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Severe financial turbulences are driven by high impact and low probability events that are the characteristic hallmarks of systemic financial stress. These unlikely adverse events arise from the extreme tail of a probability distribution and are therefore very poorly captured by traditional...
Persistent link: https://www.econbiz.de/10010686879
The bank efficiency literature lacks an agreed definition of bank outputs and inputs. This is problematic given the long-standing controversy concerning the status of deposits, but also because bank efficiency estimates are known to be affected by the inclusion of additional outputs such as...
Persistent link: https://www.econbiz.de/10010988815
Persistent link: https://www.econbiz.de/10010172032
The measurement of banking output (and therefore productivity) has long been controversial. This article applies the user cost approach in Fixler and Zieschang (1999) to quarterly reporting data from Luxembourg's banking sector. This requires associating the flows in the profit-and-loss account...
Persistent link: https://www.econbiz.de/10012705856
By examining the gold leasing market and employing data on the gold forward offered rate (GOFO) and derived lease rates, we propose that rather than using the interest-adjusted basis as a proxy for the convenience yield of gold, the convenience yield is better approximated by the derived gold...
Persistent link: https://www.econbiz.de/10005258354
In the existing literature on barrier options, much effort has been exerted to ensure convergence through placing the barrier in close proximity to, or directly onto, the nodes of the tree lattice. In this paper we show that this may not be necessary to achieve accurate option price...
Persistent link: https://www.econbiz.de/10005162995
Persistent link: https://www.econbiz.de/10008153360
[eng] This paper sheds a new light on the puzzling negative relationship between nominal stock returns and expected inflation. The assertion that stocks offer a hedge against inflation is theoretically founded on the Fisher identity. Contrary to this fundamental view, recent empirical tests...
Persistent link: https://www.econbiz.de/10010977760
We develop a dynamic stochastic general equilibrium model with an heterogeneous banking sector. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbank market. Our aim is to understand the interactions...
Persistent link: https://www.econbiz.de/10005067613
We develop a DSGE model with a heterogeneous banking sector. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injections into the interbank market. We aim to understand the interactions between the banking sector and the rest of...
Persistent link: https://www.econbiz.de/10008751566