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The Holt-Winters filter and the one-sided HP filter : a close correspondence

Alfaro, Rodrigo; Drehmann, Mathias - In: Economics letters 222 (2023), pp. 1-4

Persistent link: https://www.econbiz.de/10014231909

FX-hedging for Latin American investors

Alfaro, Rodrigo; Goldberger, Natan - In: Emerging markets review 59 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014533602

Aggregate Debt Servicing and the Limit on Private Credit

Drehmann, Mathias; Juselius, Mikael; Quincy, Sarah - National Bureau of Economic Research - 2024

This paper reviews the debt service ratio (DSR) as a theoretically well-grounded indicator of systemic risk. The DSR has the desirable feature that it fluctuates around a stable level which makes its early warning signals easy to understand and communicate. In contrast, current early warning...

Persistent link: https://www.econbiz.de/10015171707

Forecasting recessions : the importance of the financial cycle

Borio, Claudio E. V.; Drehmann, Mathias; Xia, Fan Dora - In: Journal of macroeconomics 66 (2020), pp. 1-15

Persistent link: https://www.econbiz.de/10012433835

Long-term debt propagation and real reversals

Drehmann, Mathias; Juselius, Mikael; Korinek, Anton - 2023

Persistent link: https://www.econbiz.de/10014281479

Herding with and without payoff externalities - an internet experiment

Drehmann, Mathias; Oechssler, Joerg; Roider, Andreas - 2005

Persistent link: https://www.econbiz.de/10003187813

Herding and contrarian behavior in financial markets : an Internet experiment

Drehmann, Mathias; Oechssler, Joerg; Roider, Andreas - In: The American economic review 95 (2005) 5, pp. 1403-1426

Persistent link: https://www.econbiz.de/10003265302

Affine Nelson-Siegel model

Alfaro, Rodrigo A. - In: Economics Letters 110 (2011) 1, pp. 1-3

We introduce a discrete-time version of the dynamic yield curve model proposed by Diebold and Li (2006) which is based on Nelson and Siegel (1987). As in Christensen et al. (2010) we found an affine process that matches the model.

Persistent link: https://www.econbiz.de/10008867032

Leverage Dynamics and the Burden of Debt

Juselius, Mikael; Drehmann, Mathias - In: Oxford Bulletin of Economics and Statistics 82 (2019) 2, pp. 347-364

Persistent link: https://www.econbiz.de/10012095526

Herding with and without payoff externalities -- an internet experiment

Drehmann, Mathias; Oechssler, Jorg; Roider, Andreas - In: International Journal of Industrial Organization 25 (2007) 2, pp. 391-415

Persistent link: https://www.econbiz.de/10005499704