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Business cycle duration dependence and foreign recessions

de Bondt, Gabe J.; Vermeulen, Philip - 2018

current business cycle phase and of foreign recessions on the likelihood that expansions and recessions come to an end. With … to recessions in a G7 country, we find that the likelihood of them coming to an end is not affected by other G7 countries …' recessions. We find duration dependence of recessions for all G7 countries, i.e. recessions that have gone on for a while are …

Persistent link: https://www.econbiz.de/10012142049

The dynamics of non-performing loans during banking crises: A new database

Ari, Anil; Chen, Sophia; Ratnovski, Lev - 2020

relationship between NPL problems-elevated and unresolved NPLs-and the severity of post-crisis recessions. A machine learning …

Persistent link: https://www.econbiz.de/10012422057

Does the yield spread predict recessions in the euro area?

Moneta, Fabio - 2003

This paper studies the informational content of the slope of the yield curve as a predictor of recessions in the euro … outperforms all the other spreads in predicting recessions in the euro area. The result is con¯rmed when the au …

Persistent link: https://www.econbiz.de/10011604340

Predicting recession probabilities with financial variables over multiple horizons

Fornari, Fabio; Lemke, Wolfgang - 2010

-post classification of recessions and non-recessions 95% of the time for the one-quarter forecast horizon and 87% of the time for the four …

Persistent link: https://www.econbiz.de/10011605301

Tackling the volatility paradox: spillover persistence and systemic risk

Kubitza, Christian - 2024

Financial losses can have persistent effects on the financial sy stem. This paper proposes an empirical measure for the duration of these effects, S pillover P ersistence. I d ocument that Spillover Persistence is strongly correlated with financial c onditions; d uring b anking crises, Spillover...

Persistent link: https://www.econbiz.de/10015199543

A wake-up call theory of contagion

Ahnert, Toni; Bertsch, Christoph - 2022

We offer a theory of financial c ontagion b ased o n t he i nformation c hoice o f i nvestors after observing a financial crisis e lsewhere. We study global coordination games of regime change in two regions linked by an initially unobserved macro shock. A crisis in region 1 is a wake-up call to...

Persistent link: https://www.econbiz.de/10013367988

Latent fragility: Conditioning banks' joint probability of default on the financial cycle

Bochmann, Paul; Hiebert, Paul; Schüler, Yves; … - 2022

We propose the CoJPoD, a novel framework explicitly linking the cross-sectional and cyclical dimensions of systemic risk. In this framework, banking sector distress in the form of the joint probability of default of financial intermediaries (reflecting contagion from both direct and indirect...

Persistent link: https://www.econbiz.de/10014278517

How robust is the result that the cost of "leaning against the wind" exceeds the benefit? Response to Adrian and Liang

Svensson, Lars E.O. - 2017

The main result in Svensson (2017) and its previous versions is that, given current knowledge and empirical estimates, the cost of using monetary policy to "lean against the wind" for financialstability purposes exceeds the benefit by a substantial margin. Adrian and Liang (2016a) conduct a...

Persistent link: https://www.econbiz.de/10011667207

A framework for early-warning modeling with an application to banks

Lang, Jan Hannes; Peltonen, Tuomo; Sarlin, Peter - 2018

This paper proposes a framework for deriving early-warning models with optimal out-of-sample forecasting properties and applies it to predicting distress in European banks. The main contributions of the paper are threefold. First, the paper introduces a conceptual framework to guide the process...

Persistent link: https://www.econbiz.de/10012142026

Semi-structural credit gap estimation

Lang, Jan Hannes; Welz, Peter - 2018

This paper proposes a semi-structural approach to identifying excessive household credit developments. Using an overlapping generations model, a normative trend level for the real household credit stock is derived that depends on four fundamental economic factors: real potential GDP, the...

Persistent link: https://www.econbiz.de/10012142038