Forbearance is a practice of granting concessions to troubled borrowers, typically in the form of prolongation of maturity of refinancing of the loan. While economically useful in some circumstances, it can be used by banks in order to reduce the need for provisions and conceal potential losses....

We identify a set of "rules of thumb" that characterise economic, financial and structural conditions preceding the onset of banking and currency crises in 36 advanced economies over 1970-2010. We use the Classification and Regression Tree methodology (CART) and its Random Forest (RF) extension,...

In this paper, we exploit micro data from the ECB Survey of Professional Forecasters (SPF) to examine the link between the characteristics of macroeconomic density forecasts (such as their location, spread, skewness and tail risk) and density forecast performance. Controlling for the effects of...

We use an extensive data set of bilateral exposures on credit default swap (CDS) to estimate the impact on collateral demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers into several key components, including the "velocity...

The balance sheet adjustment in the household sector was a prominent feature of the Great Recession that is widely believed to have held back the cyclical recovery of the US economy. A key question for the US outlook is therefore whether household deleveraging has ended or whether further...

This paper takes a financial market perspective in examining the relationship between oil prices, the US dollar and asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a bidirectional causality between the US dollar and oil...

This paper investigates the potential impact of the growing influence of the opinions of credit rating agencies (CRAs) on market dynamics. This impact can be seen as a consequence of the information content of the ratings themselves or indirectly as a consequence of the "hardwiring" of ratings...

This study focuses on longer term influences and provides some potential explanations in ECU markets which were regarder by some financial market participants as puzzles.

How do financial markets price new information? This paper analyzes price setting atthe intersection of private and public information, by testing whether and how thereaction of financial markets to public signals depends on the relative importance ofprivate information in agents’ information...

This paper investigates the market pricing of subprime mortgage risk on the basis of data forthe ABX.HE family of indices, which have become a key barometer of mortgage marketconditions during the recent financial crisis. After an introduction into ABX index mechanicsand a discussion of...