The paper describes a theoretical approach to determine the downturn LGD for residential mortgages, which is compliant with the regulatory requirement and thus suited to be used for validation, at least as it can give benchmark results. The link between default rates and recovery rates is in...

We develop a novel unified econometric methodology for the formal examination of the market power -- cost efficiency nexus. Our approach can meaningfully accommodate a mutually dependent relationship between the firm's cost efficiency and marker power (as measured by the Lerner index) by...

Supply-leading theory predicts that the financial sector development precedes economic development while demand-following theory believes that the economy should develop, then the financial sector follows. This study exploits the financial sector and economic development relationship in a...

This paper offers a methodology to address the endogeneity of inputs in the directional technology distance function (DTDF) based formulation of banking technology which explicitly accommodates the presence of undesirable nonperforming loans --- an inherent characteristic of the bank's...

Minimum capital requirements are often implemented under the notion that increased capital improves bank safety and stability. However, an unintended consequence of higher capital requirements could arise if increasing capital induces banks to invest in riskier assets. Several researchers have...

The following paper raises the question of monetary policy’s effectiveness in emerging countries during the three phases of global excess liquidity. To answer it, our analysis is divided in two parts. The first one focuses on the concept of global excess liquidity and identifies when it occurs...

Purpose: The scope of this paper is to see if the aggregate information and communications technology index (ICT) drives firm performance (profitability and efficiency) for BRICS countries from a des-aggregate panel data of the firm-yearly level (by country) during 2014-2022, from an aggregate...

This paper investigates the optimal behavior of the main real macroeconomic variables in a Dynamic Stochastic General Equilibrium (DSGE) framework augmented with a time-varying depreciation rate of capital stock and an endogenous production of maintenance goods. For this purpose I explicitly...

This paper presents a two-country model linking Poland and the euro area and applies it for assessment of heterogeneity across these two regions. Overall, our results can be seen as rather inconclusive about the differences in parameters describing agents' decision-making in Poland and in the...

This paper examines the behaviour of disaggregated output over the economic cycle in South Africa. Aggregate output and output of the economic sectors and industries were decomposed into their transitory and potential components. These components were then examined for comovement. The results of...