Similar Search Results

Leading Indicator Properties of Corporate Bond Spreads, Excess Bond Premia and Lending Spreads in the Euro Area

Krylova, Elizaveta - 2016

This paper analyses leading indicator properties of a broad set of credit spreads, compiled on the basis of information from both corporate bonds and bank loans for forecasting of real activity, unemployment, inflation and lending volumes in the euro area and in five major European economies. It...

Persistent link: https://www.econbiz.de/10012988612

Inflation-induced liquidity constraints in real estate financing

Gubitz, Andrea; Toedter, Karl-Heinz; Ziebarth, Gerhard - 2024

lending guidelines, and demand in housing construction and mortgage lending has plummeted. Against this background, the paper …

Persistent link: https://www.econbiz.de/10014527124

Fixed Rate Versus Adjustable Rate Mortgages : Evidence from Euro Area Banks

Albertazzi, Ugo - 2019

mortgage-backed securities is more widespread …

Persistent link: https://www.econbiz.de/10012898840

Fixed Rate versus Adjustable Rate Mortgages : Evidence from Euro Area Banks

Albertazzi, Ugo - 2019

mortgage-backed securities is more widespread …

Persistent link: https://www.econbiz.de/10012860418

Arrears on Mortgages : Differences Across Countries and Their Effect on the Pricing of the Loan

Magri, Silvia - 2009

highest percentage of households in arrears in Italy and Spain. The probability of being late in repaying mortgage is lower … second part of the paper, we assess how much the price of the mortgage is linked to the household specific credit risk, as … measured by its predicted probability of being in arrears on mortgage. This analysis regards only Italian households for which …

Persistent link: https://www.econbiz.de/10013156811

What Drives Mortgage Default Risk in Europe and the U.S.?

Gross, Marco; Tressel, Thierry; Ding, Xiaodan; Tereanu, … - 2022

We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default … counterfactual analysis of the responsiveness of mortgage PDs, LGDs, and bank capitalization conditional on adverse scenarios related …

Persistent link: https://www.econbiz.de/10013291773

The Impact of Sovereign and Credit Risk on Interest Rate Convergence in the Euro Area

Arnold, Ivo J. M. - 2014

This paper employs a time-varying parameter state space model to explore the impact of the crisis on bank retail rates in the euro area. We show that σ-convergence in interest rates has been adversely affected by the crisis and quantify the role of sovereign and credit risk as two alternative...

Persistent link: https://www.econbiz.de/10013053074

The Euro Sovereign Debt Crisis, Determinants of Default Probabilities and Implied Ratings in the CDs Market : An Econometric Analysis

Santos, Carlos - 2011

In this paper we take an innovative econometric look at the Euro Zone Sovereign Debt Crisis. We are particularly interested in understanding which determinants have led investors to ask for higher yields on sovereign debt from the Euro shatter belt. We dismiss the definition of speculation...

Persistent link: https://www.econbiz.de/10013124110

The effect of Euribor on banking profitability : evidence from the Spanish banking system

Boto-García, David; Alvarez, Antonio M.; Baños-Pino, José - In: European journal of government and economics : EJGE 10 (2021) 1, pp. 5-29

This paper studies the relationship between the Euribor rate and the return on average assets (ROAA) of the Spanish banking sector. We use quarterly time series data for the period 1995-2016. Our analysis also controls for bank factors, market concentration, the macroeconomic environment and...

Persistent link: https://www.econbiz.de/10013173802

The Short-Run Effect of Monetary Policy Shocks on Credit Risk : An Analysis of the Euro Area

Kim, Chi Hyun - 2019

We examine the credit channel of monetary policy from 2000 to 2015 in the Euro Area using daily monetary policy shock and credit risk measures in an autoregressive distributed lag model. We find that an expansionary monetary policy shock leads to a short-run increase in the credit risk of...

Persistent link: https://www.econbiz.de/10012893974