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You are looking at 1-11 of 11 items for:

Banking x Econometrics and Mathematical Economics x clear all

Bank Bailouts and Moral Hazard: Evidence from Germany

Lammertjan Dam and Michael Koetter.

in The Review of Financial Studies

August 2012; p ublished online April 2012 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Game Theory and Bargaining Theory; Banking; Financial Regulation; Regulation and Industrial Policy. 16089 words.

We use a structural econometric model to provide empirical evidence that safety nets in the banking industry lead to additional risk taking. To identify the moral hazard effect of bailout...

Does Microfinance Reduce Rural Poverty? Evidence Based on Household Panel Data from Northern Ethiopia

Guush Berhane and Cornelis Gardebroek.

in American Journal of Agricultural Economics

January 2011; p ublished online January 2011 .

Journal Article. Subjects: Welfare and Poverty; Single Equation Models; Single Variables; Banking; Economic Development. 7425 words.

Evidence on the long-term impacts of microfinance credit is scarce. We use a unique four-round panel dataset on farm households in northern Ethiopia that had access to microfinance,...

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Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?

Linda Allen, Turan G. Bali and Yi Tang.

in The Review of Financial Studies

October 2012; p ublished online September 2012 .

Journal Article. Subjects: Economics; Banking; Econometric and Statistical Methods and Methodology: General; Single Equation Models; Single Variables. 16037 words.

We derive a measure of aggregate systemic risk, designated CATFIN, that complements bank-specific systemic risk measures by forecasting macroeconomic downturns six months into the future...

Estimating Expected and Unexpected Losses for Agricultural Mortgage Portfolios

Jonathan B. Dressler and Loren W. Tauer.

in American Journal of Agricultural Economics

October 2016; p ublished online July 2016 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Econometric Modelling; Banking; Corporate Governance; Agricultural Economics. 8368 words.

The financial crisis that began in 2008 placed renewed emphasis and responsibility on financial institutions to assess financial risks and provide evidence of adequate capital to...

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Financial Development and Economic Growth: Global and African Evidence

Victor Murinde.

in Journal of African Economies

January 2012; p ublished online January 2012 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Banking. 14530 words.

This paper aims to survey existing research on financial development and economic growth, highlighting the theoretical models and evidence from recent empirical work. Emphasis is placed on...

Financial Innovations and Their Implications for Monetary Policy in Kenya

Lydia Ndirangu and Esman Morekwa Nyamongo.

in Journal of African Economies

January 2015; p ublished online December 2014 .

Journal Article. Subjects: Banking; Single Equation Models; Single Variables; Monetary Policy, Central Banking, and the Supply of Money and Credit; Money and Interest Rates. 9393 words.

This study investigates the effect of financial innovation on monetary policy in Kenya during the period 1998–2013; that is, whether the waves of financial innovation that have occurred...

The Geometric-VaR Backtesting Method

Denis Pelletier and Wei Wei.

in Journal of Financial Econometrics

September 2016; p ublished online July 2015 .

Journal Article. Subjects: Econometric and Statistical Methods and Methodology: General; Banking; Corporate Governance. 8497 words.

This article develops a new test to evaluate value-at-risk (VaR) forecasts. VaR is a standard risk measure widely utilized by financial institutions and regulators, yet estimating VaR is a...

Is Tail Risk Priced in Credit Default Swap Premia?

Christian Meine, Hendrik Supper and Gregor N. F. Weiß.

in Review of Finance

March 2016; p ublished online March 2015 .

Journal Article. Subjects: Banking; Econometric Modelling; Economics. 19472 words.

We show that the propensity of a bank to experience extreme co-movements in its credit default swap (CDS) premia together with the market is priced in the bank’s default swap spread during...

Medium- and Long-Term Participation in Microcredit: An Evaluation Using a New Panel Dataset from Bangladesh

Asadul Islam.

in American Journal of Agricultural Economics

April 2011; p ublished online April 2011 .

Journal Article. Subjects: Agricultural, Environmental, and Natural Resource Economics; Banking; Single Equation Models; Single Variables; Economic Development. 11843 words.

The objective of this paper is to estimate the impact of medium- and long-term participation in microcredit programs. It utilizes a new, and large, panel dataset collected from treatment...

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The Real Effects of Asset Market Bubbles: Loan- and Firm-Level Evidence of a Lending Channel

Jie Gan.

in The Review of Financial Studies

November 2007; p ublished online October 2007 .

Journal Article. Subjects: Banking; Econometric and Statistical Methods; Special Topics. 15714 words.

This article studies how a shock to the financial health of banks, caused by a decline in the asset markets, affects the real economy. The land market collapse in Japan provides an ideal...

Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014

Francis X. Diebold and Kamil Yilmaz.

in Journal of Financial Econometrics

December 2015; p ublished online November 2015 .

Journal Article. Subjects: Multiple or Simultaneous Equation Models; Multiple Variables; Banking. 18452 words.

We characterize equity return volatility connectedness in the network of major American and European financial institutions, 2004–2014. Our methods enable precise characterization of the...