Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Abdelaziz Rouabah"'
Publikováno v:
SSRN Electronic Journal.
We examine the spillover effects between sovereigns and banks in a model with a heterogeneous banking system. An increase in sovereign’s default risk affects financial intermediaries through two channels in this model. First, banks’ funding costs
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2925ff38030844e346829b3b3870c9f9
https://doi.org/10.2139/ssrn.3367428
https://doi.org/10.2139/ssrn.3367428
A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
Publikováno v:
The Journal of Risk Model Validation. 7:21-51
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::629f7991774d1064f82c7342707b8dab
https://doi.org/10.21314/jrmv.2013.113
https://doi.org/10.21314/jrmv.2013.113
Publikováno v:
Journal of Productivity Analysis. 40:185-195
The bank efficiency literature lacks an agreed definition of bank outputs and inputs. This is problematic given the long-standing controversy concerning the status of deposits, but also because bank efficiency estimates are known to be affected by th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bbf374db42432618ffa72d960695b5b7
https://doi.org/10.1007/s11123-012-0326-7
https://doi.org/10.1007/s11123-012-0326-7
Autor:
Abdelaziz Rouabah
Publikováno v:
Économie & prévision. :19-34
This paper sheds a new light on the puzzling negative relationship between nominal stock returns and expected inflation. The assertion that stocks offer a hedge against inflation is theoretically founded on the Fisher identity. Contrary to this funda
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2af9bb3c4e8970382bcf8e2907720180
https://doi.org/10.3917/ecop.177.0019
https://doi.org/10.3917/ecop.177.0019
Autor:
Paolo Guarda, Abdelaziz Rouabah
This paper measures the links between financial services and other production sectors in the Luxembourg economy. The focus is on propagation within the country, without considering growth abroad. Among the 29 sectors in the annual input-output tables
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::7ea9e99afc27a6b730ff61fb2b4ad24b
http://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/97/BCLWP097.pdf
http://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/97/BCLWP097.pdf
The stress testing literature abounds with reduced-form macroeconomic models that are used to forecast the evolution of the macroeconomic environment in the context of a stress testing exercise. These models permit supervisors to estimate counterpart
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::0065a0b8bee67a1cb46066647059ff65
http://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/63/BCLWP063.pdf
http://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/63/BCLWP063.pdf
Autor:
Abdelaziz Rouabah, John Theal
We use data on loan loss provisions and total loans over the period spanning 1995 until 2009 to estimate a stress testing model for the Luxembourg banking sector. The sample encompasses the recent global crisis and covers a period in which the averag
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::341d206ff781db4b246889d4805715de
http://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/47/BCLWP047.pdf
http://www.bcl.lu/fr/Recherche/publications/cahiers_etudes/47/BCLWP047.pdf
We develop a dynamic stochastic general equilibrium model with an heterogeneous banking sector. We introduce endogenous default probabilities for both firms and banks, and allow for bank regulation and liquidity injection into the interbank market. O
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::363a0d835999ab939d597f9f328f7760
http://sites.uclouvain.be/econ/DP/IRES/2009006.pdf
http://sites.uclouvain.be/econ/DP/IRES/2009006.pdf
Autor:
Jacob A. Bikker, Barbara Casu, Claudia Girardone, Mohamed E Chaffai, Michel Dietsch, Antonio Colangelo, Robert Inklaar, Marco Colagiovanni, Martin Czurda, Roger Hartmann, Charles-Henri Di Maria, Sandy Metzler, Georg Erber, Reinhard Madlener, Paolo Guarda, Abdelaziz Rouabah, Karligash Kenjegalieva, Tom Weyman-Jones, Marko Kosak, Jelena Zoric, Yves Mersch, Phil Molyneux, Marc Niederkorn, Nikolaos Papanikolaou
On 11-12 November 2008, SUERF and Banque Centrale du Luxembourg organized a conference on Productivity in the Financial Services Sector on the occasion of the tenth anniversary of the Banque Centrale du Luxembourg. The conference addressed three main
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::ca02e10c9b23a0f95577f8062f3a917d
https://hdl.handle.net/10419/163488
https://hdl.handle.net/10419/163488