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Displaying results 1 to 8 of 8.

  1. Forward guidance shocks
    Author: Miescu, Mirela S.
    Published: [2022]
    Publisher:  Lancaster University Management School, Lancester

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Keine Rechte
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Economics working paper series ; 2022/003
    Subjects: forward guidance; monetary policy; event study; heteroscedasticity; structural VAR
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  2. Regression model for proportions with probability masses at zero and one
    Author: Calabrese, Raffaella
    Published: 2012
    Publisher:  UCD Centre for Economic Research, Dublin

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / UCD Centre for Economic Research ; 2012/09
    Subjects: proportions; mixed random variable; beta regression; skewness; heteroscedasticity
    Scope: Online-Ressource (PDF-Datei: 13 S., 146,68 KB), graph. Darst.
  3. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
    Author: Fratzscher, Marcel; Rieth, Malte
    Published: 2015
    Publisher:  Deutsches Institut für Wirtschaftsforschung (DIW), Berlin

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  4. Error and generalization in discrete choice under risk
    Author: Wilcox, Nathaniel T.
    Published: 2015
    Publisher:  Chapman Univ., Economic Science Inst., Orange, Calif.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working papers / Chapman University, Economic Science Institute ; 15,11
    Subjects: : risk; discrete choice; probabilistic choice; heteroscedasticity; prediction
    Scope: Online-Ressource (42 S.), graph. Darst.
  5. Identification and estimation using heteroscedasticity without instruments
    the binary endogenous regressor
    Author: Lewbel, Arthur
    Published: December 2016
    Publisher:  Boston College, Chestnut Hill, MA, USA

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Boston College working papers in economics ; number 927
    Subjects: Simultaneous systems; linear regressions; endogeneity; identification; heteroscedasticity; binary regressors; dummy regressors; linear probability model; logit; probit
    Scope: 1 Online-Ressource (circa 10 Seiten)
  6. Extending extended logistic regression for ensemble post-processing
    extended vs. separate vs. ordered vs. censored
    Published: 2013
    Publisher:  Univ. of Innsbruck, Inst. für Finanzwiss., Innsbruck

    Extended logistic regression is a recent ensemble calibration method that extends logistic regression to provide full continuous probability distribution forecasts. It assumes conditional logistic distributions for the (transformed) predictand and... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 395 (2013,32)
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    Extended logistic regression is a recent ensemble calibration method that extends logistic regression to provide full continuous probability distribution forecasts. It assumes conditional logistic distributions for the (transformed) predictand and fits these using selected predictand category probabilities. In this study we compare extended logistic regression to the closely related ordered and censored logistic regression models. Ordered logistic regression avoids the logistic distribution assumption but does not yield full probability distribution forecasts, whereas censored regression directly fits the full conditional predictive distributions. To compare the performance of these and other ensemble post-processing methods we used wind speed and precipitation data from two European locations and ensemble forecasts from the European Centre for Medium-Range Weather Forecasts (ECMWF). Ordered logistic regression performed similarly to extended logistic regression for probability forecasts of discrete categories whereas full predictive distributions were better predicted by censored regression.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/101069
    Series: Working papers in economics and statistics ; 2013-32
    Subjects: probabilistic forecasting; extended logistic regression; ordered logistic regression; heteroscedasticity
    Scope: Online-Ressource (16 S.), graph. Darst.
  7. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
    Author: Fratzscher, Marcel; Rieth, Malte
    Published: 2015
    Publisher:  DIW, Berlin

    The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk... more

    Location:
    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 14 (1448)
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    The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard monetary policy measures by the European Central Bank and on the effects of bank bailout policies by national governments. Testing specific hypotheses formulated in the literature, we find that bank bailout policies have reduced solvency risk in the banking sector, but partly at the expense of raising the credit risk of sovereigns. By contrast, monetary policy was in most, but not all cases effective in lowering credit risk among both sovereigns and banks. Finally, we find spillover effects in particular from sovereigns in the euro area periphery to the core countries.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/107428
    Series: Discussion papers / Deutsches Institut für Wirtschaftsforschung ; 1448
    Subjects: Bankrisiko; Länderrisiko; Geldpolitik; Schuldenübernahme; Spillover-Effekt; Eurozone; Zentrum-Peripherie-Beziehungen; EU-Staaten; Credit risk; banks; sovereigns; monetary policy; bank bailout; heteroscedasticity; spillovers
    Scope: Online-Ressource (47 S.), graph. Darst.
  8. Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area
    conference paper
    Author: Fratzscher, Marcel; Rieth, Malte
    Published: 2014
    Publisher:  ZBW, [Kiel

    The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DSM 13
    Inter-library loan:
    No inter-library loan

     

    The paper analyses the empirical relationship between bank risk and sovereign credit risk in the euro area. Using structural VAR with daily financial markets data for 2003-13, the analysis confirms two-way causality between shocks to sovereign risk and bank risk, with the former being overall more important in explaining bank risk, than vice versa. The paper focuses specifically on the impact of non-standard monetary policy measures by the European Central Bank and on the effects of bank bailout policies by national governments. Testing specific hypotheses formulated in the literature, we find that bank bailout policies have reduced solvency risk in the banking sector mostly at the expense of raising the credit risk of sovereigns. By contrast, monetary policy was in most, but not all cases effective in lowering credit risk among both sovereigns and banks. Finally, we find spillover effects in particular from sovereigns in the euro area periphery to the core countries.

     
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    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/100277
    Edition: Preliminary
    Series: Array ; V2
    Subjects: Bankrisiko; Länderrisiko; Geldpolitik; Schuldenübernahme; Spillover-Effekt; Eurozone; Zentrum-Peripherie-Beziehungen; EU-Staaten; Credit risk; banks; sovereigns; monetary policy; bank bailout; heteroscedasticity; spillovers
    Scope: Online-Ressource (54 S.), graph. Darst.