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Temporal networks in the analysis of financial contagion
Franch, Fabio; Nocciola, Luca; Vouldis, Angelos - 2022
This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic...
Persistent link: https://www.econbiz.de/10013367996
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The time dimension of the links between loss given default and the macroeconomy
Konečný, Tomáš; Seidler, Jakub; Belyaeva, Aelita; … - 2017
represents 15% of the Czech consumer credit market over the period 2002-2012. We find an important time dimension to the links …
Persistent link: https://www.econbiz.de/10011667201
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Between hawks and doves: Measuring central bank communication
Tobback, Ellen; Nardelli, Stefano; Martens, David - 2017
applications: we perform a correlation analysis with a set of interest rates, use Latent Dirichlet Allocation to detect the …
Persistent link: https://www.econbiz.de/10011804400
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A theory of pruning
Lombardo, Giovanni; Uhlig, Harald - 2014
Often, numerical simulations for dynamic, stochastic models in economics are needed. Higher order methods can be …
Persistent link: https://www.econbiz.de/10011605741
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Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks
Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009
In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a … credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a … sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these …
Persistent link: https://www.econbiz.de/10011605048
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Between Hawks and Doves : Measuring Central Bank Communication
Tobback, Ellen - 2017
applications: we perform a correlation analysis with a set of interest rates, use Latent Dirichlet Allocation to detect the …
Persistent link: https://www.econbiz.de/10012952829
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A Theory of Pruning
Lombardo, Giovanni - 2014
Often, numerical simulations for dynamic, stochastic models in economics are needed. Higher order methods can be …
Persistent link: https://www.econbiz.de/10013051660
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Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks
Castrén, Olli - 2009
In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a … credit risk model - based on publicly available information - with the aim of developing a tool to monitor credit risk in a … sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these …
Persistent link: https://www.econbiz.de/10012766583
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Temporal Networks in the Analysis of Financial Contagion
Franch, Fabio; Nocciola, Luca; Vouldis, Angelos - 2022
This paper studies the dynamics of contagion across the banking, insurance and shadow banking sectors of 16 advanced economies in the period 2006-2018. We construct Granger causality-in-risk networks and introduce higher-order aggregate networks and temporal node centralities in an economic...
Persistent link: https://www.econbiz.de/10013406163
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New facts on consumer price rigidity in the euro area
Gautier, Erwan; Conflitti, Cristina; Faber, Riemer P.; … - 2022
Using CPI micro data for 11 euro area countries covering about 60% of the euro area consumption basket over the period 2010-2019, we document new findings on consumer price rigidity in the euro area: (i) each month on average 12.3% of prices change, which compares with 19.3% in the United...
Persistent link: https://www.econbiz.de/10013367999