Similar Search Results

A Macroeconomic Model with a Financial Sector

Brunnermeier, Markus Konrad - 2012

system more prone to systemic volatility spikes - a volatility paradox. Securitization and derivatives contracts leads to …

Persistent link: https://www.econbiz.de/10013099473

Estimating a banking-macro model using a multi-regime VAR

Mittnik, Stefan; Semmler, Willi - In: Advances in non-linear economic modeling : theory and …, (pp. 3-40). 2014

Persistent link: https://www.econbiz.de/10010251591

A macroeconomic model with a financial sector

Brunnermeier, Markus Konrad; Sannikov, Yuliy - In: The American economic review 104 (2014) 2, pp. 379-421

Persistent link: https://www.econbiz.de/10010340794

A macroeconomic model with a financial sector

Brunnermeier, Markus Konrad; Sannikov, Yuliy - 2012

system more prone to systemic volatility spikes - a volatility paradox. Securitization and derivatives contracts leads to …

Persistent link: https://www.econbiz.de/10011590495

Housing booms and busts : dissecting housing and MBS markets linkages

Abdulraheem, Maytham - In: The B.E. journal of macroeconomics 25 (2025) 1, pp. 287-329

Persistent link: https://www.econbiz.de/10015433585

Volatility spillover effects in the Moroccan interbank sector before and during the COVID-19 crisis

Beraich, Mohamed; El Main, Salah Eddin - In: Risks : open access journal 10 (2022) 6, pp. 1-20

The objective of this paper is to analyze the volatility spillover effects in the Moroccan interbank sector before and … outbreak on the transmission of volatility among Moroccan banks listed in the Moroccan stock market. The data sample frequency … volatility spillover index increased during the pandemic crisis. We also found varying degrees of interdependence and spillover …

Persistent link: https://www.econbiz.de/10013363027

Running for the exit : distressed selling and endogenous correlation in financial markets

Cont, Rama; Wagalath, Lakshithe - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 718-741

Persistent link: https://www.econbiz.de/10010187675

Disentangling crashes from tail events

Aboura, Sofiane - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 206-219

Persistent link: https://www.econbiz.de/10011348417

The impact of ESG ratings on the systemic risk of European blue-chip firms

Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - 2022

Persistent link: https://www.econbiz.de/10012818599

The impact of ESG ratings on the systemic risk of European blue-chip firms

Eratalay, Mustafa Hakan; Cortés Ángel, Ariana Paola - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-41

indicate that (1) the volatility of a stock’s returns and its centrality measures in the stock network are the main sources … exposure compared to firms with lower ESG ratings and (3) COVID-19 augmented the partial effects of volatility, centrality …

Persistent link: https://www.econbiz.de/10013168839