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We evaluate residual projection strategies in the context of a large-scale macro model of the euro area and smaller benchmark time-series models. The exercises attempt to measure the accuracy of model-based forecasts simulated both out-of-sample and in-sample. Both exercises incorporate...
Persistent link: https://www.econbiz.de/10013316469
, and Reichlin (2005) using a large panel of US macroeconomic variables. We propose a nesting procedure of comparison that …
Persistent link: https://www.econbiz.de/10013317450
When back-testing the calibration quality of rating systems two-sided statistical tests can detect over- and under-estimation … of credit risk. Some users though, such as risk-averse investors and regulators, are primarily interested in the under-estimation …
Persistent link: https://www.econbiz.de/10012998177
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...
Persistent link: https://www.econbiz.de/10013059582
We document the structure of firm-bank relationships across eleven euro area coun-tries and present new stylised facts using data from the Eurosystem credit registry -AnaCredit. We look at the number of banking relationships, reliance on the main bank, credit instruments, loan maturity, and...
Persistent link: https://www.econbiz.de/10014353941
We propose to treat survey-based density expectations as compositional data when testing either for heterogeneity in density forecasts across different groups of agents or for changes over time. Monte Carlo simulations show that the proposed test has more power relative to both a bootstrap...
Persistent link: https://www.econbiz.de/10014257125
How do real interest rates affect financial fragility? We study this issue in a model in which bank borrowing is subject to rollover risk. A bank’s optimal borrowing trades off the benefit from investing additional funds into profitable assets with the cost of greater risk of a run by...
Persistent link: https://www.econbiz.de/10014237993
Forbearance is a practice of granting concessions to troubled borrowers, typically in the form of prolongation of maturity or 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....
Persistent link: https://www.econbiz.de/10013009659
heteroskedastic. After presenting the model, we propose a multi-step estimation technique which combines asymptotic principal … results in order to assess the finite sample properties of the estimation technique. Finally, we carry out two empirical …
Persistent link: https://www.econbiz.de/10013154951
Previous assessments of nominal exchange rate determination, following Meese and Rogoff (1983) have focused upon a narrow set of models. Cheung et al. (2005) augmented the usual suspects with productivity based models, and “behavioral equilibrium exchange rate” models, and assessed...
Persistent link: https://www.econbiz.de/10012963129