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  1. COVID-19, credit risk and macro fundamentals
    Autor*in: Dubinova, Anna; Lucas, André; Telg, Sean
    Erschienen: [2021]
    Verlag:  Tinbergen Institute, Amsterdam, The Netherlands

    COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 432
    Fernleihe:
    keine Fernleihe

     

    COVID-19, credit risk, macro fundamentals, frailty factors, dynamic latent factorsWe investigate the relationship between macro fundamentals and credit risk, rating migrations and defaults during the start of the COVID-19 pandemic. We find that credit risk models that use macro fundamentals as covariates overestimate credit risk incidence due to the unprecedented drops in economic activity in the first lockdowns. We argue that this break in the macro-credit linkage is less affected if we take an unobserved components modeling framework, both at shorter and longer credit risk horizons. An additional advantage of these models is that they automatically provide an integrated forecasting approach for both the credit and macro variables in the model. An effort to repair the macro-credit link via the addition of government subsidy expenses, though better in-sample, provides a worse fit to credits if implemented pre-covid.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/237792
    Schriftenreihe: Array ; TI 2021, 059
    Schlagworte: COVID-19; credit risk; macro fundamentals; frailty factors; dynamic latent factors
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  2. Mixed causal-noncausal autoregressions with exogenous regressors
    Autor*in: Hecq, Alain W. J.; Issler, João Victor; Telg, Sean
    Erschienen: outubro de 2019
    Verlag:  EPGE, Escola Brasileira de Economia e Finanças, Rio de Janeiro

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 351
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10438/28290
    Schriftenreihe: Ensaios econômicos ; no 810
    Umfang: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  3. Time-varying effects of housing attributes and economic environment on housing price
    Autor*in: Friedrich, Marina; Lin, Yicong; Ramdaras, Pavitram; Telg, Sean; Sluis, Bernhard van der
    Erschienen: [2023]
    Verlag:  Tinbergen Institute, Amsterdam, The Netherlands

    We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual... mehr

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    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 432
    Fernleihe:
    keine Fernleihe

     

    We propose a flexible framework that allows for the relationship between housing prices and their determinants to vary over time. Our model incorporates housing-specific characteristics and macroeconomic variables, while accounting for a gradual global trend that reflects the unobserved external environment. We estimate the trend and coefficient curves by local linear estimation and propose a bootstrap procedure for conducting inference. By employing monthly data from the Dutch housing market, covering 60 municipalities from 2006 to 2020, the proposed models show the capability to accurately describe the comovements of housing prices. Our results show strong statistical evidence of time variation in the effects of housing attributes and macroeconomic variables on prices throughout the entire sample period, revealing that the unemployment rate plays a crucial role between approximately 2012 and 2017. The extracted latent global trend reveals a significant influence of the economic environment and takes the shape of a leading indicator of the property market index. Moreover, we find that both the housing characteristics and the external environment explain comparably high proportions of the variation in housing prices, which stresses the importance of including both components in empirical analyses.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/273850
    Schriftenreihe: Array ; TI 2023, 039
    Schlagworte: housing prices; time-varying panels; nonparametric estimation; autoregressive wild bootstrap; simultaneous bands
    Umfang: 1 Online-Ressource (circa 40 Seiten), Illustrationen
  4. A novel test for the presence of local explosive dynamics
    Autor*in: Blasques, Francisco; Koopman, Siem Jan; Mingoli, Gabriele; Telg, Sean
    Erschienen: [2024]
    Verlag:  Tinbergen Institute, Amsterdam, The Netherlands

    In economics and finance, speculative bubbles take the form of locally explosive dynamics that eventually collapse. We propose a test for the presence of speculative bubbles in the context of mixed causal-noncausal autoregressive processes. The test... mehr

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    Verlag (kostenfrei)
    Verlag (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 432
    Fernleihe:
    keine Fernleihe

     

    In economics and finance, speculative bubbles take the form of locally explosive dynamics that eventually collapse. We propose a test for the presence of speculative bubbles in the context of mixed causal-noncausal autoregressive processes. The test exploits the fact that bubbles are anticipative, that is, they are generated by an extreme shock in the forwardlooking dynamics. In particular, the test uses both path level deviations and growth rates to assess the presence of a bubble of given duration and size, at any moment of time. We show that the distribution of the test statistic can be either analytically determined or numerically approximated, depending on the error distribution. Size and power properties of the test are analyzed in controlled Monte Carlo experiments. An empirical application is presented for a monthly oil price index. It demonstrates the ability of the test to detect bubbles and to provide valuable insights in terms of risk assessments in the spirit of Value-at-Risk.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; TI 2024, 036
    Schlagworte: noncausality; bubbles; testing; date-stamping; risk assessment
    Umfang: 1 Online-Ressource (circa 25 Seiten), Illustrationen
  5. Identification of mixed causal-noncausal models
    how fat should we go?
    Autor*in: Hecq, Alain W. J.; Lieb, Lenard; Telg, Sean
    Erschienen: September 29, 2015
    Verlag:  Graduate School of Business and Economics, Maastricht

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    VS 285 (2015,35)
    Fernleihe:
    keine Fernleihe
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    Hinweise zum Inhalt
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: [Research memorandum] / Maastricht University, Graduate School of Business and Economics (GSBE) ; RM/15/035
    Schlagworte: Zeitreihenanalyse; Einzelgleichungsmodell; Statistische Verteilung; Schätzung; Photovoltaik; Nachfrage; Belgien
    Umfang: 1 Online-Ressource (circa 37 Seiten), Illustrationen