Related papers: Multiple Structural Breaks in Interactive Effects …
In banking practice, rating transition matrices have become the standard approach of deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being available from Basel ratings. Rating transition matrices…
In this paper, we investigate the effectiveness of conventional and unconventional monetary policy measures by the European Central Bank (ECB) conditional on the prevailing level of uncertainty. To obtain exogenous variation in central bank…
We consider the construction of confidence intervals for treatment effects estimated using panel models with interactive fixed effects. We first use the factor-based matrix completion technique proposed by Bai and Ng (2021) to estimate the…
We address challenges in variable selection with highly correlated data that are frequently present in finance, economics, but also in complex natural systems as e.g. weather. We develop a robustified version of the knockoff framework,…
Evaluating the financial performance of manufacturing firms requires consideration of both the time value of money and the relative importance of multiple decision criteria. Conventional approaches relying solely on deterministic…
This paper identifies an important bias - termed dynamic bias - in fixed effects panel estimators that arises when dynamic feedback is ignored in the estimating equation. Dynamic feedback occurs if past outcomes impact current outcomes, a…
Unlike macroscopic multistable mechanical systems such as snap bracelets or elastic shells that must be physically manipulated into various conformations, microscopic systems can undergo spontaneous conformation switching between…
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns to the one of joint {\epsilon}-drawups,…
In a spatial-temporal model, structural change and/or spatial heterogeneity can easily affect estimation of parameters. Following the spatial-temporal model in [1], we develop a nonparametric procedure for test-ing the presence of…
In this study, we introduce an analytics framework, the Bank Risk Interlinkage with Dynamic Graph and Event Simulations (BRIDGES), to capture the systemic risks associated with the growing economic influence of the BRICS nations. This…
We introduce novel estimators for quantile causal effects with high dimensional panel data (large $N$ and $T$), where only one or a few units are affected by the intervention or policy. Our method extends the generalized synthetic control…
Modelling Consumer Indebtedness has proven to be a problem of complex nature. In this work we utilise Data Mining techniques and methods to explore the multifaceted aspect of Consumer Indebtedness by examining the contribution of…
Motivated by distinct walking patterns in real-world free-living gait data, this paper proposes an innovative curve-based sampling scheme for the analysis of functional data characterized by a mixture of covariance structures. Traditional…
Correlations among stock returns during volatile markets differ substantially compared to those from quieter markets. During times of financial crisis, it has been observed that traditional dependency in global markets breaks down. However,…
This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…
Recurrent boom-and-bust cycles are a salient feature of economic and financial history. Cycles found in the data are stochastic, often highly persistent, and span substantial fractions of the sample size. We refer to such cycles as "long".…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
This paper surveys the empirical literature of inflation targeting. The main findings from our review are the following: there is robust empirical evidence that larger and more developed countries are more likely to adopt the IT regime; the…