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Liquidity and Solvency Shocks in Interbank Lending and the Prediction of Bank Failures : Analysis of a Network Model of Systemic Risk

Krause, Andreas; Giansante, Simone - 2022

We analyze the determinants of individual bank failures arising from solvency and liquidity shortages in a stylized banking system following Krause and Giansante (2012) where banks are characterized by the amount of capital, cash reserves and their exposure to the interbank loan market as...

Persistent link: https://www.econbiz.de/10013309573

Conditional Macroeconomic Forecasts : Disagreement, Revisions and Forecast Errors

Glas, Alexander; Heinisch, Katja - 2021

Using data from the European Central Bank's Survey of Professional Forecasters, we analyze the role of ex-ante conditioning variables for macroeconomic forecasts. In particular, we test to which extent the heterogeneity, updating and ex-post performance of predictions for inflation, real GDP...

Persistent link: https://www.econbiz.de/10013222498

How forecast accuracy depends on conditioning assumptions

Engelke, Carola; Heinisch, Katja; Schult, Christoph - 2019

This paper examines the extent to which errors in economic forecasts are driven by initial assumptions that prove to be incorrect ex post. Therefore, we construct a new data set comprising an unbalanced panel of annual forecasts from different institutions forecasting German GDP and the...

Persistent link: https://www.econbiz.de/10012051532

Real Activity Forecasts Using Loan Portfolio Information

Khan, Urooj; Ozel, N. Bugra - 2020

To extend and monitor loans, banks collect detailed and proprietary information about the financial prospects of their customers, many of whom are local businesses and households. Therefore, banks’ loan portfolios contain potentially useful information about local economic conditions. We...

Persistent link: https://www.econbiz.de/10014349134

Dealing with financial instability under a DSGE modeling approach with banking intermediation : a forecastability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2015

Persistent link: https://www.econbiz.de/10011372826

Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - 2016

In the dynamic stochastic general equilibrium (DSGE) literature there has been an increasing aware- ness on the role … that the banking sector can play in macroeconomic activity. We present a DSGE model with financial intermediation as in … crucial in any attempted empirical analysis. Since DSGE modelling usually fails to take into account inherent nonlinearities …

Persistent link: https://www.econbiz.de/10011518833

Dealing with financial instability under a DSGE modeling approach with banking intermediation : a predictability analysis versus TVP-VARs

Bekiros, Stelios; Cardani, Roberta; Paccagnini, Alessia; … - In: Journal of financial stability 26 (2016), pp. 216-227

Persistent link: https://www.econbiz.de/10011705507

Financial crises, macroprudential policy and the reliability of credit-to-GDP gaps

Alessandri, Piergiorgio; Bologna, Pierluigi; Galardo, … - 2020

The Basel III regulation explicitly prescribes the use of Hodrick-Prescott filters to estimate credit cycles and calibrate countercyclical capital buffers. However, the filter has been found to suffer from large ex-post revisions, raising concerns on its fitness for policy use. To investigate...

Persistent link: https://www.econbiz.de/10012423691

Predicting a Heart Attack : The Fundamental Opacity of Extreme Liquidity Risk

Fisher, William - 2013

After 150 years of business, Lehman Brothers ran out of cash and credit, and filed for bankruptcy on September 15, 2008. As a publicly traded company, Lehman had filed all the reports required by U.S. securities law. But the hundreds of pages of words and numbers provided no timely warning of...

Persistent link: https://www.econbiz.de/10013078953

Changing risk-return profiles

Crump, Richard K.; Giannone, Domenico; Hundtofte, Sean - 2018

We show that realized volatility, especially the realized volatility of financial sector stock returns, has strong predictive content for the future distribution of market returns. This is a robust feature of the last century of U.S. data and, most importantly, can be exploited in real time....

Persistent link: https://www.econbiz.de/10011868395