Direkt zur Hauptnavigation springen Direkt zum Inhalt springen
info(at)avldigital.remove-this.de
Deutsch English
Letzte Suchanfragen

Ergebnisse für *

Zeige Ergebnisse 1 bis 3 von 3.

  1. Revisiting the link between systemic risk and competition based on network theory and interbank exposures
    Autor*in: Bátiz-Zuk, Enrique; Lara-Sánchez, José L.
    Erschienen: December 2021
    Verlag:  [Banco de México], [Ciudad de México, México]

    This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures data for all banks in Mexico during 2008Q1-2019Q1. The classical literature focuses on disentangling the link between competition... mehr

    Zugang:
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 192
    Fernleihe:
    keine Fernleihe

     

    This paper examines the link between bank competition measures and risk indicators using quarterly interbank exposures data for all banks in Mexico during 2008Q1-2019Q1. The classical literature focuses on disentangling the link between competition and individual bank solvency risk. In this paper, we take one step forward in analyzing the relationship between competition and systemic risk. We use counterfactual bank-level contagion risk indicators as a proxy of systemic risk to assess their relationship with traditional competition measures. Our main finding indicates a negative relationship between the bank-level Lerner index and systemic risk. This means that an increase in competition is associated with an increase in systemic risk. Additionally, we find that the implementation of regulatory reform during the period studied does not affect this relationship.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/251297
    Schriftenreihe: Working papers / Banco de México ; no 2021, 26
    Schlagworte: Bank competition; systemic risk; financial contagion; financial stability; network models
    Umfang: 1 Online-Ressource (circa 94 Seiten), Illustrationen
  2. Bayesian estimation of multivariate panel probits with higher-order network interdependence and an application to firms' global market participation in Guangdong
    Autor*in: Baltagi, Badi H.; Egger, Peter; Kesina, Michaela
    Erschienen: February 2022
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large number of cross-sectional units is observed over a short period of time, and cross-sectional units are interdependent in more than a... mehr

    Zugang:
    Verlag (kostenfrei)
    Verlag (kostenfrei)
    Resolving-System (kostenfrei)

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 63
    Fernleihe:
    keine Fernleihe

     

    This paper proposes a Bayesian estimation framework for panel-data sets with binary dependent variables where a large number of cross-sectional units is observed over a short period of time, and cross-sectional units are interdependent in more than a single network domain. The latter provides for a substantial degree of flexibility towards modelling the decay function in network neighbourliness (e.g., by disentangling the importance of rings of neighbors) or towards allowing for several channels of interdependence whose relative importance is unknown ex ante. Besides the flexible parameterization of cross-sectional dependence, the approach allows for simultaneity of the equations. These features should make the approach interesting for applications in a host of contexts involving structural and reduced-form models of multivariate choice problems at micro-, meso-, and macroeconomic levels. The paper outlines the estimation approach, illustrates its suitability by simulation examples, and provides an application to study exporting and foreign ownership among potentially interdependent firms in the specialized and transport machinery sector in the province of Guangdong.

     
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/252096
    Schriftenreihe: CESifo working paper ; no. 9579 (2022)
    Schlagworte: network models; spatial models; higher-order network interdependence; multivariate panel probit; Bayesian estimation; firm-level data; Chinese firms
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  3. Detecting granular time series in large panels
    Autor*in: Brownlees, Christian; Mesters, Geert
    Erschienen: September 2017
    Verlag:  GSE, Graduate School of Economics, Barcelona

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Fernleihe:
    keine Fernleihe
    Export in Literaturverwaltung   RIS-Format
      BibTeX-Format
    Hinweise zum Inhalt
    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Barcelona GSE working paper series ; no 991
    Schlagworte: granularity; network models; factor models; panel data; industrial production; CDS spreads
    Umfang: 1 Online-Ressource (circa 71 Seiten), Illustrationen