Zobrazeno 1 - 2
of 2
pro vyhledávání: '"Siem Jan Koopman"'
Publikováno v:
Koopman, S J M, Lit, R & Lucas, A 2016, Model-based Business Cycle and Financial Cycle Decomposition for Europe and the United States . in M Billio, L Pelizzon & R Savona (eds), Systemic Risk Tomography : Signals, Measurement and Transmission Channels . Elsevier, pp. 151-168 .
We introduce a model-based rather than a pure filtering approach to estimate the financial cycle from a panel of economic and financial time series for four large developed economies. The possible existence and dynamics of a financial cycle have gain
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::95b321303a37bad3cd051b96e205a294
https://doi.org/10.1016/b978-1-78548-085-0.50006-6
https://doi.org/10.1016/b978-1-78548-085-0.50006-6
Publikováno v:
Journal of Empirical Finance, 16, 42-54. Elsevier
Koopman, S J, Kraeussl, R G W, Lucas, A & Monteiro, A 2009, ' Credit cycles and macro fundamentals ', Journal of Empirical Finance, vol. 16, pp. 42-54 . https://doi.org/10.1016/j.jempfin.2008.07.002
Koopman, S J, Kraeussl, R G W, Lucas, A & Monteiro, A 2009, ' Credit cycles and macro fundamentals ', Journal of Empirical Finance, vol. 16, pp. 42-54 . https://doi.org/10.1016/j.jempfin.2008.07.002
We use an intensity-based framework to study the relation between macroeconomic fundamentals and cycles in defaults and rating activity. Using Standard and Poor's U.S. corporate rating transition and default data over the period 1980-2005, we directl