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Measuring Credit-To-GDP Gaps. The Hodrick-Prescott Filter Revisited

Galán, Jorge E. - 2019

negative values which do not reflect properly the position in the financial cycle and the cyclical risk environment in many … filter and would still allow this statistical method to be useful in providing accurate signals of cyclical systemic risk and …

Persistent link: https://www.econbiz.de/10012870974

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

Quantile coherency : a general measure for dependence between cyclical economic variables

Baruník, Jozef; Kley, Tobias - In: The econometrics journal 22 (2019) 2, pp. 131-152

Persistent link: https://www.econbiz.de/10012166706

Risk diversification : a study of persistence with a filtered correlation-network approach

Musmeci, Nicoló; Aste, Tomaso; Di Matteo, Tiziana - In: The journal of network theory in finance 1 (2015) 1, pp. 77-98

Persistent link: https://www.econbiz.de/10011374578

Persistence in the price-to-dividend ratio and its macroeconomic fundamentals : conference paper

Herwartz, Helmut; Rengel, Malte; Fang, Xu - 2013

state. It is shown that the steady state of the PtDR is jointly influenced by consumption risk, risking sharing, and the … demographic structure. Among those consumption risk is the dominating factor in shaping the variations in the steady state of the …

Persistent link: https://www.econbiz.de/10010340530

Measuring systemic risk with a dynamic copula-based approach

Jang, Hyun Jin; Pan, Xiao; Park, Sumin - In: Applied economics 53 (2021) 50, pp. 5843-5863

Persistent link: https://www.econbiz.de/10012627102

Score-driven Markov-switching EGARCH models : an application to systematic risk analysis

Blazsek, Szabolcs; Ho, Han-Chiang; Liu, Su-Ping - In: Applied economics 50 (2018) 56, pp. 6047-6060

Persistent link: https://www.econbiz.de/10012063386

Assessing systematic risk using time series regression : an evidence from Indian capital market

Prakash R. P.; Yaragol, Prakash Basanna - In: The journal of Institute of Public Enterprise 41 (2018) 3/4, pp. 46-62

Persistent link: https://www.econbiz.de/10012023499

The motifs of risk transmission in multivariate time series: Application to commodity prices

Pagnottoni, Paolo; Spelta, Alessandro - In: Socio-economic planning sciences : the international … 87 (2023) 2, pp. 1-12

Persistent link: https://www.econbiz.de/10014317442

Research on sales information prediction system of e-commerce enterprises based on time series model

Liu, Jian; Liu, Chunlin; Zhang, Lanping; Xu, Yi - In: Information systems and e-business management : ISeB 18 (2020) 4, pp. 823-836

Persistent link: https://www.econbiz.de/10012416503