Related papers: On The EU and Euro-zone Stability
Arguably the most important problem in quantitative finance is to understand the nature of stochastic processes that underlie market dynamics. One aspect of the solution to this problem involves determining characteristics of the…
The 2007--2008 financial crisis has paved the way for the use of macroprudential policies in supervising the financial system as a whole. This paper views macroprudential oversight in Europe as a process, a sequence of activities with the…
This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, we estimate a financial GVAR model for Germany, France, Italy and Spain on…
The paper studies the nowcasting of Euro area Gross Domestic Product (GDP) growth using mixed data sampling machine learning panel data regressions with both standard macro releases and daily news data. Using a panel of 19 Euro area…
Warning signs about the developing economic crisis in Greece were present in the growth rate of the Gross Domestic Product (GDP) and in the growth of the GDP well before the economic collapse. The growth rate was strongly unstable. On…
The public debt and deficit ceilings of the Maastricht Treaty are the subject of recurring controversy. First, there is debate about the role and impact of these criteria in the initial phase of the introduction of the single currency.…
The empirical literature provides mixed results on the relationship between inflation and unemployment, therefore, there is no consensus on validity and stability of the Phillips Curve. It also seems to be closely related with…
The preparedness and readiness of Europe is currently being challenged not only by Russia, but since recently also by its long-standing allies. In response to the evolving external security environment, the EU's White Paper on European…
Economic and financial networks play a crucial role in various important processes, including economic integration, globalization, and financial crises. Of particular interest is understanding whether the temporal evolution of a real…
The long-lasting socio-economic impact of the global financial crisis has questioned the adequacy of traditional tools in explaining periods of financial distress, as well as the adequacy of the existing policy response. In particular, the…
The interconnected European Electricity Markets see considerable cross-border trade between different countries. In conjunction with the structure and technical characteristics of the power grid and its operating rules, the corresponding…
A central problem of Quantitative Finance is that of formulating a probabilistic model of the time evolution of asset prices allowing reliable predictions on their future volatility. As in several natural phenomena, the predictions of such…
The purpose of this dissertation is to present an overview of the operational and financial performance of airports in Europe. In benchmarking studies, airports are assessed and compared with other airports based on key indicators from a…
During a financial crisis, the capital markets network frequently exhibits a high correlation between returns. We developed a network analysis framework based on daily returns from 42 countries to determine systemic stability. Our network…
We use rank correlations as distance functions to establish the interconnectivity between stock returns, building weighted signed networks for the stocks of seven European countries, the US and Japan. We establish the theoretical…
Power grids are prone to failure. Time series of reliability measures such as total power loss or energy not supplied can give significant account of the underlying dynamical behavior of these systems, specially when the resulting…
This paper empirically evaluates whether adopting a common currency has changed the level of consumption smoothing of euro area member states. We construct a counterfactual dataset of macroeconomic variables through the synthetic control…
The correct way to quantify predictive uncertainty in neural networks remains a topic of active discussion. In particular, it is unclear whether the state-of-the art entropy decomposition leads to a meaningful representation of model, or…
Heating of buildings represents a significant share of the energy consumption in Europe. Smart thermostats that capitalize on the data-driven analysis of heating patterns in order to optimize heat supply are a very promising part of…
Financial networks are dynamic. To assess their systemic importance to the world-wide economic network and avert losses we need models that take the time variations of the links and nodes into account. Using the methodology of classical…