Showing 1 - 10 of 17
Persistent link: https://www.econbiz.de/10005239891
We study market perception of sovereign credit risk in the euro area during the financial crisis. In our analysis we use a parsimonious CDS pricing model to estimate the probability of default (PD) and the loss given default (LGD) as perceived by financial markets. We find that separate...
Persistent link: https://www.econbiz.de/10011067266
The paper employs a recently developed procedure, based on a bivariate Markov switching model, to analyze the asymmetric causality linkages between credit growth and output growth during banking crises. Using a sample of 103 banking crises, we find that neither credit nor output leads the other...
Persistent link: https://www.econbiz.de/10004988583
Persistent link: https://www.econbiz.de/10005082155
The aim of this paper is to estimate the costs of banking sector restructuring in Poland, borne by the government and the central bank in the years 1993-2006. The authors focused mainly on the assistance measures that directly contributed to generating costs. Aggregated costs of the banking...
Persistent link: https://www.econbiz.de/10008548819
We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. This method uses an event-study approach and a multiple-equation identification and estimation technique. In contrast to earlier research, we...
Persistent link: https://www.econbiz.de/10008865692
This paper applies a life-cycle model with individual income uncertainty to investigate the determinants of credit to households. We show that the value of household credit to GDP ratio depends on (i) the lending-deposit interest rate spread, (ii) individual income uncertainty, (iii) individual...
Persistent link: https://www.econbiz.de/10010686878
Persistent link: https://www.econbiz.de/10005216849
We propose a method for calculating the macroeconomic costs of banking crises that controls for the downward impact of recessions on banking activity. In contrast to earlier research, we estimate the cost of crises based on the size of banking crises. The extent of a crisis is measured using...
Persistent link: https://www.econbiz.de/10005113464
In this paper we investigate how high frequency trading affects technical analysis and market efficiency in the foreign exchange (FX) market by using a special adaptive form of the Strongly Typed Genetic Programming (STGP)-based learning algorithm. We use this approach for real one-minute high...
Persistent link: https://www.econbiz.de/10010729417