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Steffen Sorensen

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Joyce, Michael & Lildholdt, Peter & Sorensen, Steffen, 2009. "Extracting inflation expectations and inflation risk premia from the term structure: a joint model of the UK nominal and real yield curves," Bank of England working papers 360, Bank of England.

    Cited by:

    1. Ed Westerhout & Ona Ciocyte, 2017. "The role of inflation-linked bonds," CPB Discussion Paper 344, CPB Netherlands Bureau for Economic Policy Analysis.
    2. Daniela Kubudi & José Valentim Vicente, 2016. "A Joint Model of Nominal and Real Yield Curves," Working Papers Series 452, Central Bank of Brazil, Research Department.
    3. Andreasen, Martin M., 2012. "An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia," European Economic Review, Elsevier, vol. 56(8), pages 1656-1674.
    4. Dempster, M.A.H. & Tang, Ke, 2011. "Estimating exponential affine models with correlated measurement errors: Applications to fixed income and commodities," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 639-652, March.
    5. Güler, Mustafa Haluk & Keleş, Gürsu & Polat, Tandoğan, 2017. "An empirical decomposition of the liquidity premium in breakeven inflation rates," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 185-192.
    6. Paul Söderlind, 2011. "Inflation Risk Premia and Survey Evidence on Macroeconomic Uncertainty," International Journal of Central Banking, International Journal of Central Banking, vol. 7(2), pages 113-133, June.
    7. Marcello Pericoli, 2012. "Expected inflation and inflation risk premium in the euro area and in the United States," Temi di discussione (Economic working papers) 842, Bank of Italy, Economic Research and International Relations Area.
    8. Njindan Iyke, Bernard, 2015. "On The Term Structure of South African Interest Rates: Cointegration and Threshold Adjustment," MPRA Paper 67681, University Library of Munich, Germany.
    9. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2009. "Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
    10. Berardi, Andrea & Plazzi, Alberto, 2022. "Dissecting the yield curve: The international evidence," Journal of Banking & Finance, Elsevier, vol. 134(C).
    11. Guimarães, Rodrigo, 2014. "Expectations, risk premia and information spanning in dynamic term structure model estimation," Bank of England working papers 489, Bank of England.
    12. Jens H. E. Christensen & James M. Gillan, 2011. "A model-independent maximum range for the liquidity correction of TIPS yields," Working Paper Series 2011-16, Federal Reserve Bank of San Francisco.
    13. Fan, Longzhen & Tian, Shu & Zhang, Chu, 2012. "Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 239-248.
    14. Sébastien Fries & Jean‐Stéphane Mésonnier & Sarah Mouabbi & Jean‐Paul Renne, 2018. "National natural rates of interest and the single monetary policy in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 763-779, September.
    15. Mardi Dungey & M.Tugrul Vehbi, 2011. "A SVECM Model of the UK Economy and The Term Premium," CAMA Working Papers 2011-26, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    16. Guimarães , Rodrigo, 2012. "What accounts for the fall in UK ten-year government bond yields?," Bank of England Quarterly Bulletin, Bank of England, vol. 52(3), pages 213-223.
    17. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    18. Zhu, Yanhui & Fan, Jingwen & Tucker, Jon, 2018. "The impact of monetary policy on gold price dynamics," Research in International Business and Finance, Elsevier, vol. 44(C), pages 319-331.
    19. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
    20. Andrea Berardi, 2013. "Inflation Risk Premia, Yield Volatility and Macro Factors," Working Papers 27/2013, University of Verona, Department of Economics.
    21. Andrea Carriero & Sarah Mouabbi & Elisabetta Vangelista, 2018. "UK term structure decompositions at the zero lower bound," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 643-661, August.
    22. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
    23. Kim, Hwagyun & Park, Hail, 2013. "Term structure dynamics with macro-factors using high frequency data," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 78-93.
    24. Paul Hubert, 2017. "Central Bank information and the effects of monetary shocks," SciencePo Working papers Main hal-03471781, HAL.
    25. Lin, Mucai & Hong, Zhiwu & Su, Ge, 2024. "Transmission of liquidity and credit risks in the Chinese bond market: Analysis based on joint modeling of multiple yield curves," International Review of Economics & Finance, Elsevier, vol. 91(C), pages 597-615.
    26. Marcello Pericoli, 2019. "An assessment of recent trends in market-based expected iflation in the euro area," Questioni di Economia e Finanza (Occasional Papers) 542, Bank of Italy, Economic Research and International Relations Area.
    27. Richard Finlay & Sebastian Wende, 2011. "Estimating Inflation Expectations with a Limited Number of Inflation-indexed Bonds," RBA Research Discussion Papers rdp2011-01, Reserve Bank of Australia.
    28. Hatcher, Michael, 2013. "The Inflation Risk Premium on Government Debt in an Overlapping Generations Model," SIRE Discussion Papers 2013-81, Scottish Institute for Research in Economics (SIRE).
    29. Joyce, Michael A. S. & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Working Paper Series 978, European Central Bank.
    30. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    31. José Valentim Machado Vicente & Osmani Teixeira de Carvalho Guillen, 2010. "Do Inflation-linked Bonds Contain Information about Future Inflation?," Working Papers Series 214, Central Bank of Brazil, Research Department.
    32. Andras Lengyel, 2022. "Treasury Supply Shocks and the Term Structure of Interest Rates in the UK," MNB Working Papers 2022/6, Magyar Nemzeti Bank (Central Bank of Hungary).
    33. Huang, Xiaoyong & Jia, Fei & Xu, Xiangyun & Yu shi,, 2019. "The threshold effect of market sentiment and inflation expectations on gold price," Resources Policy, Elsevier, vol. 62(C), pages 77-83.
    34. José Valentim Machado Vicente, 2021. "A Non-Knotty Inflation Risk Premium Model," Working Papers Series 543, Central Bank of Brazil, Research Department.
    35. Chernov, Mikhail & Mueller, Philippe, 2012. "The term structure of inflation expectations," Journal of Financial Economics, Elsevier, vol. 106(2), pages 367-394.
    36. Remy Beauregard & Jens H. E. Christensen & Eric Fischer & Simon Zhu, 2021. "Inflation Expectations and Risk Premia in Emerging Bond Markets: Evidence from Mexico," Working Paper Series 2021-08, Federal Reserve Bank of San Francisco.
    37. Martin M. Andreasen & Jens H. E. Christensen & Simon Riddell, 2020. "The TIPS Liquidity Premium," Working Paper Series 2017-11, Federal Reserve Bank of San Francisco.
    38. Alex Hsu & Erica X. N. Li & Francisco J. Palomino, 2016. "Real and Nominal Equilibrium Yield Curves: Wage Rigidities and Permanent Shocks," Finance and Economics Discussion Series 2016-032, Board of Governors of the Federal Reserve System (U.S.).
    39. Sara Cecchetti & Adriana Grasso & Marcello Pericoli, 2022. "An analysis of objective inflation expectations and inflation risk premia," Temi di discussione (Economic working papers) 1380, Bank of Italy, Economic Research and International Relations Area.
    40. Joyce, Michael & Tong, Matthew & Woods, Robert, 2011. "The United Kingdom’s quantitative easing policy: design, operation and impact," Bank of England Quarterly Bulletin, Bank of England, vol. 51(3), pages 200-212.
    41. Ciccarelli, Matteo & Osbat, Chiara, 2017. "Low inflation in the euro area: Causes and consequences," Occasional Paper Series 181, European Central Bank.
    42. Boeckx, Jef & Iania, Leonardo & Wauters, Joris, 2023. "Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia," LIDAM Discussion Papers LFIN 2023003, Université catholique de Louvain, Louvain Finance (LFIN).
    43. Hibiki Ichiue & Yoichi Ueno, 2013. "Estimating Term Premia at the Zero Bound: An Analysis of Japanese, US, and UK Yields," Bank of Japan Working Paper Series 13-E-8, Bank of Japan.
    44. Stanley Fischer, 2015. "Central Bank Independence : a speech at the 2015 Herbert Stein Memorial Lecture National Economists Club, Washington, D.C., November 4, 2015," Speech 873, Board of Governors of the Federal Reserve System (U.S.).
    45. Thomas Laubach, 2010. "Fiscal Policy and Interest Rates: The Role of Sovereign Default Risk," NBER Chapters, in: NBER International Seminar on Macroeconomics 2010, pages 7-29, National Bureau of Economic Research, Inc.
    46. Asgharian, Hossein, 2011. "A conditional asset-pricing model with the optimal orthogonal portfolio," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1027-1040, May.
    47. Mervyn King & David Low, 2014. "Measuring the ''World'' Real Interest Rate," NBER Working Papers 19887, National Bureau of Economic Research, Inc.
    48. Kanas, Angelos, 2014. "Bond futures, inflation-indexed bonds, and inflation risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 82-99.
    49. Tobias Adrian & Hao Wu, 2009. "The term structure of inflation expectations," Staff Reports 362, Federal Reserve Bank of New York.
    50. Andreasen, Martin, 2011. "An estimated DSGE model: explaining variation in term premia," Bank of England working papers 441, Bank of England.
    51. Hubert, Paul & Maule, Becky, 2016. "Policy and macro signals as inputs to inflation expectation formation," Bank of England working papers 581, Bank of England.
    52. Iryna Kaminska & Andrew Meldrum & James Smith, 2013. "A Global Model Of International Yield Curves: No‐Arbitrage Term Structure Approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 18(4), pages 352-374, October.
    53. Liu, Zhuoshi & Spencer, Peter, 2013. "Modelling sovereign credit spreads with international macro-factors: The case of Brazil 1998–2009," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 241-256.
    54. Lange, Ronald H., 2017. "The expected real yield and inflation components of the nominal yield curve," The North American Journal of Economics and Finance, Elsevier, vol. 39(C), pages 1-18.
    55. Dooruj Rambaccussing & Craig Menzies & Andrzej Kwiatkowski, 2022. "Look who’s Talking: Individual Committee members’ impact on inflation expectations," Dundee Discussion Papers in Economics 305, Economic Studies, University of Dundee.
    56. Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016. "Inflation expectations derived from a portfolio model," MPRA Paper 69489, University Library of Munich, Germany.
    57. Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2020. "The common and speci fic components of inflation expectation across European countries," IRTG 1792 Discussion Papers 2020-023, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    58. Giray Gozgor, 2013. "The New Keynesian Phillips Curve in an Inflation Targeting Country: The Case of Turkey," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 6(1), pages 7-18, April.
    59. Alessandri, Piergiorgio & Nelson, Benjamin, 2012. "Simple banking: profitability and the yield curve," Bank of England working papers 452, Bank of England.
    60. Kaminska, Iryna & Liu, Zhuoshi & Relleen, Jon & Vangelista, Elisabetta, 2018. "What do the prices of UK inflation-linked securities say on inflation expectations, risk premia and liquidity risks?," Journal of Banking & Finance, Elsevier, vol. 88(C), pages 76-96.
    61. Bernard Njindan Iyke, 2017. "On the term structure of South African interest rates: cointegration and threshold adjustment," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 9(4), pages 300-321.
    62. Meldrum, Andrew & Raczko, Marek & Spencer, Peter, 2023. "The information in joint term structures of bond yields," Journal of International Money and Finance, Elsevier, vol. 134(C).
    63. J. Benson Durham, 2013. "More on U.S. Treasury term premiums: spot and expected measures," Staff Reports 658, Federal Reserve Bank of New York.
    64. Chen, Shi & Härdle, Wolfgang Karl & Wang, Weining, 2015. "Inflation co-movement across countries in multi-maturity term structure: An arbitrage-free approach," SFB 649 Discussion Papers 2015-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    65. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Discussion Paper 2017-027, Tilburg University, Center for Economic Research.
    66. Chen, S. & Härdle, W.K. & Wang, W., 2016. "Inflation Co-movement across Countries in Multi-maturity Term Structure: An Arbitrage-Free Approach," Working Papers 16/06, Department of Economics, City University London.
    67. Garcí­a, Juan Angel & Werner, Thomas, 2010. "Inflation risks and inflation risk premia," Working Paper Series 1162, European Central Bank.
    68. International Monetary Fund, 2016. "Brazil: Selected Issues," IMF Staff Country Reports 2016/349, International Monetary Fund.
    69. Alex Hsu & Erica X. N. Li & Francisco Palomino, 2021. "Real and Nominal Equilibrium Yield Curves," Management Science, INFORMS, vol. 67(2), pages 1138-1158, February.
    70. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    71. Mauro Sayar Ferreira & Joice Marques Figueiredo, 2024. "The influence of global uncertainty and financial shocks, and sovereign risk shock on the Brazilian term structure of interest rate," Textos para Discussão Cedeplar-UFMG 674, Cedeplar, Universidade Federal de Minas Gerais.
    72. Pedro Pires Ribeiro & José Dias Curto, 2018. "How do zero-coupon inflation swaps predict inflation rates in the euro area? Evidence of efficiency and accuracy on 1-year contracts," Empirical Economics, Springer, vol. 54(4), pages 1451-1475, June.
    73. Kei Imakubo & Jouchi Nakajima, 2015. "Estimating inflation risk premia from nominal and real yield curves using a shadow-rate model," Bank of Japan Working Paper Series 15-E-1, Bank of Japan.
    74. Westerhout, Ed & Ciocyte, Ona, 2017. "The Role of Inflation-Linked Bonds. Increasing, but Still Modest," Other publications TiSEM 08878bbd-e76e-4216-bee9-b, Tilburg University, School of Economics and Management.
    75. Zeng, Zheng, 2013. "New tips from TIPS: Identifying inflation expectations and the risk premia of break-even inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(2), pages 125-139.
    76. Meldrum, Andrew & Roberts-Sklar, Matt, 2015. "Long-run priors for term structure models," Bank of England working papers 575, Bank of England.
    77. Marcello Pericoli, 2013. "Macroeconomic and monetary policy surprises and the term structure of interest rates," Temi di discussione (Economic working papers) 927, Bank of Italy, Economic Research and International Relations Area.
    78. Marfatia Hardik A., 2018. "Estimating the New Keynesian Phillips Curve for the UK: evidence from the inflation-indexed bonds market," The B.E. Journal of Macroeconomics, De Gruyter, vol. 18(1), pages 1-18, January.
    79. Tosapol Apaitan, 2015. "Extracting Market Inflation Expectations: A Semi-structural Macro-finance Term Structure Model," PIER Discussion Papers 4, Puey Ungphakorn Institute for Economic Research.
    80. Perico Ortiz, Daniel, 2023. "Inflation news coverage, expectations and risk premium," FAU Discussion Papers in Economics 05/2023, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    81. Berardi, Andrea, 2023. "Term premia and short rate expectations in the euro area," Journal of Empirical Finance, Elsevier, vol. 74(C).
    82. Martin M. Andreasen & Jens H.E. Christensen & Simon Riddell, 2017. "The TIPS Liquidity Premium," CREATES Research Papers 2017-27, Department of Economics and Business Economics, Aarhus University.
    83. Andrew Blake & Garreth Rule & Ole Rummel, 2015. "Inflation targeting and term premia estimates for Latin America," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-21, December.
    84. Argyropoulos, Efthymios & Tzavalis, Elias, 2021. "The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 785-796.

  2. Wickens, Michael R. & Smith, Peter N & Sorensen, Steffen, 2009. "The Equity Premium and the Business Cycle: the Role of Demand and Supply Shocks," CEPR Discussion Papers 7227, C.E.P.R. Discussion Papers.

    Cited by:

    1. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, 2016. "Can stochastic discount factor models explain the cross‐section of equity returns?," Review of Financial Economics, John Wiley & Sons, vol. 28(1), pages 56-68, January.
    2. Pongrapeeporn Abhakorn & Peter N. Smith & Michael R. Wickens, "undated". "A Cross Section of Equity Returns: The No-Arbitrage Test," Discussion Papers 11/23, Department of Economics, University of York.
    3. Chien-Chiang Lee & Chin-Yu Wang & Jhih-Hong Zeng, 2017. "Housing price–volume correlations and boom–bust cycles," Empirical Economics, Springer, vol. 52(4), pages 1423-1450, June.
    4. Alfonso Mendoza Velázquez & Peter N. Smith, 2013. "Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks," Manchester School, University of Manchester, vol. 81, pages 100-124, September.
    5. John Nkwoma Inekwe, 2020. "Market uncertainty, risk aversion, and macroeconomic expectations," Empirical Economics, Springer, vol. 59(4), pages 1977-1995, October.
    6. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.

  3. Joyce, Michael & Relleen, Jonathan & Sorensen, Steffen, 2008. "Measuring monetary policy expectations from financial market instruments," Bank of England working papers 356, Bank of England.

    Cited by:

    1. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? Evidence from survey data," Post-Print hal-01638220, HAL.
    2. Peter Aling & Dr. Shakill Hassan, 2012. "NoArbitrage OneFactor Models of the South African TermStructure of Interest Rates," Working Papers 4946, South African Reserve Bank.
    3. Miranda-Agrippino, Silvia, 2016. "Unsurprising shocks: information, premia, and the monetary transmission," Bank of England working papers 626, Bank of England.
    4. Carlo Rosa, 2012. "How "unconventional" are large-scale asset purchases? The impact of monetary policy on asset prices," Staff Reports 560, Federal Reserve Bank of New York.
    5. Lloyd, Simon P., 2020. "Estimating nominal interest rate expectations: Overnight indexed swaps and the term structure," Journal of Banking & Finance, Elsevier, vol. 119(C).
    6. Florackis, Chris & Kontonikas, Alexandros & Kostakis, Alexandros, 2013. "Stock Market Liquidity and Macro-Liquidity Shocks: Evidence from the 2007-2009 Financial Crisis," SIRE Discussion Papers 2013-58, Scottish Institute for Research in Economics (SIRE).
    7. Annarita Colasante & Simone Alfarano & Eva Camacho-Cuena & Mauro Gallegati, 2020. "Long-run expectations in a learning-to-forecast experiment: a simulation approach," Journal of Evolutionary Economics, Springer, vol. 30(1), pages 75-116, January.
    8. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2020. "Monetary policy transmission in the United Kingdom: A high frequency identification approach," European Economic Review, Elsevier, vol. 123(C).
    9. Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
    10. Florackis, Chris & Kostakis, Alexandros & Kontonikas, Alexandros, 2011. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," SIRE Discussion Papers 2011-31, Scottish Institute for Research in Economics (SIRE).
    11. Cesa-Bianchi, Ambrogio & Thwaites, Gregory & Vicondoa, Alejandro, 2016. "Monetary policy transmission in an open economy:new data and evidence from the United Kingdom," LSE Research Online Documents on Economics 86235, London School of Economics and Political Science, LSE Library.
    12. Vijay A Murik, 2013. "Measuring monetary policy expectations," Australian Journal of Management, Australian School of Business, vol. 38(1), pages 49-65, April.
    13. B De Rezende, Rafael & Ristiniemi, Annukka, 2020. "A shadow rate without a lower bound constraint," Bank of England working papers 864, Bank of England.
    14. Chris Florackis & Alexandros Kontonikas & Alexandros Kostakis, 2010. "Transmission of macro-liquidity shocks to liquidity-sorted stock portfolios’ returns: The role of the financial crisis," Working Papers 2011_22, Business School - Economics, University of Glasgow, revised Apr 2011.
    15. Flavien Fokou Noumbissie, 2014. "The Impact of Monetary Policy on Financial Market in South Africa: A VAR Analysis," Journal of Economics and Behavioral Studies, AMH International, vol. 6(8), pages 636-646.
    16. Alvin Andhika Zulen & Okiriza Wibisono, 2019. "Measuring stakeholders’ expectations for the central bank’s policy rate," IFC Bulletins chapters, in: Bank for International Settlements (ed.), The use of big data analytics and artificial intelligence in central banking, volume 50, Bank for International Settlements.
    17. Alvin Andhika Zulen & Okiriza Wibisono, 2019. "Measuring stakeholders’ expectation on central bank’s policy rate," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.
    18. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? Evidence from survey data," Working Papers hal-04141591, HAL.
    19. Ye, Xiaoxia, 2012. "Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model," MPRA Paper 41093, University Library of Munich, Germany.

  4. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2008. "The integrated impact of credit and interest rate risk on banks: an economic value and capital adequacy perspective," Bank of England working papers 339, Bank of England.

    Cited by:

    1. Zuzana Fungáèová & Petr Jakubík, 2012. "Bank Stress Tests as an Information Device for Emerging Markets: The Case of Russia," Working Papers IES 2012/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2012.
    2. Sujit Kapadia & Matthias Drehmann & John Elliott & Gabriel Sterne, 2012. "Liquidity Risk, Cash Flow Constraints, and Systemic Feedbacks," NBER Chapters, in: Quantifying Systemic Risk, pages 29-61, National Bureau of Economic Research, Inc.
    3. David Martinez-Miera & Rafael Repullo, 2019. "Monetary Policy, Macroprudential Policy, and Financial Stability," Working Papers wp2019_1901, CEMFI.
    4. Hasan Ferit YUCEYILMAZ & Onur ALTIN & K. Batu TUNAY, 2017. "Makro Ihtiyati Tedbirler Cerçevesinde Tuketici Kredilerine Iliskin Duzenlemelerin Etkinligi: Turkiye Ornegi," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, vol. 17(4), pages 449-459.
    5. Claudio Borio & Mathias Drehmann, 2009. "Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences," Working Papers Central Bank of Chile 544, Central Bank of Chile.
    6. Darne, O. & Levy-Rueff, O. & Pop, A., 2013. "Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach," Working papers 426, Banque de France.
    7. Piergiorgio Alessandri & Prasanna Gai & Sujit Kapadia & Nada Mora & Claus Puhr, 2009. "Towards a Framework for Quantifying Systemic Stability," International Journal of Central Banking, International Journal of Central Banking, vol. 5(3), pages 47-81, September.
    8. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
    9. Iris Biefang Frisancho-Mariscal & Peter Howells, 2010. "Interest rate pass-through and risk," Working Papers 1016, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    10. Spyros Pagratis & Marco Stringa, 2009. "Modeling Bank Senior Unsecured Ratings: A Reasoned Structured Approach to Bank Credit Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 5(2), pages 1-39, June.
    11. Hałaj, Grzegorz, 2013. "Optimal asset structure of a bank - bank reactions to stressful market conditions," Working Paper Series 1533, European Central Bank.
    12. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2009. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Working Papers Central Bank of Chile 555, Central Bank of Chile.
    13. Malovaná, Simona & Kolcunová, Dominika & Brož, Václav, 2019. "Does monetary policy influence banks’ risk weights under the internal ratings-based approach?," Economic Systems, Elsevier, vol. 43(2), pages 1-1.
    14. John Kwaku Mensah Mawutor & Kezia Bortey & Bernardine Ansah & Faustina Osei- Frimpong & Worlanyo Kumassah, 2015. "Credit Risk Management and Profitability of Banks Listed on the Ghana Stock Exchange," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 4(7), pages 396-406.
    15. Simona Malovana & Dominika Kolcunova & Vaclav Broz, 2018. "The effect of accommodative monetary policy on the risk weights applied by domestic banks," Occasional Publications - Chapters in Edited Volumes, in: CNB Financial Stability Report 2017/2018, chapter 0, pages 136-147, Czech National Bank.
    16. Mr. Christian Schmieder & Maher Hasan & Mr. Claus Puhr, 2011. "Next Generation Balance Sheet Stress Testing," IMF Working Papers 2011/083, International Monetary Fund.
    17. Simona Malovana & Dominika Kolcunova & Vaclav Broz, 2017. "Does Monetary Policy Influence Banks' Perception of Risks?," Working Papers 2017/9, Czech National Bank.
    18. Isah Serwadda, 2018. "Impact of Credit Risk Management Systems on the Financial Performance of Commercial Banks in Uganda," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 66(6), pages 1627-1635.
    19. Drehmann, Mathias & Alessandri, Piergiorgio, 2009. "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series 1041, European Central Bank.
    20. Darné, Olivier & Levy-Rueff, Guy & Pop, Adrian, 2024. "The calibration of initial shocks in bank stress test scenarios: An outlier detection based approach," Economic Modelling, Elsevier, vol. 136(C).
    21. Sri Murtiyanti & Noer Azam Achsani & Dedi Budiman Hakim, 2015. "Capital adequacy of the banking industry in Indonesia," Economic Journal of Emerging Markets, Universitas Islam Indonesia, vol. 7(2), pages 69-77, April.
    22. Lucia Esposito & Andrea Nobili & Tiziano Ropele, 2013. "The management of interest rate risk during the crisis: evidence from Italian banks," Temi di discussione (Economic working papers) 933, Bank of Italy, Economic Research and International Relations Area.
    23. Haldane, Andrew & Hall, Simon & Pezzini, Silvia, 2007. "Financial Stability Paper No 2: A New Approach to Assessing Risks to Financial Stability," Bank of England Financial Stability Papers 2, Bank of England.
    24. Elisa Cavezzali & Gloria Gardenal, 2015. "Risk governance and performance of the Italian banks: an empirical analysis," Working Papers 8, Venice School of Management - Department of Management, Università Ca' Foscari Venezia.
    25. Sohail Farooq & Raza Muhammad Khan & Muhammad Akram Gilal, 2020. "Credit Risk and Profitability of Commercial Banks in Pakistan," Global Economics Review, Humanity Only, vol. 5(1), pages 75-89, March.

  5. Mathias Drehmann & Steffen Sorensen & Marco Stringa, 2007. "Integrating credit and interest rate risk: A theoretical framework and an application to banks' balance sheets," Money Macro and Finance (MMF) Research Group Conference 2006 151, Money Macro and Finance Research Group.

    Cited by:

    1. Mizuho Kida, 2008. "A macro stress testing model with feedback effects," Reserve Bank of New Zealand Discussion Paper Series DP2008/08, Reserve Bank of New Zealand.
    2. Nguenang, Christian & Kamgna, Sévérin yves & Tinang, Nzeusseu Jules, 2010. "Une approche Macroprudentielle du risque systémique en zone CEMAC [A Macro-prudential approach of systemic risk in CEMAC zone]," MPRA Paper 25632, University Library of Munich, Germany.
    3. Sokolov, Yuri, 2012. "Modeling risk in a dynamically changing world: from association to causation," MPRA Paper 40096, University Library of Munich, Germany.
    4. Miora Rakotonirainy & Jean Razafindravonona & Christian Rasolomanana, 2020. "Macro Stress Testing Credit Risk: Case of Madagascar Banking Sector," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 199-218.
    5. Loser, Claudio M. & Kiguel, Miguel A. & Mermelstein, David, 2010. "A Macroprudential Framework for the Early Detection of Banking Problems in Emerging Economies," Working Papers on Regional Economic Integration 44, Asian Development Bank.
    6. David A. Mermelstein, 2017. "Hacia un indicador de vulnerabilidad bancaria basado en pruebas de estrés," CEMA Working Papers: Serie Documentos de Trabajo. 610, Universidad del CEMA.

  6. P N Smith & S Sorensen & M R Wickens, 2006. "The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility," Discussion Papers 06/04, Department of Economics, University of York.

    Cited by:

    1. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.

  7. Glenn Hoggarth & Steffen Sorensen & Lea Zicchino, 2005. "Stress tests of UK banks using a VAR approach," Bank of England working papers 282, Bank of England.

    Cited by:

    1. Mr. Jorge A Chan-Lau, 2006. "Fundamentals-Based Estimation of Default Probabilities - A Survey," IMF Working Papers 2006/149, International Monetary Fund.
    2. Festic, Mejra & Kavkler, Alenka & Repina, Sebastijan, 2011. "The macroeconomic sources of systemic risk in the banking sectors of five new EU member states," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 310-322, February.
    3. Inessa Love & Rima Turk Ariss, 2013. "Macro-Financial Linkages in Egypt: A Panel Analysis of Economic Shocks and Loan Portfolio Quality," Working Papers 201310, University of Hawaii at Manoa, Department of Economics.
    4. Boysen-Hogrefe, Jens & Dovern, Jonas & Groll, Dominik & van Roye, Björn & Scheide, Joachim, 2010. "Droht in Deutschland eine Kreditklemme?," Kiel Discussion Papers 472/473, Kiel Institute for the World Economy (IfW Kiel).
    5. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Documents de travail du Centre d'Economie de la Sorbonne 15052, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    6. Kuo-Wei Hsiao & Zhengyi Jiang, 2015. "The Pre- and Post-Crisis Stress Testing in the Banking Sector — A Literature Review," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 77-97.
    7. Mr. Francesco Grigoli & Mr. Mario Mansilla & Martín Saldías, 2016. "Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections: An Application to Ecuador," IMF Working Papers 2016/236, International Monetary Fund.
    8. Albert, Jose Ramon G. & Schou-Zibell, Lotte & Song, Lei Lei, 2012. "A Macroprudential Framework for Monitoring and Examining Financial Soundness," Discussion Papers DP 2012-22, Philippine Institute for Development Studies.
    9. Festic, Mejra & Kavkler, Alenka, 2012. "The Roots of the Banking Crisis in the New EU Member States: A Panel Regression Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 20-40, March.
    10. Avouyi-Dovi, S. & Bardos, M. & Jardet, C. & Kendaoui, L. & Moquet , J., 2009. "Macro stress testing with a macroeconomic credit risk model: Application to the French manufacturing sector," Working papers 238, Banque de France.
    11. Miles, David & Yang, Jing & Marcheggiano, Gilberto, 2011. "Optimal Bank Capital," CEPR Discussion Papers 8333, C.E.P.R. Discussion Papers.
    12. International Association of Deposit Insurers, 2011. "Evaluation of Deposit Insurance Fund Sufficiency on the Basis of Risk Analysis," IADI Research Papers 11-11, International Association of Deposit Insurers.
    13. Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent) 007, University of Modena and Reggio E., Dept. of Economics "Marco Biagi".
    14. Dominique Gu�gan & Bertrand Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Working Papers 2015:17, Department of Economics, University of Venice "Ca' Foscari".
    15. Stefano Puddu, 2013. "Real Sector and Banking System: Real and Feedback Effects. A Non-Linear VAR Approach," IRENE Working Papers 13-01, IRENE Institute of Economic Research.
    16. Guarda, Paolo & Rouabah, Abdelaziz & Theal, John, 2012. "An MVAR framework to capture extreme events in macro-prudential stress tests," Working Paper Series 1464, European Central Bank.
    17. International Monetary Fund, 2009. "Cyprus: Financial Sector Assessment Program Update: Technical Note: Measuring Banking Stability in Cyprus," IMF Staff Country Reports 2009/171, International Monetary Fund.
    18. Abdelaziz Rouabah & John Theal, 2010. "Stress testing: The impact of shocks on the capital needs of the Luxembourg banking sector," BCL working papers 47, Central Bank of Luxembourg.
    19. Juri Marcucci & Mario Quagliariello, "undated". "Is Bank Portfolio Riskiness Procyclical? Evidence from Italy using a Vector Autoregression," Discussion Papers 05/09, Department of Economics, University of York.
    20. Renato Filosa, 2007. "Stress testing of the stability of the Italian banking system: a VAR approach," Heterogeneity and monetary policy 0703, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica.
    21. Claudio Borio & Mathias Drehmann, 2009. "Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences," Working Papers Central Bank of Chile 544, Central Bank of Chile.
    22. Pestova Anna & Mamonov Mikhail, 2013. "Macroeconomic and bank?specific determinants of credit risk: evidence from Russia," EERC Working Paper Series 13/10e, EERC Research Network, Russia and CIS.
    23. Horaţiu LOVIN, 2015. "Liquidity Shocks Transmission to Lending Activity in the Romanian Banking System. A VAR Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 48-60, June.
    24. Natalia Podlich & Didar Illyasov & Elena Tsoy & Shynar Shaikh, 2010. "The Methodology of Stress Tests for the Kazakh Banking System," ifo Working Paper Series 85, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    25. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169537, HAL.
    26. Mario Quagliariello, 2009. "Macroeconomic uncertainty and banks' lending decisions: the case of Italy," Applied Economics, Taylor & Francis Journals, vol. 41(3), pages 323-336.
    27. Solntsev, O. & Mamonov, M. & Pestova, A. & Magomedova, Z., 2011. "Experience in Developing Early Warning System for Financial Crises and the Forecast of Russian Banking Sector Dynamic in 2012," Journal of the New Economic Association, New Economic Association, issue 12, pages 41-76.
    28. Kelly, Robert & O'Brien, Eoin & Stuart, Rebecca, 2014. "A long-run survival analysis of corporate liquidations in Ireland," Research Technical Papers 10/RT/14, Central Bank of Ireland.
    29. Andrew McKenna & Rhys Bidder, 2014. "Robust Stress Testing," 2014 Meeting Papers 853, Society for Economic Dynamics.
    30. Zulkhibri, Muhamed & Ismail, Abdul Ghafar, 2017. "Stress Testing Frameworks and Practices in Dual Banking System: A Preliminary Assessment," Policy Papers 2017-6, The Islamic Research and Teaching Institute (IRTI).
    31. Bermingham, Colin & Conefrey, Thomas, 2014. "The Irish macroeconomic response to an external shock with an application to stress testing," Journal of Policy Modeling, Elsevier, vol. 36(3), pages 454-470.
    32. Dua, Pami & Kapur, Hema, 2018. "Macro stress testing and resilience assessment of Indian banking," Journal of Policy Modeling, Elsevier, vol. 40(2), pages 452-475.
    33. Miora Rakotonirainy & Jean Razafindravonona & Christian Rasolomanana, 2020. "Macro Stress Testing Credit Risk: Case of Madagascar Banking Sector," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 9(2), pages 199-218.
    34. Aykut Ekinci, 2016. "Rethinking Credit Risk under the Malinvestment Concept: The Case of Germany, Spain and Italy," European Financial and Accounting Journal, Prague University of Economics and Business, vol. 2016(1), pages 39-63.
    35. Javier Gutiérrez Rueda, 2010. "Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes," Temas de Estabilidad Financiera 046, Banco de la Republica de Colombia.
    36. Marcucci, Juri & Quagliariello, Mario, 2009. "Asymmetric effects of the business cycle on bank credit risk," Journal of Banking & Finance, Elsevier, vol. 33(9), pages 1624-1635, September.
    37. Albert, Jose Ramon G. & Ng, Thiam Hee, 2012. "Assessing the Resilience of ASEAN Banking Systems: the Case of the Philippines," Discussion Papers DP 2012-23, Philippine Institute for Development Studies.
    38. Baselga-Pascual, Laura & Trujillo-Ponce, Antonio & Cardone-Riportella, Clara, 2015. "Factors influencing bank risk in Europe: Evidence from the financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 138-166.
    39. Javier Gutiérrez Rueda & Diego M. Vásquez E., 2008. "Un Análisis de Cointegración para el Riesgo de Crédito," Temas de Estabilidad Financiera 035, Banco de la Republica de Colombia.
    40. Sreejata Banerjee & Divya Murali, 2015. "Stress Test of Banks in India: A VAR Approach," Working Papers 2015-102, Madras School of Economics,Chennai,India.
    41. Chang Liu & Raja Nassar & Min Guo, 2015. "A Method of Retail Mortgage Stress Testing: Based on Time‐Frame and Magnitude Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(4), pages 261-274, July.
    42. Colin Ellis, 2017. "Scenario-based stress tests: are they painful enough?," Contemporary Economics, University of Economics and Human Sciences in Warsaw., vol. 11(2), June.
    43. Alsamara, Mouyad & Mrabet, Zouhair & Jarallah, Shaif & Barkat, Karim, 2019. "The switching impact of financial stability and economic growth in Qatar: Evidence from an oil-rich country," The Quarterly Review of Economics and Finance, Elsevier, vol. 73(C), pages 205-216.
    44. Morone, Marco & Cornaglia, Anna, 2010. "An econometric model to quantify benchmark downturn LGD on residential mortgages," MPRA Paper 25588, University Library of Munich, Germany.
    45. Antonio Salvi & Candida Bussoli & Lavinia Conca & Marisa Gigante, 2021. "Determinants of Non-Performing Loans: Evidence from Europe," International Journal of Business and Management, Canadian Center of Science and Education, vol. 13(10), pages 230-230, July.
    46. Niyogi Sinha Roy, Tanima & Bhattacharya, Basabi, 2011. "Macroeconomic Stress Testing and the Resilience of the Indian Banking System: A Focus on Credit Risk," MPRA Paper 30263, University Library of Munich, Germany.
    47. Albert, Stéphane, 2015. "US bank holding companies: Structure of activities and performance through the cycles," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 253-269.
    48. Caporale, Guglielmo Maria & Di Colli, Stefano & Lopez, Juan Sergio, 2014. "Bank lending procyclicality and credit quality during financial crises," Economic Modelling, Elsevier, vol. 43(C), pages 142-157.
    49. Dovern, Jonas & Meier, Carsten-Patrick & Vilsmeier, Johannes, 2010. "How resilient is the German banking system to macroeconomic shocks?," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1839-1848, August.
    50. Apostolakis, George & Papadopoulos, Athanasios P., 2015. "Financial stress spillovers across the banking, securities and foreign exchange markets," Journal of Financial Stability, Elsevier, vol. 19(C), pages 1-21.
    51. Miroslav Misina & David Tessier & Shubhasis Dey, 2006. "Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector," Staff Working Papers 06-47, Bank of Canada.
    52. Baltas, Konstantinos N. & Kapetanios, George & Tsionas, Efthymios & Izzeldin, Marwan, 2017. "Liquidity creation through efficient M&As: A viable solution for vulnerable banking systems? Evidence from a stress test under a panel VAR methodology," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 36-56.
    53. Wilmar Cabrera & Javier Gutiérrez Rueda & Juan Carlos Mendoza & Luis Fernando Melo, 2011. "Relación entre el riesgo sistémico del sistema financiero y el sector real," Temas de Estabilidad Financiera 062, Banco de la Republica de Colombia.
    54. Javier Gutiérrez Rueda, "undated". "Un análisis de riesgo de crédito de las empresas del sector real y sus determinantes," Vniversitas Económica 8291, Universidad Javeriana - Bogotá.
    55. Rodrigo Alfaro & Daniel Calvo & Daniel Oda, 2008. "Banking Risk Exposure," Working Papers Central Bank of Chile 503, Central Bank of Chile.
    56. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Post-Print halshs-01169537, HAL.
    57. Dale F. Gray & Robert C. Merton & Zvi Bodie, 2011. "Measuring and Managing Macrofinancial Risk and Financial Stability: A New Framework," Central Banking, Analysis, and Economic Policies Book Series, in: Rodrigo Alfaro (ed.),Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 5, pages 125-157, Central Bank of Chile.
    58. Kleszcz Klaudia & Nehrebecka Natalia, 2020. "Financial liability stress tests: an approach based on the use of a rating migration matrix," Central European Economic Journal, Sciendo, vol. 7(54), pages 12-32, January.
    59. Harun, Cicilia A. & Taruna, Aditya Anta & Ramdani,, 2021. "Capturing the nonlinear impact in distress state: Enhancing scenario design of stress test," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 265-288.
    60. Metin Vatansever & Ibrahim Demir, 2017. "A Segmentation Study of Non-Performing Loans Rates in Turkish Credit Market," International Business Research, Canadian Center of Science and Education, vol. 10(11), pages 29-41, November.
    61. Wilmar Cabrera & Javier Gutiérrez Rueda & Juan Carlos Mendoza, 2012. "Credit Risk Stress Testing: An Exercise for Colombian Banks," Temas de Estabilidad Financiera 073, Banco de la Republica de Colombia.
    62. Abildgren, Kim, 2012. "Business cycles, monetary transmission and shocks to financial stability: empirical evidence from a new set of Danish quarterly national accounts 1948-2010," Working Paper Series 1458, European Central Bank.
    63. Wosser, Michael, 2017. "What Drives Systemic Bank Risk in Europe: the balance sheet effect," Research Technical Papers 08/RT/17, Central Bank of Ireland.
    64. Chiara Pederzoli & Costanza Torricelli & Simona Castellani, 2010. "The Interaction of Financial Fragility and the Business Cycle in Determining Banks’ Loan Losses: An Investigation of the Italian Case," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 39(3), pages 129-146, November.
    65. Marco Gross & Javier Población, 2019. "Implications of Model Uncertainty for Bank Stress Testing," Journal of Financial Services Research, Springer;Western Finance Association, vol. 55(1), pages 31-58, February.
    66. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank.

  8. P N Smith & S Sorensen & M R Wickens, "undated". "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers 03/14, Department of Economics, University of York.

    Cited by:

    1. Peter N Smith & S Sorensen & M R Wickens, 2005. "The asymmetric effect of the business cycle on the relation between stock market returns and their volatility," Money Macro and Finance (MMF) Research Group Conference 2005 47, Money Macro and Finance Research Group.
    2. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc.
    3. Mahesh Kumar Tambi, 2005. "A test of Integration between Emerging and Developed Nation’s Stock Markets," International Finance 0506004, University Library of Munich, Germany.

  9. P N Smith & S Sorensen & M R Wickens, "undated". "Macroeconomic Sources of Equity Risk," Discussion Papers 03/13, Department of Economics, University of York.

    Cited by:

    1. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York.
    2. Peter N Smith & S Sorensen & M R Wickens, 2005. "The asymmetric effect of the business cycle on the relation between stock market returns and their volatility," Money Macro and Finance (MMF) Research Group Conference 2005 47, Money Macro and Finance Research Group.
    3. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group.
    4. Peter N Smith & Steffen Sorensen & Mike Wickens, 2007. "The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)," Discussion Papers 07/11, Department of Economics, University of York.
    5. Vit Posta, 2012. "Time-Varying Risk Premium in the Czech Capital Market: Did the Market Experience a Structural Shock in 2008–2009?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 62(5), pages 450-470, November.
    6. Kocenda, Evzen & Poghosyan, Tigran, 2009. "Macroeconomic sources of foreign exchange risk in new EU members," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2164-2173, November.
    7. Ioannis N. Kallianiotis, 2016. "Factors Affecting the Exchange Rate Risk Premium," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 6(6), pages 1-3.
    8. Pierre Monnin, "undated". "Are stock markets really like beauty contests? Empirical evidence of higher order belief's impact on asset prices," IEW - Working Papers 202, Institute for Empirical Research in Economics - University of Zurich.
    9. Evžen Koèenda & Tigran Poghosyan, 2010. "Exchange Rate Risk in Central European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 22-39, February.
    10. P N Smith & S Sorensen & M R Wickens, "undated". "An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors," Discussion Papers 03/14, Department of Economics, University of York.
    11. Bernard Walley, 2015. "Macroeconomic sources of foreign exchange risk premium: evidence from South Africa," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 382-395, April.
    12. Ioannis N. Kallianiotis, 2022. "Trade Balance and Exchange Rate: The J-Curve," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 12(2), pages 1-3.

Articles

  1. Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
    See citations under working paper version above.
  2. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.

    Cited by:

    1. Nimita Azam & Abdullah Mamun & George F. Tannous, 2022. "Credit derivatives and loan yields," The Financial Review, Eastern Finance Association, vol. 57(1), pages 205-241, February.
    2. Petr Polak & Jiri Panos, 2019. "The Impact of Expectations on IFRS 9 Loan Loss Provisions," Research and Policy Notes 2019/03, Czech National Bank.
    3. Jens H. E. Christensen & Jose A. Lopez & Glenn D. Rudebusch, 2013. "A Probability-Based Stress Test of Federal Reserve Assets and Income," Working Paper Series 2013-38, Federal Reserve Bank of San Francisco.
    4. Claußen, Catharina & Platte, Daniel, 2023. "Evaluating the validity of regulatory interest rate risk measures – a simulation approach," Journal of Banking & Finance, Elsevier, vol. 154(C).
    5. Henry, Jérôme & Zimmermann, Maik & Leber, Miha & Kolb, Markus & Grodzicki, Maciej & Amzallag, Adrien & Vouldis, Angelos & Hałaj, Grzegorz & Pancaro, Cosimo & Gross, Marco & Baudino, Patrizia & Sydow, , 2013. "A macro stress testing framework for assessing systemic risks in the banking sector," Occasional Paper Series 152, European Central Bank.
    6. Bank for International Settlements, 2020. "Stress testing in Latin America: A comparison of approaches and methodologies," BIS Papers, Bank for International Settlements, number 108.
    7. Rubén Chavarín, 2020. "Risk governance, banks affiliated to business groups, and foreign ownership," Risk Management, Palgrave Macmillan, vol. 22(1), pages 1-37, March.
    8. Hasan, Iftekhar & Siddique, Akhtar & Sun, Xian, 2015. "Monitoring the “invisible” hand of market discipline: Capital adequacy revisited," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 475-492.
    9. Mr. Francesco Grigoli & Mr. Mario Mansilla & Martín Saldías, 2016. "Macro-Financial Linkages and Heterogeneous Non-Performing Loans Projections: An Application to Ecuador," IMF Working Papers 2016/236, International Monetary Fund.
    10. Borio, Claudio & Drehmann, Mathias & Tsatsaronis, Kostas, 2014. "Stress-testing macro stress testing: Does it live up to expectations?," Journal of Financial Stability, Elsevier, vol. 12(C), pages 3-15.
    11. Aisyah Rahman, 2010. "Financing structure and insolvency risk exposure of Islamic banks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 24(4), pages 419-440, December.
    12. Ovi, Nafisa & Bose, Sudipta & Gunasekarage, Abeyratna & Shams, Syed, 2020. "Do the business cycle and revenue diversification matter for banks’ capital buffer and credit risk: Evidence from ASEAN banks," Journal of Contemporary Accounting and Economics, Elsevier, vol. 16(1).
    13. Zagonov, Maxim, 2011. "Securitization and bank intermediation function," MPRA Paper 34961, University Library of Munich, Germany, revised Sep 2011.
    14. Grundke, Peter & Kühn, André, 2020. "The impact of the Basel III liquidity ratios on banks: Evidence from a simulation study," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 167-190.
    15. Bellotti, Tony & Crook, Jonathan, 2011. "Forecasting and Stress Testing Credit Card Default Using Dynamic Models," Working Papers 11-34, University of Pennsylvania, Wharton School, Weiss Center.
    16. Waelchli Boris, 2016. "A proximity based macro stress testing framework," Dependence Modeling, De Gruyter, vol. 4(1), pages 1-26, November.
    17. Pejman Abedifar & Philip Molyneux & Amine Tarazi, 2013. "Risk in Islamic Banking," Review of Finance, European Finance Association, vol. 17(6), pages 2035-2096.
    18. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
    19. Marwan Alzoubi & Ayman Abdalmajeed Alsmadi & Hamad kasasbeh, 2022. "Systemically Important Bank: A Bibliometric Analysis for the Period of 2002 to 2022," SAGE Open, , vol. 12(4), pages 21582440221, December.
    20. Memmel, Christoph, 2010. "Banks' exposure to interest rate risk, their earnings from term transformation, and the dynamics of the term structure," Discussion Paper Series 2: Banking and Financial Studies 2010,07, Deutsche Bundesbank.
    21. Dobromił Serwa, 2013. "Measuring Non-Performing Loans During (and After) Credit Booms," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 5(3), pages 163-183, September.
    22. Claudio Borio & Mathias Drehmann, 2009. "Towards an Operational Framework for Financial Stability: "Fuzzy" Measurement and its Consequences," Working Papers Central Bank of Chile 544, Central Bank of Chile.
    23. Antonio Di Cesare & Anna Rogantini Picco, 2018. "A Survey of Systemic Risk Indicators," Questioni di Economia e Finanza (Occasional Papers) 458, Bank of Italy, Economic Research and International Relations Area.
    24. Pejman Abedifar & Iftekhar Hasan & Amine Tarazi, 2014. "Finance-Growth Nexus and Dual Banking System: Relative Importance of Islamic Banks," Working Papers hal-01065676, HAL.
    25. Jaimes Caruana, 2013. "Measuring Systemic Risk," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 9, Edward Elgar Publishing.
    26. Bellini, Tiziano, 2013. "Integrated bank risk modeling: A bottom-up statistical framework," European Journal of Operational Research, Elsevier, vol. 230(2), pages 385-398.
    27. Parnes, Dror & Gormus, Alper, 2024. "Prescreening bank failures with K-means clustering: Pros and cons," International Review of Financial Analysis, Elsevier, vol. 93(C).
    28. Bakoush, Mohamed & Gerding, Enrico & Mishra, Tapas & Wolfe, Simon, 2022. "An integrated macroprudential stress test of bank liquidity and solvency," Journal of Financial Stability, Elsevier, vol. 60(C).
    29. Molterer, Manuel, 2019. "Tougher than the rest? The resilience of specialized financial intermediation to macroeconomic shocks," The Quarterly Review of Economics and Finance, Elsevier, vol. 74(C), pages 163-174.
    30. Szybisz, Martin Andres, 2019. "Interactions between Credit and Market Risk, Diversification vs Compounding effects," MPRA Paper 93173, University Library of Munich, Germany.
    31. Pliszka, Kamil, 2021. "System-wide and banks' internal stress tests: Regulatory requirements and literature review," Discussion Papers 19/2021, Deutsche Bundesbank.
    32. Abdymomunov, Azamat & Gerlach, Jeffrey, 2014. "Stress testing interest rate risk exposure," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 287-301.
    33. Joyce, Michael A.S. & Lildholdt, Peter & Sorensen, Steffen, 2010. "Extracting inflation expectations and inflation risk premia from the term structure: A joint model of the UK nominal and real yield curves," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 281-294, February.
    34. Wei, Lu & Li, Guowen & Li, Jianping & Zhu, Xiaoqian, 2019. "Bank risk aggregation with forward-looking textual risk disclosures," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    35. Chen, Hsiao-Jung & Lin, Kuan-Ting, 2016. "How do banks make the trade-offs among risks? The role of corporate governance," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 39-69.
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    See citations under working paper version above.
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