Similar Search Results

Schwaab, Bernd; Lucas, Andre; Koopman, Siem Jan - 2010

A macro-prudential policy maker can manage risks to financial stability only if currentand future risks can be reliably assessed. We propose a novel framework to assessfinancial system risk. Using a dynamic factor framework based on state-space methods, we model latent macro-financial and credit...

Persistent link: https://www.econbiz.de/10010325790

Identifying the Weights in Exchange Market Pressure

Klaassen, Franc - 2011

Exchange market pressure (EMP) measures the pressure on a currency to depreciate. It adds to the actual depreciation a weighted combination of policy instruments used to ward off depreciation, such as interest rates and foreign exchange interventions, where the weights are their effectiveness....

Persistent link: https://www.econbiz.de/10010325742

Valuing Euro Rating-Triggered Step-Up Telecom Bonds

Houweling, Patrick; Mentink, Albert; Vorst, Ton - 2003

We value rating-triggered step-up bonds with three methods: (i) the Jarrow, Lando andTurnbull (1997, JLT) framework, (ii) a similar framework using historical probabilities and(iii) as plain vanilla bonds. We find that the market seems to value single step-up bondsaccording to the JLT model,...

Persistent link: https://www.econbiz.de/10010324990

The EURO, Prudent Coherence?

Arnold, Ivo J.M.; de Vries, Casper G. - 1998

EURO's will be more stable than thecurrent demand for national currencies. In policy circles this seeminglymoderating …

Persistent link: https://www.econbiz.de/10010324454

Has the Euro increased Trade?

Bun, Maurice J.G.; Klaassen, Franc J.G.M. - 2002

A major economic reason for the introduction of the euro was its supposedly positive effect on intra-EMU trade …. Existing studies examine this suspicion indirectly using non-EMU data and report ambiguous results. We estimate the euro … euro has significantly increased trade, with an effect of 4% in the first year and cumulating to around 40% in the long …

Persistent link: https://www.econbiz.de/10010325067

Washington meets Wall Street: A Closer Examination of the Presidential Cycle Puzzle

Kraeussl, R.; Lucas, A.; Rijsbergen, D.; van der Sluis, P.J. - 2008

This paper tests the policitcal dimensions of the presidential cycle effect in U.S. financial markets. The presidential cycle effect states that average stock market returns are significantly higher in the last two years compared to the first two years of a presidential term. We confirm the...

Persistent link: https://www.econbiz.de/10010325930

The Financial Trilemma

Schoenmaker, Dirk - 2011

The financial trilemma states that financial stability, financial integration and national financial policies are incompatible. Any two of the three objectives can be combined but not all three; one has to give. This paper develops a model to underpin the financial trilemma. Our findings for...

Persistent link: https://www.econbiz.de/10010326076

Forecasting Macroeconomic Variables using Collapsed Dynamic Factor Analysis

Brauning, Falk; Koopman, Siem Jan - 2012

We explore a new approach to the forecasting of macroeconomic variables based on a dynamic factor state space analysis. Key economic variables are modeled jointly with principal components from a large time series panel of macroeconomic indicators using a multivariate unobserved components time...

Persistent link: https://www.econbiz.de/10010326452

Forecasting Value-at-Risk using Block Structure Multivariate Stochastic Volatility Models

Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this reason, most are fitted under strong parametric restrictions that reduce the interpretation and flexibility of the models. Recently, the literature has focused on...

Persistent link: https://www.econbiz.de/10010326487

Measuring and Predicting Heterogeneous Recessions

Cakmakli, Cem; Paap, Richard; van Dijk, Dick - 2011

This paper conducts an empirical analysis of the heterogeneity of recessions inmonthly U.S. coincident and leading indicator variables. Univariate Markovswitchingmodels indicate that it is appropriate to allow for two distinct recessionregimes, corresponding with ‘mild’ and ‘severe’...

Persistent link: https://www.econbiz.de/10010326552