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Cyclical Systemic Risk and Downside Risks to Bank Profitability

Lang, Jan Hannes - 2020

This paper studies the impact of cyclical systemic risk on future bank profitability for a large representative panel …

Persistent link: https://www.econbiz.de/10012834322

A Stochastic Forward-Looking Model to Assess the Profitability and Solvency of European Insurers

Berdin, Elia - 2017

In this paper, we develop an analytical framework for conducting forward-looking assessments of profitability and … developments and stochastic claims. The model highlights the potential threats to insurers solvency and profitability stemming from …

Persistent link: https://www.econbiz.de/10012961958

Monetary Policy and Bank Profitability in a Low Interest Rate Environment

Altavilla, Carlo - 2017

We analyse the impact of standard and non-standard monetary policy measures on bank profitability. For empirical … profitability are asymmetrically affected by accommodative monetary conditions, with a positive impact on loan loss provisions and … higher increase in profitability after a steepening of the yield curve. Finally, we assess the impact of unconventional …

Persistent link: https://www.econbiz.de/10012945753

Efficiency and Risk in European Banking

Fiordelisi, Franco - 2010

We analyze the impact of efficiency on bank risk. We also consider whether bank capital has an effect on this relationship. We model the inter-temporal relationships among efficiency, capital and risk for a large sample of commercial banks operating in the European Union. We find that reductions...

Persistent link: https://www.econbiz.de/10013142777

Variational inference for Bayesian panel VAR models

Ter Steege, Lucas - 2024

We study the application of approximate mean field variational inference algorithms to Bayesian panel VAR models in which an exchangeable prior is placed on the dynamic parameters and the residuals follow either a Gaussian or a Student-t distribution. This reduces the estimation time of possibly...

Persistent link: https://www.econbiz.de/10015199536

The nonlinear effects of banks' vulnerability to capital depletion in euro area countries

Davidson, Sharada Nia; Moccero, Diego Nicolas - 2024

are typically associated with low bank margins and profitability, also lead to a larger decline in lending. De-risking is …

Persistent link: https://www.econbiz.de/10014543638

Inflation and fiscal policy: Is there a threshold effect in the fiscal reaction function?

Briodeau, Clémence; Checherita-Westphal, Cristina - 2023

This paper estimates a fiscal reaction function (FRF) framework for euro area countries to test for the impact of changes in inflation on fiscal policy. We find evidence of non-linear short-term effects of HICP inflation on the primary balance after controlling for other relevant factors. Over...

Persistent link: https://www.econbiz.de/10014543680

Changing patterns of risk-sharing channels in the United States and the euro area

Cimadomo, Jacopo; Giuliodori, Massimo; Lengyel, Andras; … - 2023

In this paper, we assess how risk-sharing channels have evolved over time in the United States and the Euro Area, and whether they have operated as "complements" or "substitutes". In particular, we focus on the capital channel (income from cross-border ownership of productive assets), the credit...

Persistent link: https://www.econbiz.de/10014543684

Fiscal reaction function and fiscal fatigue: Evidence for the euro area

Checherita-Westphal, Cristina; Žďárek, Václav - 2017

This paper estimates a fiscal reaction function (FRF) framework for euro area countries and derives a novel approach to measure fiscal fatigue. As in previous studies, we find evidence that euro area sovereigns abide, on average, by (weak) sustainability constraints. The primary balance improves...

Persistent link: https://www.econbiz.de/10011667204

A panel VAR analysis of macro-financial imbalances in the EU

Comunale, Mariarosaria - 2017

We investigate the interactions across current account misalignments, Real Effective Exchange Rate misalignments and financial (or output) gaps within EU countries. We apply panel techniques, including a Bayesian panel VAR, to 27 EU members over the period 1994-2012. We find that, for the euro...

Persistent link: https://www.econbiz.de/10011667214