Zobrazeno 1 - 10
of 78
pro vyhledávání: '"Hans Dewachter"'
Publikováno v:
Empirical Economics. 57:1911-1933
We assess the contribution of economic and financial factors in the determination of euro area corporate bond spreads over the period 2001–2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology propose
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6a2eef982833fca274869fa8e0c9d578
https://doi.org/10.1007/s00181-018-1530-8
https://doi.org/10.1007/s00181-018-1530-8
Publikováno v:
Finance Research Letters, Vol. 43, p. 101978 (2021)
We use standard macrofinancial no-arbitrage term structure models to forecast key macroeconomic variables such as GDP. Simple adaptations to the models are proposed in order to generate plausible forecasts in the context of the COVID-19 crisis. The f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e135292d4071b2aff72dcb88ff539676
https://pubmed.ncbi.nlm.nih.gov/36568950
https://pubmed.ncbi.nlm.nih.gov/36568950
Publikováno v:
SSRN Electronic Journal.
We analyze how time-varying bank-specific capital requirements affect bank lending to the non-financial corporate sector as well as banks' balance sheet adjustments. To do so, we relate Pillar 2 capital requirements to a comprehensive corporate credi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f25fc3622e382e74be9d5a0d2c1a452d
https://doi.org/10.2139/ssrn.3356726
https://doi.org/10.2139/ssrn.3356726
Autor:
Katarzyna Barbara Budnik, Massimiliano Affinito, Gaia Barbic, Saifeddine Ben Hadj, Edouard Chretien, Hans Dewachter, Clara I. Gonzalez, Jenny Hu, Lauri Jantunen, Ramona Jimborean, Otso Manninen, Ricardo Martinho, Javier Mencia, Elena Mousarri, Giulio Nicoletti, Michael O'Grady, Selcuk Ozsahin, Ana Regina Pereira, Jairo Rivera-Rozo, Constantinos Trikoupis, Fabrizio Venditti, Sofia Velasco
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d327a62912a346821ddacd89b003e547
https://doi.org/10.2139/ssrn.3372121
https://doi.org/10.2139/ssrn.3372121
Autor:
Javier Mencia, Giulio Nicoletti, Edouard Chretien, Ramona Jimborean, Fabrizio Venditti, Sofia Velasco, Katarzyna Budnik, Massimiliano Affinito, Saifeddine Ben Hadj, Selcuk Ozsahin, Ana Regina Pereira, Constantinos Trikoupis, Lauri Jantunen, Hans Dewachter, Ricardo Martinho, Gaia Barbic, Otso Manninen, Laurynas Narusevicius, Elena Mousarri, Jairo Rivera-Rozo, Jenny Hu, Clara I. Gonzalez, Michael O'Grady
Publikováno v:
SSRN Electronic Journal.
The paper proposes a framework for assessing the impact of system-wide and bank-level capital buffers. The assessment rests on a factor-augmented vector autoregression (FAVAR) model that relates individual bank adjustments to macroeconomic dynamics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3a9971717b1011bbe15420300b69d24e
https://doi.org/10.2139/ssrn.3419995
https://doi.org/10.2139/ssrn.3419995
Publikováno v:
The Political Economy of European Monetary Unification ISBN: 9780429494376
The Political Economy of European Monetary Unification
The Political Economy of European Monetary Unification
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d5102cc8d59274deec1e0d3184ce72e5
https://doi.org/10.4324/9780429494376-7
https://doi.org/10.4324/9780429494376-7
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c96f25e1a8b22333c1281391763e6a4a
https://doi.org/10.2139/ssrn.3299971
https://doi.org/10.2139/ssrn.3299971
Publikováno v:
Journal of Banking & Finance. 50:308-325
We estimate the ‘fundamental’ component of euro area sovereign bond yield spreads, i.e. the part of bond spreads that can be justified by country-specific economic factors, euro area economic fundamentals, and international influences. The yield
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6e0635c17eb37e631a6373e59f0f0016
https://doi.org/10.1016/j.jbankfin.2014.03.011
https://doi.org/10.1016/j.jbankfin.2014.03.011
Autor:
Hans Dewachter, Raf Wouters
Publikováno v:
Journal of Economic Dynamics and Control. 43:241-268
This paper proposes a perturbation-based approach to implement the idea of endogenous financial risk in a standard DSGE macro-model. Recent papers, such as Mendoza (2010) , Brunnermeier and Sannikov (2012) and He and Krishnamurthy (2012) , that have
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6ebb38aeba4a199585052259d20139ea
https://doi.org/10.1016/j.jedc.2014.03.004
https://doi.org/10.1016/j.jedc.2014.03.004
Publikováno v:
Journal of International Money and Finance. 43:131-154
In this paper, we examine the intra-day effects of verbal statements and comments on the FX market uncertainty using two measures: continuous volatility and discontinuous jumps. Focusing on the euro-dollar exchange rate, we provide empirical evidence
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::38515ff65be26c4a6efca8f09e6eaff3
https://doi.org/10.1016/j.jimonfin.2014.01.003
https://doi.org/10.1016/j.jimonfin.2014.01.003