In this paper, we examine two questions: i) how changes in the funding costs of banks affect retail loan rates and ii) how changes in relative loan rates between banks affect their market shares. To do so, we estimate a simultaneous system of equations model using panel data for six Norwegian...

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by...

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has shown that the standard market models fail to measure and forecast financial risks and their characteristics. This work studies risk of collateralized debt obligations (CDOs) by...

The analysis of large panel data sets (with N variables) involves methods of dimension reduction and optimal information extraction. Dimension reduction is usually achieved by extracting the common variation in the data into few factors (k, where k N). In the present project, factors are...

This paper investigates economic convergence in real income per capita between 27 European Union countries. We employ a non-linear latent factor framework to study transitional behavior among economies between 1970 and 2010. Our results offer important insights on the economic catch-up exhibited...

We analyze real interest rate convergence among six industrialized countries in between 1975M1-2011M3 within a multi-country framework by means of a dynamic latent factor model. The real interest rates are decomposed into permanent and transitory factors, and country-specific components....