Global Macro - Financial Shocks and Expected Default Frequencies in the Euro Area
نویسندگان
چکیده
In 2008 all ECB publications feature a motif taken from the 10 banknote.
منابع مشابه
Macroeconomic, International Linkage and Effects of External Shocks in Southeast Asian Emerging Economies
This study is an attempt to examine the effects of external shocks on macroeconomic variables in selective small open emerging economies in Southeast Asia. A quarterly Global Vector Autoregressive (GVAR) model, including 33 countries, was used throughout 1979–2013. The empirical results showed that the target countries were affected by external shocks, especially the shocks in the U.S, Euro are...
متن کاملThe Resilience of the Iranian Banking System to Macro Shocks with an Emphasis on Credit Risk
In this paper, we present the macro stress test with a credit risk approach for banking system of Iran during the period 2004Q1-2019Q4. The goal is to evaluate the vulnerability of the banking system through credit risk to the country economic shocks. In this regard, the developed method of Wilson (1997) Credit Portfolio View model including macroeconomic variables and default rate has been use...
متن کاملDeterminants of government bond spreads in the Euro area – in good times as in bad
Despite the single currency, yields on government bonds in the Euro Area deviate substantially from German bond yields. These bond spreads are usually attributed to differing default and liquidity risks. The empirical literature documents that evaluation of these risks is subject to time variation in global factors approximated by US corporate bond spreads or short term interest rates. Within t...
متن کاملMacroeconomic and Financial Effects of Oil Price Shocks: Evidence for the Euro Area∗
The paper investigates the macroeconomic and financial effects of oil prices shocks in the euro area since its creation in 1999, with a special focus on the recent slump. The analysis is carried out episode by episode, within a time-varying parameter framework, consistent with the view that "not all the oil price shocks are alike", yet without imposing any a priori identification assumption. We...
متن کاملAssessing Portfolio Credit risk ChAnges in A sAmPle of eU lArge And ComPlex BAnking groUPs in reACtion to mACroeConomiC shoCks
In terms of regulatory and economic capital, credit risk is the most signi cant risk faced by banks. We implement a credit risk model based on publicly available information with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk pro les across these LCBGs and over time. Furthermore, ...
متن کامل