This paper assesses the relationship between the macroeconomic system and the banking sector by estimating two separate non-linear Vector Autoregressive models (VAR) for the US and Switzerland. The model specification includes the output gap, the interest rate, the in ation rate and a banking...

This paper assesses the relationship between the macroeconomic system and the banking sector by estimating two separate non-linear Vector Autoregressive models (VAR) for the US and Switzerland. The model specification includes the output gap, the interest rate, the in ation rate and a banking...

The recent rise of nonperforming loans (NPLs) in some Asian economies calls for close analysis of the determinants, the potential macrofinancial feedback effects, and the implications for financial stability in the region. Using a dynamic panel model, we assess the determinants of the evolution...

The recent rise of nonperforming loans (NPLs) in some Asian economies calls for close analysis of the determinants, the potential macrofinancial feedback effects, and the implications for financial stability in the region. Using a dynamic panel model, we assess the determinants of the evolution...

We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors' perception of the time-to-maturity of the firm's debt....

We add discrete jumps in the time-to-maturity of a firm's debt to the model of Engle and Siriwardane (2015), such that changes in equity volatility can be explained by the volatility of the firm's assets, its market leverage and investors' perception of the time-to-maturity of the firm's debt....

We document five facts about banks: (1) market and book leverage diverged during the 2008 crisis, (2) Tobin's Q predicts future profitability, (3) neither book nor market leverage appears constrained, (4) banks maintain a market-leverage target that is reached slowly, and (5) precrisis, leverage...

Financial sector development plays an important role in promoting economic growth and welfare of the citizen of a country. On the other hand, financial sector instability or vulnerability, can adversely affect the economic growth and cause major disruptions in the country. This paper examines...

Zombie firms may adversely impact healthy firms through several transmission channels. Besides real spillover effects on productivity or investment, zombies may also cause negative financial spillover effects, where zombies receive credit at more favourable conditions than healthy firms. We...

The paper puts the outcome during the most recent financial crisis in a historical perspective by taking a closer look at the frequency of extreme events in the economic history of Denmark, in some cases based on time series back to the late 1600s. We focus on the frequency distribution of a...