent link: https://www.econbiz.de/10010344608
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Global financial cycles since 1880
Potjagailo, Galina; Wolters, Maik H. - 2019
The authors analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, they analyze the dynamics of co-movement and compare recent...
Persistent link: https://www.econbiz.de/10011992406
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Macro-financial vulnerabilities and future financial stress : assessing systemic risks and predicting systemic events
Lo Duca, Marco; Peltonen, Tuomo - 2011
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of "stand alone" and composite indicators in predicting systemic events...
Persistent link: https://www.econbiz.de/10008935836
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Macro-Financial Vulnerabilities and Future Financial Stress : Assessing Systemic Risks and Predicting Systemic Events
Lo Duca, Marco - 2011
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...
Persistent link: https://www.econbiz.de/10013128992
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Macro-Financial Vulnerabilities and Future Financial Stress - Assessing Systemic Risks and Predicting Systemic Events
Lo Duca, Marco - 2011
This paper develops a framework for assessing systemic risks and for predicting (out-of-sample) systemic events, i.e. periods of extreme financial instability with potential real costs. We test the ability of a wide range of “stand alone” and composite indicators in predicting systemic...
Persistent link: https://www.econbiz.de/10013127638