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Francisco Nadal De Simone

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. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.

    Cited by:

    1. Giordana, Gastón & Ziegelmeyer, Michael, 2020. "Stress testing household balance sheets in Luxembourg," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 115-138.

  2. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.

    Cited by:

    1. International Monetary Fund, 2017. "Luxembourg: Financial Sector Assessment Program: Technical Note-Risk Analysis," IMF Staff Country Reports 2017/261, International Monetary Fund.
    2. Farhi, Emmanuel & Tirole, Jean, 2017. "Shadow Banking and the Four Pillars of Traditional Financial Intermediation," CEPR Discussion Papers 12373, C.E.P.R. Discussion Papers.
    3. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).

  3. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.

    Cited by:

    1. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    2. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
    3. Molitor, Philippe & Doyle, Nicola & Hermans, Lieven & Weistroffer, Christian, 2016. "Shadow banking in the euro area: risks and vulnerabilities in the investment fund sector," Occasional Paper Series 174, European Central Bank.

  4. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.

    Cited by:

    1. Solange Maria Guerra & Benjamin Miranda Tabak & Rodrigo Andrés De Souza Penaloza & Rodrigo César De Castro Mirand, 2014. "Systemic Risk Measures," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 124, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Xisong Jin, 2018. "How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation," BCL working papers 118, Central Bank of Luxembourg.
    3. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
    4. Collins, Sean & Gallagher, Emily, 2016. "Assessing the credit risk of money market funds during the eurozone crisis," Journal of Financial Stability, Elsevier, vol. 25(C), pages 150-165.
    5. Reboredo, Juan C. & Ugolini, Andrea, 2015. "A vine-copula conditional value-at-risk approach to systemic sovereign debt risk for the financial sector," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 98-123.
    6. Badea Irina - Raluca, 2015. "Hrm - Well-Being At Work Relation. A Case Study," Annals - Economy Series, Constantin Brancusi University, Faculty of Economics, vol. 4, pages 146-154, August.
    7. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    8. Arismendi-Zambrano, Juan & Belitsky, Vladimir & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2022. "The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing," Journal of Financial Stability, Elsevier, vol. 58(C).
    9. Nguyen, Linh Hoang & Lambe, Brendan John, 2021. "International tail risk connectedness: Network and determinants," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    10. Necmi Kemal Avkiran & Lin Mi, 2017. "The Rising Systemic Importance of Chinese Banks: Should the World Be Concerned?," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 50(4), pages 427-440, December.
    11. Gaston Giordana & Ingmar Schumacher, 2012. "An Empirical Study on the Impact of Basel III Standards on Banks? Default Risk: The Case of Luxembourg," BCL working papers 79, Central Bank of Luxembourg.
    12. Allen, Linda & Tang, Yi, 2016. "What’s the contingency? A proposal for bank contingent capital triggered by systemic risk," Journal of Financial Stability, Elsevier, vol. 26(C), pages 1-14.
    13. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
    14. Bochmann, Paul & Hiebert, Paul & Schüler, Yves & Segoviano, Miguel A., 2024. "Latent fragility: Conditioning banks' joint probability of default on the financial cycle," Journal of International Money and Finance, Elsevier, vol. 146(C).
    15. 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.
    16. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    17. Ghufran Ahmad & Muhammad Suhail Rizwan & Dawood Ashraf, 2021. "Systemic risk and macroeconomic forecasting: A globally applicable copula‐based approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1420-1443, December.
    18. Yves Mersch, 2013. "Default of Systemically Important Financial Intermediaries: Short-Term Stability vs. Incentive Compatability," Chapters, in: Andreas Dombret & Otto Lucius (ed.), Stability of the Financial System, chapter 11, Edward Elgar Publishing.
    19. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    20. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.
    21. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    22. Deyan Radev, 2024. "Dynamic Measures of Sovereign Systemic Risk," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 3-24.
    23. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  5. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.

    Cited by:

    1. Xisong Jin, 2018. "How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation," BCL working papers 118, Central Bank of Luxembourg.
    2. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    3. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    4. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
    5. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    6. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    7. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.

  6. Thorsten Lehnert & Xisong Jin & Francisco Nadal de Simone, 2011. "Does the GARCH Structural Credit Risk Model Make a Difference?," DEM Discussion Paper Series 11-6, Department of Economics at the University of Luxembourg.

    Cited by:

    1. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    2. Xisong Jin & Francisco Nadal de Simone, 2011. "Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools," BCL working papers 65, Central Bank of Luxembourg.

  7. Thorsten Lehnert & Xisong Jin & Francisco Nadal de Simone, 2011. "Does the GARCH Structural Credit Risk Model Make a Difference?," LSF Research Working Paper Series 11-6, Luxembourg School of Finance, University of Luxembourg.

    Cited by:

    1. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    2. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
    3. Xisong Jin & Francisco Nadal de Simone, 2011. "Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools," BCL working papers 65, Central Bank of Luxembourg.

  8. Panetta, Fabio & Correa, Ricardo & Davies, Michael & Di Cesare, Antonio & Marques, José-Manuel & Nadal de Simone, Francisco & Signoretti, Federico & Vespro, Cristina & Vildo, Siret & Wieland, Martin &, 2011. "The impact of sovereign credit risk on bank funding conditions," MPRA Paper 32581, University Library of Munich, Germany.

    Cited by:

    1. Dennis Bonam & Jasper Lukkezen, 2019. "Fiscal and Monetary Policy Coordination, Macroeconomic Stability, and Sovereign Risk Premia," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 581-616, March.
    2. Deryugina, Elena & Kovalenko, Olga & Pantina, Irina & Ponomarenko, Alexey, 2015. "Disentangling loan demand and supply shocks in Russia," BOFIT Discussion Papers 8/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
    3. Natalia Andries & Steve Billon, 2016. "Retail bank interest rate pass-through in the euro area: An empirical survey," Post-Print halshs-01354597, HAL.
    4. Klusak, Patrycja & Alsakka, Rasha & Gwilym, Owain ap, 2017. "Does the disclosure of unsolicited sovereign rating status affect bank ratings?," The British Accounting Review, Elsevier, vol. 49(2), pages 194-210.
    5. Fulli-Lemaire, Nicolas, 2013. "A Tale of Two Eurozones: Banks’s Funding, Sovereign Risk & Unconventional Monetary Policies," MPRA Paper 49072, University Library of Munich, Germany.
    6. Elisabetta Croci Angelini & Francesco Farina & Enzo Valentini, 2014. "Contagion across Eurozone's sovereign spreads and the Core-Periphery divide," Working Papers 45-2014, Macerata University, Department of Studies on Economic Development (DiSSE), revised Jan 2015.
    7. A. Pinna, 2014. "Shall We Keep Early Diers Alive?," Working Paper CRENoS 201411, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    8. Beniamino Moro, 2013. "The Run On Repo and the Liquidity Shortage Problems of the Current Global Financial Crisis: Europe vs. The US," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 2(1), pages 41-77, January.
    9. Diniz, Andre & Guimaraes, Bernardo, 2017. "How diabolic is the sovereign-bank loop? The effects of post-default fiscal policies," LSE Research Online Documents on Economics 86169, London School of Economics and Political Science, LSE Library.
    10. Marion Dupire & Christian Haddad & Regine Slagmulder, 2022. "The Importance of Board Risk Oversight in Times of Crisis," Journal of Financial Services Research, Springer;Western Finance Association, vol. 61(3), pages 319-365, June.
    11. Annika Westphal, 2015. "Systemic Risk in the European Union: A Network Approach to Banks’ Sovereign Debt Exposures," IJFS, MDPI, vol. 3(3), pages 1-36, July.
    12. Hasan, Iftekhar & Kim, Suk-Joong & Wu, Eliza, 2014. "The effects of ratings-contingent regulation on international bank lending behavior: Evidence from the Basel 2 accord," Bank of Finland Research Discussion Papers 25/2014, Bank of Finland.
    13. Kamga, Merlin Kuate & Wilde, Christian, 2017. "Liquidity premia in CDS markets," SAFE Working Paper Series 173, Leibniz Institute for Financial Research SAFE.
    14. Ugo Albertazzi & Tiziano Ropele & Gabriele Sene & Federico M. Signoretti, 2012. "The impact of the sovereign debt crisis on the activity of Italian banks," Questioni di Economia e Finanza (Occasional Papers) 133, Bank of Italy, Economic Research and International Relations Area.
    15. Agoraki, Maria-Eleni & Gounopoulos, Dimitrios & Kouretas, Georgios P., 2021. "Market expectations and the impact of credit rating on the IPOs of U.S. banks," Journal of Economic Behavior & Organization, Elsevier, vol. 189(C), pages 587-610.
    16. Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2014. "How the Euro-Area Sovereign-Debt Crisis Led to a Collapse in Bank Equity Prices," Discussion Papers in Economics 14/17, Division of Economics, School of Business, University of Leicester.
    17. Daniela Gabor & Cornel Ban, 2016. "Banking on Bonds: The New Links Between States and Markets," Journal of Common Market Studies, Wiley Blackwell, vol. 54(3), pages 617-635, May.
    18. Jörg Bibow, 2015. "The euro's savior? Assessing the ECB's crisis management performance and potential for crisis resolution," IMK Studies 42-2015, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    19. Javier Ojea Ferreiro, 2018. "Contagion spillovers between sovereign and financial European sector from a Delta CoVaR approach," Documentos de Trabajo del ICAE 2018-12, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    20. Thordur Jonasson & Mr. Michael G. Papaioannou, 2018. "A Primer on Managing Sovereign Debt-Portfolio Risks," IMF Working Papers 2018/074, International Monetary Fund.
    21. Ugo Albertazzi & Alessandro Notarpietro & Stefano Siviero, 2016. "An inquiry into the determinants of the profitability of Italian banks," Questioni di Economia e Finanza (Occasional Papers) 364, Bank of Italy, Economic Research and International Relations Area.
    22. María Cantero‐Saiz & Sergio Sanfilippo‐Azofra & Begoña Torre‐Olmo, 2022. "Sovereign Risk and the Bank Lending Channel: Differences across Countries and the Effects of the Financial Crisis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(1), pages 285-312, February.
    23. Beyer, Andreas & Alter, Adrian, 2013. "The dynamics of spillover effects during the European sovereign debt crisis," Working Paper Series 1558, European Central Bank.
    24. Neyer, Ulrike & Sterzel, André, 2018. "Preferential treatment of government bonds in liquidity regulation: Implications for bank behaviour and financial stability," DICE Discussion Papers 301, Heinrich Heine University Düsseldorf, Düsseldorf Institute for Competition Economics (DICE).
    25. Susanna Saroyan & Lilit Popoyan, 2017. "Bank-sovereign ties against interbank market integration: the case of the Italian segment," LEM Papers Series 2017/02, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    26. David Howarth & Lucia Quaglia, 2013. "Banking Union as Holy Grail: Rebuilding the Single Market in Financial Services, Stabilizing Europe's Banks and ‘Completing’ Economic and Monetary Union," Journal of Common Market Studies, Wiley Blackwell, vol. 51, pages 103-123, September.
    27. Wang, Zhanhao & Zhao, Hong & Li, Lingxiang, 2022. "The positive side of bank wealth management products: Evidence from bank lending rate," Journal of Financial Stability, Elsevier, vol. 58(C).
    28. Benjamin Käfer & Jochen Michaelis, 2012. "Länderrisiko: Die ökonomischen Konsequenzen einer Herabstufung durch die Ratingagenturen," Wirtschaftsdienst, Springer;ZBW - Leibniz Information Centre for Economics, vol. 92(2), pages 95-100, February.
    29. Marcin Borsuk & Błażej Lepczyński, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 1, pages 87-109.
    30. Robert Brooks & Robert Faff & Sirimon Treepongkaruna & Eliza Wu, 2015. "Do Sovereign Re-Ratings Destabilize Equity Markets during Financial Crises? New Evidence from Higher Return Moments," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 42(5-6), pages 777-799, June.
    31. Luigi Bocola, 2014. "The Pass-Through of Sovereign Risk," 2014 Meeting Papers 1286, Society for Economic Dynamics.
    32. Diniz, Andre & Guimaraes, Bernardo, 2014. "Financial disruption as a cost of sovereign default: a quantitative assessment," LSE Research Online Documents on Economics 86329, London School of Economics and Political Science, LSE Library.
    33. Michael Demoussis & Konstantinos Drakos & Nicholas Giannakopoulos, 2017. "The impact of sovereign ratings on euro zone SMEs’ credit rationing," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 44(5), pages 745-764, October.
    34. Sahibzada, Irfan Ullah & Rizwan, Muhammad Suhail & Qureshi, Anum, 2022. "Impact of sovereign credit ratings on systemic risk and the moderating role of regulatory reforms: An international investigation," Journal of Banking & Finance, Elsevier, vol. 145(C).
    35. Cycon, Lisa & Koetter, Michael, 2015. "Monetary policy under the microscope: Intra-bank transmission of asset purchase programs of the ECB," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112831, Verein für Socialpolitik / German Economic Association.
    36. Broto, Carmen & Molina, Luis, 2016. "Sovereign ratings and their asymmetric response to fundamentals," Journal of Economic Behavior & Organization, Elsevier, vol. 130(C), pages 206-224.
    37. Holtemöller, Oliver & Scherer, Jan-Christopher, 2018. "Sovereign Stress, Banking Stress, and the Monetary Transmission Mechanism in the Euro Area," ADBI Working Papers 811, Asian Development Bank Institute.
    38. Ferrando, Annalisa & Popov, Alexander & Udell, Gregory F., 2017. "Sovereign stress and SMEs’ access to finance: Evidence from the ECB's SAFE survey," Journal of Banking & Finance, Elsevier, vol. 81(C), pages 65-80.
    39. Martina Cecioni & Giuseppe Ferrero, 2012. "Determinants of TARGET2 imbalances," Questioni di Economia e Finanza (Occasional Papers) 136, Bank of Italy, Economic Research and International Relations Area.
    40. Fu, Xiaoqing (Maggie) & Lin, Yongjia (Rebecca) & Molyneux, Philip, 2014. "Bank efficiency and shareholder value in Asia Pacific," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 200-222.
    41. Bottero, Margherita & Lenzu, Simone & Mezzanotti, Filippo, 2020. "Sovereign debt exposure and the bank lending channel: Impact on credit supply and the real economy," Journal of International Economics, Elsevier, vol. 126(C).
    42. Alter, Adrian & Beyer, Andreas, 2014. "The dynamics of spillover effects during the European sovereign debt turmoil," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 134-153.
    43. Polat, Tandogan, 2016. "Essays on banking sector’s dynamics, expectations, preferences and impact," Other publications TiSEM d064f029-f91e-47bc-b6d3-0, Tilburg University, School of Economics and Management.
    44. Abad, Pilar & Alsakka, Rasha & ap Gwilym, Owain, 2018. "The influence of rating levels and rating convergence on the spillover effects of sovereign credit actions," Journal of International Money and Finance, Elsevier, vol. 85(C), pages 40-57.
    45. Noel, Dorian M. & Bangwayo-Skeete, Prosper F. & Brei, Michael & Robinson, Justin, 2021. "Sovereign risk spill-overs in the banking sectors of Central America and the Caribbean," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    46. Swamy, Vighneswara, 2013. "Euro Zone Debt Crisis: Implications for Indian Banking Sector," MPRA Paper 47658, University Library of Munich, Germany.
    47. Tran, Vu & Alsakka, Rasha & ap Gwilym, Owain, 2014. "Sovereign rating actions and the implied volatility of stock index options," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 101-113.
    48. Schertler, Andrea & Moch, Nils, 2021. "Bank foreign assets, government support and international spillover effects of sovereign rating events on bank stock prices," Journal of Banking & Finance, Elsevier, vol. 130(C).
    49. Dennis Bonam & Bart Hobijn, 2021. "Generalized Stability of Monetary Unions Under Regime Switching in Monetary and Fiscal Policies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(1), pages 73-94, February.
    50. Alfred Guender & Bernard Tolan, 2017. "The predictive ability of a risk-adjusted yield spread for economic activity in Europe," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 44(1), pages 1-27, February.
    51. Markus Eller & Thomas Reininger, 2016. "The influence of sovereign bond yields on bank lending rates: the pass-through in Europe," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 2, pages 54-78.
    52. Alsakka, Rasha & ap Gwilym, Owain & Vu, Tuyet Nhung, 2014. "The sovereign-bank rating channel and rating agencies' downgrades during the European debt crisis," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 235-257.
    53. Teresa Garcia & Daniel Borrego, 2017. "Markowitz Efficient Frontier And Capital Market Line – Evidence From The Portuguese Stock Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 22(1), pages 3-23.
    54. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
    55. Luque, Jaime, 2022. "The repo channel of cross-border lending in the European sovereign debt crisis," Journal of Financial Markets, Elsevier, vol. 59(PA).
    56. Milutin Ješić, 2013. "Implications of Fiscal Irresponsibility on Financial Stability," Journal of Central Banking Theory and Practice, Central bank of Montenegro, vol. 2(3), pages 111-138.
    57. Themistokles Lazarides & Evaggelos Drimpetas, 2016. "Defining the factors of Fitch rankings in the European banking sector," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 6(2), pages 315-339, August.
    58. Fiordelisi, Franco & Girardone, Claudia & Minnucci, Federica & Ricci, Ornella, 2020. "On the nexus between sovereign risk and banking crises," Journal of Corporate Finance, Elsevier, vol. 65(C).
    59. Panetta, Fabio & Correa, Ricardo & Davies, Michael & Di Cesare, Antonio & Marques, José-Manuel & Nadal de Simone, Francisco & Signoretti, Federico & Vespro, Cristina & Vildo, Siret & Wieland, Martin &, 2011. "The impact of sovereign credit risk on bank funding conditions," MPRA Paper 32581, University Library of Munich, Germany.
    60. Beltratti, Andrea & Stulz, Rene M., 2015. "Bank Sovereign Bond Holdings, Sovereign Shock Spillovers, and Moral Hazard durning the European Crisis," Working Paper Series 2015-06, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    61. Maria Teresa Medeiros Garcia & Daniel Alexandre Bourdain Santos Borrego, 2018. "Calculating the Efficient Frontier for the Portuguese Stock Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(4), pages 339-349, November.
    62. Elena Kalotychou & Eli Remolona & Eliza Wu, 2014. "What Makes Systemic Risk Systemic? Contagion and Spillovers in the International Sovereign Debt Market," Working Papers 072014, Hong Kong Institute for Monetary Research.
    63. Ricardo Correa & Kuan-Hui Lee & Horacio Sapriza & Gustavo A. Suarez, 2012. "Sovereign credit risk, banks' government support, and bank stock returns around the world," International Finance Discussion Papers 1069, Board of Governors of the Federal Reserve System (U.S.).
    64. Stângă, Irina M., 2014. "Bank bailouts and bank-sovereign risk contagion channels," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 17-40.
    65. Alter, Adrian & Schüler, Yves S., 2012. "Credit spread interdependencies of European states and banks during the financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3444-3468.
    66. Kosmidou, Kyriaki V. & Kousenidis, Dimitrios V. & Negakis, Christos I., 2015. "The impact of the EU/ECB/IMF bailout programs on the financial and real sectors of the ASE during the Greek sovereign crisis," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 440-454.
    67. Borsuk, Marcin & Lepczyński, Błażej, 2021. "Rating implikowany a koszt finansowania banków notowanych na Giełdzie Papierów Wartościowych w Warszawie," Gospodarka Narodowa-The Polish Journal of Economics, Szkoła Główna Handlowa w Warszawie / SGH Warsaw School of Economics, vol. 2021(01), March.
    68. Carlos Alberto Piscarreta Pinto Ferreira, 2023. "Drivers of Sovereign Bond Demand – The Case of Japans," Working Papers REM 2023/0264, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    69. Janbaz, M. & Hassan, M.K. & Floreani, J. & Dreassi, A., 2024. "Liquidity pressure and the sovereign-bank diabolic loop," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1039-1057.
    70. Georgoutsos, Dimitris & Moratis, George, 2017. "Bank-sovereign contagion in the Eurozone: A panel VAR Approach," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 146-159.
    71. Philip Turner, 2011. "Is the long-term interest rate a policy victim, a policy variable or a policy lodestar?," BIS Working Papers 367, Bank for International Settlements.
    72. Affinito, Massimiliano & Albareto, Giorgio & Santioni, Raffaele, 2022. "Purchases of sovereign debt securities by banks during the crisis: The role of balance sheet conditions," Journal of Banking & Finance, Elsevier, vol. 138(C).
    73. Broto, Carmen & Pérez-Quirós, Gabriel, 2015. "Disentangling contagion among sovereign CDS spreads during the European debt crisis," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 165-179.
    74. Witte, Niklas, 2024. "Capital requirements in Pillar 1 or Pillar 2: does it matter for market discipline?," Working Paper Series 2988, European Central Bank.
    75. CRISTE Adina & LUPU Iulia, 2013. "The Conflict Relation Between the Sovereign Debt of the Euro Area Countries and the Common Monetary Policy As a Potential Source For Geopolitical Changes," Anale. Seria Stiinte Economice. Timisoara, Faculty of Economics, Tibiscus University in Timisoara, vol. 0, pages 167-173, May.
    76. Opoku Mensah, Mary & Agbloyor, Elikplimi Komla & Harvey, Simon Kwadzogah & Fiador, Vera Ogeh, 2017. "Sovereign credit ratings and bank funding cost: Evidence from Africa," Research in International Business and Finance, Elsevier, vol. 42(C), pages 887-899.
    77. Li Lian Ong & Ceyla Pazarbasioglu, 2014. "Credibility and Crisis Stress Testing," IJFS, MDPI, vol. 2(1), pages 1-67, February.
    78. Tholl, Johannes & Schwarzbach, Christoph & Pittalis, Sandro & von Mettenheim, Hans-Jörg, 2020. "Bank funding and the recent political development in Italy: What about redenomination risk?," International Review of Law and Economics, Elsevier, vol. 64(C).
    79. Viral V Acharya & Tim Eisert & Christian Eufinger & Christian Hirsch, 2018. "Real Effects of the Sovereign Debt Crisis in Europe: Evidence from Syndicated Loans," The Review of Financial Studies, Society for Financial Studies, vol. 31(8), pages 2855-2896.
    80. Gajewski, Krzysztof & Olszewski, Krzysztof & Pawłowska, Małgorzata & Rogowski, Wojciech & Tchorek, Grzegorz & Zięba, Jolanta, 2012. "Integracja finansowa w Europie po wprowadzeniu euro. Przegląd literatury [Financial integration in Europe after the introduction of the euro. A literature overview]," MPRA Paper 42482, University Library of Munich, Germany.
    81. Guilherme Bandeira, 2018. "Fiscal transfers in a monetary union with sovereign risk," Working Papers 1807, Banco de España.
    82. Bellardini, Luca & Murro, Pierluigi & Previtali, Daniele, 2024. "Measuring the risk appetite of bank-controlling shareholders: The Risk-Weighted Ownership index," Global Finance Journal, Elsevier, vol. 60(C).
    83. Cifarelli, Giulio & Paladino, Giovanna, 2020. "A non-linear analysis of the sovereign bank nexus in the EU," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
    84. Oliver Picek, 2015. "A national public bank to finance a euro zone government: Getting the funds for investment and recovery packages," Working Papers 1512, New School for Social Research, Department of Economics.
    85. Masciantonio, Sergio & Tiseno, Andrea, 2012. "The rise and fall of universal banking: ups and downs of a sample of large and complex financial institutions since the late ‘90s," MPRA Paper 42494, University Library of Munich, Germany.

  9. Xisong Jin & Francisco Nadal de Simone, 2011. "Market- and Book-Based Models of Probability of Default for Developing Macroprudential Policy Tools," BCL working papers 65, Central Bank of Luxembourg.

    Cited by:

    1. Xisong Jin & Francisco Nadal De Simone, 2013. "Banking Systemic Vulnerabilities: A Tail-risk Dynamic CIMDO Approach," BCL working papers 82, Central Bank of Luxembourg.
    2. Xisong Jin & Francisco Nadal De Simone, 2012. "An Early-warning and Dynamic Forecasting Framework of Default Probabilities for the Macroprudential Policy Indicators Arsenal," BCL working papers 75, Central Bank of Luxembourg.
    3. Gaston Giordana & Ingmar Schumacher, 2012. "An Empirical Study on the Impact of Basel III Standards on Banks? Default Risk: The Case of Luxembourg," BCL working papers 79, Central Bank of Luxembourg.
    4. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
    5. Xisong Jin & Francisco Nadal De Simone, 2017. "Systemic Financial Sector and Sovereign Risks," BCL working papers 109, Central Bank of Luxembourg.
    6. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    7. Xisong Jin & Francisco Nadal De Simone, 2016. "Tracking Changes in the Intensity of Financial Sector's Systemic Risk," BCL working papers 102, Central Bank of Luxembourg.

  10. Francisco Nadal De Simone & Franco Stragiotti, 2010. "Market and Funding Liquidity Stress Testing of the Luxembourg Banking Sector," BCL working papers 45, Central Bank of Luxembourg.

    Cited by:

    1. Panetta, Fabio & Correa, Ricardo & Davies, Michael & Di Cesare, Antonio & Marques, José-Manuel & Nadal de Simone, Francisco & Signoretti, Federico & Vespro, Cristina & Vildo, Siret & Wieland, Martin &, 2011. "The impact of sovereign credit risk on bank funding conditions," MPRA Paper 32581, University Library of Munich, Germany.

  11. Francisco Nadal De Simone, 1997. "Current account and exchange rate behaviour under inflation targeting in a small open economy," Reserve Bank of New Zealand Discussion Paper Series G97/4, Reserve Bank of New Zealand.

    Cited by:

    1. Lars E. O. Svensson, 2000. "Open-Economy Inflation Targeting," NBER Working Papers 6545, National Bureau of Economic Research, Inc.
    2. Plasmans, J.E.J., 2001. "The Effects of Fiscal and Monetary Policy in an Open Economy : A Case of EU, the USA and Japan," Other publications TiSEM 26fda6a3-5cc0-43a3-894a-d, Tilburg University, School of Economics and Management.
    3. Sean Collins & Francisco Nadal De Simone & David Hargreaves, 1998. "The current account balance: an analysis of the issues," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 61, March.
    4. Francisco de A. Nadal-De Simone, 2001. "Inflation targeting in a small open economy: The behaviour of price variables," New Zealand Economic Papers, Taylor & Francis Journals, vol. 35(1), pages 101-142.

Articles

  1. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).

    Cited by:

    1. Jiang, Yong & Al-Nassar, Nassar S. & Ren, Yi-Shuai & Ma, Chao-Qun & Yang, Xiao-Guang, 2024. "Tail connectedness between category-specific policy uncertainty, sovereign debt risk, and stock volatility during a high inflation period," Research in International Business and Finance, Elsevier, vol. 70(PB).
    2. Sahibzada, Irfan Ullah & Rizwan, Muhammad Suhail & Qureshi, Anum, 2022. "Impact of sovereign credit ratings on systemic risk and the moderating role of regulatory reforms: An international investigation," Journal of Banking & Finance, Elsevier, vol. 145(C).
    3. Cipollini, Fabrizio & Ielasi, Federica & Querci, Francesca, 2024. "Asset encumbrance in banks: Is systemic risk affected?," Research in International Business and Finance, Elsevier, vol. 67(PA).

  2. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).

    Cited by:

    1. Laleh Tafakori & Armin Pourkhanali & Riccardo Rastelli, 2022. "Measuring systemic risk and contagion in the European financial network," Empirical Economics, Springer, vol. 63(1), pages 345-389, July.
    2. Kaspereit, Thomas, 2024. "Mandatory disclosure of open-ended real estate fund shares that are registered for redemption?," International Review of Law and Economics, Elsevier, vol. 80(C).
    3. Yudistira Permana & Saiqa Akbar & Anisa Nurpita, 2022. "Systemic risk and the financial network system: an experimental investigation," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 631-651, December.
    4. Armanious, Amir, 2024. "Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system," Journal of Financial Stability, Elsevier, vol. 73(C).
    5. Foglia, Matteo & Addi, Abdelhamid & Wang, Gang-Jin & Angelini, Eliana, 2022. "Bearish Vs Bullish risk network: A Eurozone financial system analysis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    6. Susanti, Yuli, 2024. "Enhancing Employee Pension Fund Performance for Sustainable Economic Growth in Indonesia," Warwick-Monash Economics Student Papers 80, Warwick Monash Economics Student Papers.
    7. Holm-Hadulla, Fédéric & Mazelis, Falk & Rast, Sebastian, 2023. "Bank and non-bank balance sheet responses to monetary policy shocks," Economics Letters, Elsevier, vol. 222(C).
    8. Nadal De Simone, Francisco, 2021. "Measuring the deadly embrace: Systemic and sovereign risks," Research in International Business and Finance, Elsevier, vol. 56(C).
    9. Georg Leitner & Teresa Hübel & Anna Wolfmayr & Manuel Zerobin, 2021. "How risky is Monetary Policy? The Effect of Monetary Policy on Systemic Risk in the Euro Area," Department of Economics Working Papers wuwp312, Vienna University of Economics and Business, Department of Economics.
    10. Skouralis, Alexandros, 2021. "The role of systemic risk spillovers in the transmission of Euro Area monetary policy," ESRB Working Paper Series 129, European Systemic Risk Board.
    11. De Simone, Francisco Nadal, 2024. "The transmission of U.S. monetary policy to small open economies," Journal of International Money and Finance, Elsevier, vol. 142(C).
    12. Kabundi, Alain & De Simone, Francisco Nadal, 2022. "Euro area banking and monetary policy shocks in the QE era," Journal of Financial Stability, Elsevier, vol. 63(C).
    13. Alexandros Skouralis, 2021. "Systemic Risk Spillovers Across the EURO Area," Working Papers 326919507, Lancaster University Management School, Economics Department.
    14. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.

  3. Igan, Deniz & Kabundi, Alain & De Simone, Francisco Nadal & Tamirisa, Natalia, 2017. "Monetary policy and balance sheets," Journal of Policy Modeling, Elsevier, vol. 39(1), pages 169-184.

    Cited by:

    1. Kauko, Karlo & Punzi, Maria Teresa, 2015. "Testing the global banking glut hypothesis," FinMaP-Working Papers 41, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    2. Spelta, A. & Pecora, N. & Rovira Kaltwasser, P., 2019. "Identifying Systemically Important Banks: A temporal approach for macroprudential policies," Journal of Policy Modeling, Elsevier, vol. 41(1), pages 197-218.
    3. Kabundi, Alain & De Simone, Francisco Nadal, 2020. "Monetary policy and systemic risk-taking in the euro area banking sector," Economic Modelling, Elsevier, vol. 91(C), pages 736-758.
    4. Jorge Mario Uribe Gil & Isabel Espinosa Castillo, 2018. "Efectos asimétricos de cambios en la tasa de interés sobre empresas del sector manufacturero colombiano," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 10(1), pages 173-187, February.
    5. Budnik, Katarzyna & Bochmann, Paul, 2017. "Capital and liquidity buffers and the resilience of the banking system in the euro area," Working Paper Series 2120, European Central Bank.
    6. Mariya A. Shchepeleva, 2020. "Modeling the Balance Sheet Channel of Monetary Transmission in Russia," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 39-56, April.
    7. Fiorelli, Cristiana & Meliciani, Valentina, 2019. "Economic growth in the era of unconventional monetary instruments: A FAVAR approach," Journal of Macroeconomics, Elsevier, vol. 62(C).
    8. Chen, Yi-Pei & Chen, Yu-Lun & Chiang, Shu-Hen & Mo, Wan-Shin, 2023. "Determinants of connectedness in financial institutions: Evidence from Taiwan," Emerging Markets Review, Elsevier, vol. 55(C).
    9. Bhar, Ramaprasad & Malliaris, A.G., 2021. "Modeling U.S. monetary policy during the global financial crisis and lessons for Covid-19," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 15-33.
    10. Ouerk, Salima & Boucher, Christophe & Lubochinsky, Catherine, 2020. "Unconventional monetary policy in the Euro Area: Shadow rate and light effets," Journal of Macroeconomics, Elsevier, vol. 65(C).
    11. Auer, Simone, 2019. "Monetary policy shocks and foreign investment income: Evidence from a large Bayesian VAR," Journal of International Money and Finance, Elsevier, vol. 93(C), pages 142-166.
    12. Byrne, David & Kelly, Robert, 2019. "Monetary policy expectations and risk-taking among U.S. banks," Research Technical Papers 6/RT/19, Central Bank of Ireland.
    13. Gebauer, Stefan & Mazelis, Falk, 2023. "Macroprudential regulation and leakage to the shadow banking sector," European Economic Review, Elsevier, vol. 154(C).
    14. A. Ajisafe, Rufus & D. Odejide, Adekunle & M. Ajide, Folorunsho, 2021. "Monetary Policy And Financial Stability In Nigeria," Ilorin Journal of Economic Policy, Department of Economics, University of Ilorin, vol. 8(2), pages 17-35, June.
    15. Serdar Varlik & M. Hakan Berument, 2020. "Monetary policy under a multiple‐tool environment," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 225-250, July.
    16. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
    17. Gebauer, Stefan & Mazelis, Falk, 2018. "The Role of Shadow Banking for Financial Regulation," VfS Annual Conference 2018 (Freiburg, Breisgau): Digital Economy 181581, Verein für Socialpolitik / German Economic Association.
    18. Mazelisy, Falk, 2015. "The role of shadow banking in the monetary transmission mechanism and the business cycle," SFB 649 Discussion Papers 2015-040, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    19. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    20. Kabundi, Alain & De Simone, Francisco Nadal, 2022. "Euro area banking and monetary policy shocks in the QE era," Journal of Financial Stability, Elsevier, vol. 63(C).
    21. Darja Milic, 2021. "The impact of non-banking financial institutions on monetary policy transmission in Euro area," Empirical Economics, Springer, vol. 61(4), pages 1779-1817, October.
    22. Cozzi, Gabriele & Darracq Pariès, Matthieu & Karadi, Peter & Körner, Jenny & Kok, Christoffer & Mazelis, Falk & Nikolov, Kalin & Rancoita, Elena & Van der Ghote, Alejandro & Weber, Julien, 2020. "Macroprudential policy measures: macroeconomic impact and interaction with monetary policy," Working Paper Series 2376, European Central Bank.
    23. Mazelis, Falk, 2014. "Monetary policy effects on financial intermediation via the regulated and the shadow banking systems," SFB 649 Discussion Papers 2014-056, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    24. Alim, Wajid & Ali, Amjad & Metla, Mahwish Rauf, 2021. "The Effect of Liquidity Risk Management on Financial Performance of Commercial Banks in Pakistan," MPRA Paper 112482, University Library of Munich, Germany.

  4. Jin, Xisong & Nadal De Simone, Francisco de A., 2014. "Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 81-101.
    See citations under working paper version above.
  5. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.

    Cited by:

    1. Souza, Sergio R.S. & Tabak, Benjamin M. & Silva, Thiago C. & Guerra, Solange M., 2015. "Insolvency and contagion in the Brazilian interbank market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 431(C), pages 140-151.
    2. Jin, Xisong & Nadal De Simone, Francisco, 2020. "Monetary policy and systemic risk-taking in the Euro area investment fund industry: A structural factor-augmented vector autoregression analysis," Journal of Financial Stability, Elsevier, vol. 49(C).
    3. Kabundi, Alain & De Simone, Francisco Nadal, 2022. "Euro area banking and monetary policy shocks in the QE era," Journal of Financial Stability, Elsevier, vol. 63(C).
    4. Silva, Walmir & Kimura, Herbert & Sobreiro, Vinicius Amorim, 2017. "An analysis of the literature on systemic financial risk: A survey," Journal of Financial Stability, Elsevier, vol. 28(C), pages 91-114.

  6. Kabundi, Alain & Nadal De Simone, Francisco, 2012. "Recent French relative export performance: Is there a competitiveness problem?," Economic Modelling, Elsevier, vol. 29(4), pages 1408-1435.

    Cited by:

    1. Igan, Deniz & Kabundi, Alain & Nadal De Simone, Francisco & Pinheiro, Marcelo & Tamirisa, Natalia, 2011. "Housing, credit, and real activity cycles: Characteristics and comovement," Journal of Housing Economics, Elsevier, vol. 20(3), pages 210-231, September.

  7. Igan, Deniz & Kabundi, Alain & Nadal De Simone, Francisco & Pinheiro, Marcelo & Tamirisa, Natalia, 2011. "Housing, credit, and real activity cycles: Characteristics and comovement," Journal of Housing Economics, Elsevier, vol. 20(3), pages 210-231, September.

    Cited by:

    1. Kauko, Karlo & Punzi, Maria Teresa, 2015. "Testing the global banking glut hypothesis," FinMaP-Working Papers 41, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
    2. Mr. Pau Rabanal & Mr. Christopher W. Crowe & Mr. Giovanni Dell'Ariccia & Ms. Deniz O Igan, 2011. "How to Deal with Real Estate Booms: Lessons from Country Experiences," IMF Working Papers 2011/091, International Monetary Fund.
    3. Octavio Fernández-Amador & Martin Gächter & Friedrich Sindermann, 2016. "Finance-augmented business cycles: A robustness check," Economics Bulletin, AccessEcon, vol. 36(1), pages 132-144.
    4. Sofoklis Vogiazas & Constantinos Alexiou, 2017. "Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 45(1), pages 119-131, March.
    5. Theodore Panagiotidis & Panagiotis Printzis, 2016. "On the macroeconomic determinants of the housing market in Greece: a VECM approach," International Economics and Economic Policy, Springer, vol. 13(3), pages 387-409, July.
    6. Konstantin A. Kholodilin & Sebastian Kohl & Florian Müller, 2023. "Government-Made House Price Bubbles? Austerity, Homeownership, Rental, and Credit Liberalization Policies and the “Irrational Exuberance” on Housing Markets," Discussion Papers of DIW Berlin 2061, DIW Berlin, German Institute for Economic Research.
    7. Bracke, Philippe, 2013. "How long do housing cycles last? A duration analysis for 19 OECD countries," Journal of Housing Economics, Elsevier, vol. 22(3), pages 213-230.
    8. Eugenio Caverzasi & Alberto Russo, 2018. "Toward a New Microfounded Macroeconomics in the Wake of the Crisis," LEM Papers Series 2018/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    9. Rozite, Kristiana & Bezemer, Dirk J. & Jacobs, Jan P.A.M., 2019. "Towards a financial cycle for the U.S., 1973–2014," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
    10. Li, Xiao-Lin & Yan, Jing & Wei, Xiaohui, 2021. "Dynamic connectedness among monetary policy cycle, financial cycle and business cycle in China," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 640-652.
    11. Kuang-Liang Chang & Ming-Hui Yen, 2014. "The magnitude and significance of macroeconomic variables in explaining regional housing fluctuations," Economics Bulletin, AccessEcon, vol. 34(2), pages 828-841.
    12. Umberto Filotto & Claudio Giannotti & Gianluca Mattarocci & Xenia Scimone, 2021. "The Influence of Macro factors On Residential Mortgage In Italy," International Journal of Business Research and Management (IJBRM), Computer Science Journals (CSC Journals), vol. 12(3), pages 103-115, June.
    13. Park, Hail, 2018. "The cyclical properties of capital inflows in emerging market economies," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 371-382.
    14. Samarina, Anna & Zhang, Lu & Bezemer, Dirk, 2017. "Credit cycle coherence in the eurozone: Was there a euro effect?," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 77-98.
    15. Chen, Yunping & Chen, Huanhuan & Li, Guorong & Jiao, Dongdan & Xu, Xiangyun, 2021. "Time-varying effect of macro-prudential policies on household credit growth: Evidence from China," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 241-254.
    16. Tripathi, Sabyasachi, 2019. "Macroeconomic Determinants of Housing Prices: A Cross Country Level Analysis," MPRA Paper 98089, University Library of Munich, Germany.
    17. Anupam Nanda & Jia-Huey Yeh, 2016. "International Transmission Mechanisms and Contagion in Housing Markets," The World Economy, Wiley Blackwell, vol. 39(7), pages 1005-1024, July.
    18. Yuming Li & Jing Yang, 2018. "House Price Dynamics and Excess Risk," International Real Estate Review, Global Social Science Institute, vol. 21(2), pages 251-274.
    19. Luca Agnello & Vitor Castro & Ricardo M. Sousa, 2020. "The Housing Cycle: What Role for Mortgage Market Development and Housing Finance?," The Journal of Real Estate Finance and Economics, Springer, vol. 61(4), pages 607-670, November.
    20. Thornton, John & Vasilakis, Chrysovalantis, 2023. "Bank regulations and surges and stops in credit: Panel evidence," Journal of Financial Stability, Elsevier, vol. 67(C).
    21. David Gray, 2020. "An international housing market in the British Isles: Evidence from business and medium-term cycles using a Friedman test," Urban Studies, Urban Studies Journal Limited, vol. 57(2), pages 307-322, February.
    22. Engelbert Stockhammer & Robert Calvert Jump & Karsten Kohler & Julian Cavallero, 2018. "Short and medium term financial-real cycles: An empirical assessment," FMM Working Paper 29-2018, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    23. Mundra, Sruti & Bicchal, Motilal, 2024. "Financial cycle comovement with monetary and macroprudential policy and global factors: Evidence from India," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    24. Huang, Yuting & Li, Qiang & Liow, Kim Hiang & Zhou, Xiaoxia, 2020. "Is Housing the Business Cycle? A Multiresolution Analysis for OECD Countries," Journal of Housing Economics, Elsevier, vol. 49(C).
    25. Kyriakou, Maria I. & Babalos, Vassilios & Kiohos, Apostolos & Koulakiotis, Athanasios, 2020. "Feedback trading strategies and long-term volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 181-189.
    26. Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.
    27. Constantinescu, Mihnea & Lastauskas, Povilas, 2018. "The knotty interplay between credit and housing," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 241-266.
    28. MeiChi Huang & Tzu-Chien Wang, 2015. "Housing-bubble vulnerability and diversification opportunities during housing boom–bust cycles: evidence from decomposition of asset price returns," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 54(2), pages 605-637, March.
    29. Ms. Deniz O Igan & Alain N. Kabundi & Mr. Francisco d Nadal De Simone & Ms. Natalia T. Tamirisa, 2013. "Monetary Policy and Balance Sheets," IMF Working Papers 2013/158, International Monetary Fund.
    30. Makojević Nikola & Veselinović Petar & Kalinić Ljubina, 2015. "Can a Multinational Company Create a Real Estate “Bubble” at the Local Level? The Case of Fiat and City of Kragujevac," Economic Themes, Sciendo, vol. 53(4), pages 519-534, December.
    31. N. Kundan Kishor & Hardik A. Marfatia, 2017. "The Dynamic Relationship Between Housing Prices and the Macroeconomy: Evidence from OECD Countries," The Journal of Real Estate Finance and Economics, Springer, vol. 54(2), pages 237-268, February.
    32. Paolo Guarda & Alban Moura, 2019. "Measuring real and financial cycles in Luxembourg: An unobserved components approach," BCL working papers 126, Central Bank of Luxembourg.
    33. Stefan Ederer & Miriam Rehm, 2018. "Making sense of Piketty’s ‘fundamental laws’ in a Post-Keynesian framework," Working Papers PKWP1808, Post Keynesian Economics Society (PKES).
    34. Andreani, Michele & Giri, Federico, 2024. "Mortgages, house prices, and business cycle dynamic: A medium-run exploration using the continuous wavelet transform," International Review of Economics & Finance, Elsevier, vol. 94(C).

  8. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.

    Cited by:

    1. Ms. Natalia T. Tamirisa & Alain N. Kabundi & Ms. Deniz O Igan & Mr. Francisco d Nadal De Simone & Marcelo Pinheiro, 2009. "Three Cycles: Housing, Credit, and Real Activity," IMF Working Papers 2009/231, International Monetary Fund.
    2. Kabundi, Alain & Nadal De Simone, Francisco, 2012. "Recent French relative export performance: Is there a competitiveness problem?," Economic Modelling, Elsevier, vol. 29(4), pages 1408-1435.
    3. Xisong Jin & Francisco Nadal De Simone, 2015. "Investment funds? vulnerabilities: A tail-risk dynamic CIMDO approach," BCL working papers 95, Central Bank of Luxembourg.
    4. Igan, Deniz & Kabundi, Alain & Nadal De Simone, Francisco & Pinheiro, Marcelo & Tamirisa, Natalia, 2011. "Housing, credit, and real activity cycles: Characteristics and comovement," Journal of Housing Economics, Elsevier, vol. 20(3), pages 210-231, September.
    5. Jin, Xisong & Nadal De Simone, Francisco, 2014. "A framework for tracking changes in the intensity of investment funds' systemic risk," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 343-368.
    6. Mustafa Çakir & Alain Kabundi, 2017. "Transmission of China's Shocks to the BRIS Countries," South African Journal of Economics, Economic Society of South Africa, vol. 85(3), pages 430-454, September.
    7. Alain Kabundi, 2009. "Synchronisation Between South Africa And The U.S.: A Structural Dynamic Factor Analysis," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 1-27, March.

  9. Luc Everaert & Francisco Simone, 2007. "Improving the estimation of total factor productivity growth: capital operating time in a latent variable approach," Empirical Economics, Springer, vol. 33(3), pages 449-468, November.

    Cited by:

    1. Wenhan Ren & Yu Chen, 2022. "Realizing the Improvement of Green Total Factor Productivity of the Marine Economy—New Evidence from China’s Coastal Areas," IJERPH, MDPI, vol. 19(14), pages 1-22, July.
    2. Mark Smith & Stefan Zagelmeyer, 2010. "Working time management and SME performance in Europe," International Journal of Manpower, Emerald Group Publishing Limited, vol. 31(4), pages 392-409, July.
    3. Michalô °€ Brzozowski, 2020. "Impact of Credit Market Development and Stability on Productivity: New Evidence from the Industry Level," Annals of Economics and Finance, Society for AEF, vol. 21(1), pages 111-129, May.

  10. Nadal De Simone, Francisco & Clarke, Sean, 2007. "Asymmetry in business fluctuations: International evidence on Friedman's plucking model," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 64-85, February.

    Cited by:

    1. Pierre-Guillaume Méon & Giuseppe Diana, 2008. "Monetary policy in the presence of asymmetric wage indexation," ULB Institutional Repository 2013/8354, ULB -- Universite Libre de Bruxelles.
    2. Mayes, David & Virén, Matti, 2008. "The Impact of Asset Prices and Their Information Value for Monetary Policy11David Mayes is director, Europe Institute, University of Auckland, private bag 92019, Auckland 1142, New Zealand: e-mail: d.," The Journal of Economic Asymmetries, Elsevier, vol. 5(2), pages 1-26.
    3. Bradley Michael D. & Jansen Dennis W., 2018. "Nonlinear evidence on the existence of jobless recoveries," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(1), pages 1-19, February.
    4. David Mayes & Matti Virén, 2010. "The Impact of Asset Prices and their Information Value for Monetary Policy," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 28(61), pages 134-167, August.
    5. Stelios D. Bekiros & Roberta Cardani & Alessia Paccagnini & Stefania Villa, 2016. "Dealing with Financial Instability under a DSGE modeling approach with Banking Intermediation: a predictability analysis versus TVP-VARs," Open Access publications 10197/7323, School of Economics, University College Dublin.
    6. Alain Kabundi & Francisco Nadal De Simone, 2011. "France in the global economy: a structural approximate dynamic factor model analysis," Empirical Economics, Springer, vol. 41(2), pages 311-342, October.
    7. Gabriel Rodríguez, 2010. "Application of three non-linear econometric approaches to identify business cycles in Peru," Documentos de Trabajo / Working Papers 2010-284, Departamento de Economía - Pontificia Universidad Católica del Perú.
    8. International Monetary Fund, 2006. "Kingdom of the Netherlands: Netherlands Antilles: Selected Issues and Statistical Appendix," IMF Staff Country Reports 2006/117, International Monetary Fund.
    9. Jing Lian Suah, 2024. "The "plucking" model of the unemployment rate floor: Corss-country estimates and empirics," BIS Working Papers 1159, Bank for International Settlements.
    10. Chai, Jian & Xing, Li-Min & Zhou, Xiao-Yang & Zhang, Zhe George & Li, Jie-Xun, 2018. "Forecasting the WTI crude oil price by a hybrid-refined method," Energy Economics, Elsevier, vol. 71(C), pages 114-127.
    11. Emara, Noha & Ma, Jinpeng, 2019. "An Analysis of the Seasonal Cycle and the Business Cycle," MPRA Paper 99310, University Library of Munich, Germany.

  11. Francisco de A. Nadal-De Simone, 2001. "Inflation targeting in a small open economy: The behaviour of price variables," New Zealand Economic Papers, Taylor & Francis Journals, vol. 35(1), pages 101-142.

    Cited by:

    1. Francisco Nadal De Simone, 2001. "Inflation Forecasting in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 4(3), pages 59-85, December.
    2. Lucjan T Orlowski, 2005. "Monetary Convergence of the EU Candidates to the Euro: A Theoretical Framework and Policy Implications," Macroeconomics 0501032, University Library of Munich, Germany.
    3. David Mayes & Matti Virén, 2000. "The exchange rate and monetary conditions in the Euro area," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 136(2), pages 199-231, June.
    4. De Simone, Francisco Nadal, 2024. "The transmission of U.S. monetary policy to small open economies," Journal of International Money and Finance, Elsevier, vol. 142(C).

  12. Francisco De A. Nadal‐De Simone, 2001. "Inflation Targeters In Practice: A Lucky Lot?," Contemporary Economic Policy, Western Economic Association International, vol. 19(3), pages 239-253, July.

    Cited by:

    1. Bonga-Bonga, Lumengo & Kabundi, Alain, 2015. "Monetary Policy Instrument and Inflation in South Africa: Structural Vector Error Correction Model Approach," MPRA Paper 63731, University Library of Munich, Germany.
    2. Bonga-Bonga, Lumengo, 2017. "Assessing the effectiveness of the monetary policy instrument during the inflation targeting period in South Africa," MPRA Paper 80794, University Library of Munich, Germany.
    3. Michael J. Dueker & Andreas M. Fischer, 2006. "Do inflation targeters outperform non-targeters?," Review, Federal Reserve Bank of St. Louis, vol. 88(Sep), pages 431-450.
    4. Salomón Kalmanovitz, 2001. "El Banco De La República Y El Régimen De Meta De Inflación," Borradores de Economia 2460, Banco de la Republica.

  13. Sean Collins & Francisco Nadal De Simone & David Hargreaves, 1998. "The current account balance: an analysis of the issues," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 61, March.

    Cited by:

    1. Anne-Marie Brook & Sean Collins & Christie Smith, 1998. "The 1991-97 business cycle in review," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 61, December.
    2. Erhan Oruç, 2024. "Sustainability of the Current Account in Developing Countries: A Fourier Wavelet-Based Unit Root Test," Sustainability, MDPI, vol. 16(17), pages 1-14, August.
    3. Aaron Drew, 2001. "Lessons from Inflation Targeting in New Zealand," Working Papers Central Bank of Chile 113, Central Bank of Chile.
    4. Kim Kunhong & Hall Viv & Buckle Robert, 2010. "New Zealand's Current Account Deficit: Analysis based on the Intertemporal Optimisation Approach," EcoMod2002 330800040, EcoMod.
    5. Christian Hawkesby, 2000. "Maintaining financial system stability: the role of macro-prudential indicators," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 63, June.
    6. Leslie Hull, 2002. "Corporate behaviour and the balance of payments," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 65, December.
    7. Jean-Pierre Andre, 2011. "Economic Imbalances: New Zealand's Structural Challenge," Treasury Working Paper Series 11/03, New Zealand Treasury.
    8. Kim, Kunhong & Hall, Viv B. & Buckle, Robert A., 2006. "Consumption-smoothing in a small, cyclically volatile open economy: Evidence from New Zealand," Journal of International Money and Finance, Elsevier, vol. 25(8), pages 1277-1295, December.

  14. Francisco Nadal de Simone & Jose Tongzon, 1997. "Is there a business cycle in Singapore? Is there a Singaporean business cycle?," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 25(1), pages 60-79, March.

    Cited by:

    1. Nadal De Simone, Francisco & Clarke, Sean, 2007. "Asymmetry in business fluctuations: International evidence on Friedman's plucking model," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 64-85, February.
    2. Jose L. Tongzon, 2002. "The Economies of Southeast Asia, Second Edition," Books, Edward Elgar Publishing, number 2029.
    3. De Simone, Francisco Nadal, 2024. "The transmission of U.S. monetary policy to small open economies," Journal of International Money and Finance, Elsevier, vol. 142(C).
    4. Francisco De A. Nadal‐De Simone, 2001. "Inflation Targeters In Practice: A Lucky Lot?," Contemporary Economic Policy, Western Economic Association International, vol. 19(3), pages 239-253, July.

  15. Francisco D. A. Nadal De Simone, 1995. "A Macroeconomic Perspective Of Afta'S Problems And Prospects," Contemporary Economic Policy, Western Economic Association International, vol. 13(2), pages 49-62, April.

    Cited by:

    1. Manchin, Miriam & Pelkmans-Balaoing, Annette O., 2008. "Clothes without an Emperor: Analysis of the preferential tariffs in ASEAN," Journal of Asian Economics, Elsevier, vol. 19(3), pages 213-223, June.

  16. Serafino Marchese & Francisco Simone, 1989. "Monotonicity of indices of “Revealed“ comparative advantage: Empirical evidence on Hillman’s condition," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 125(1), pages 158-167, March.

    Cited by:

    1. Áron TÖRÖK & Attila JÁMBOR, 2013. "Agri-food trade of the new member states since the EU accession," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 59(3), pages 101-112.
    2. Štefan Bojnec & Imre Fertő, 2008. "European Enlargement and Agro‐Food Trade," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 56(4), pages 563-579, December.
    3. Ufuk Gunes Bebek, 2011. "Monotonicity of additive indices of revealed comparative advantage," Economics Bulletin, AccessEcon, vol. 31(2), pages 1894-1901.
    4. Abhijit Sharma & Michael Dietrich, 2005. "The Indian Economy Since Liberalisation: the Structure and Composition of Exports and Industrial Transformation (1980 – 2000)," International Trade 0510015, University Library of Munich, Germany.
    5. Gordon, Mirta B. & Pereto, Pierre & Rodriguez-Girones, Miguel, 1992. "Learning in feed-forward neural networks by improving the performance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 185(1), pages 402-410.
    6. Mohammad Sharif Karimi & Mehran Malekshahian, 2018. "Ricardian Comparative Advantage: Impact of Specialization on the Exportation of Products in ASEAN Countries," Annals of Economics and Finance, Society for AEF, vol. 19(2), pages 473-522, November.

  17. Gerlach, Stefan & Nadal de Simone, Francisco, 1985. "A money demand equation for Brazil : Comments and additional evidence," Journal of Development Economics, Elsevier, vol. 18(2-3), pages 493-501, August.

    Cited by:

    1. Wilson Luiz Rotatori & Jan M Podivinsky, 2007. "Dynamic Macroeconometric Modelling: Evidence on the Brazilian Monetary System," EcoMod2007 23900078, EcoMod.
    2. Tourinho, Octávio A. F ., 1997. "The Demand and Supply of Money Under High Inflation: Brazil 1974-1994," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 17(2), November.
    3. Feliz, Raul Anibal & Welch, John H., 1997. "Cointegration and tests of a classical model of inflation in Argentina, Bolivia, Brazil, Mexico, and Peru," Journal of Development Economics, Elsevier, vol. 52(1), pages 189-219, February.
    4. Wilson Luiz Rotatori Correa, 2009. "Dynamic Structural Models and the High Ination Period in Brazil: Modelling the Monetary System," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 10(1), pages 69-100.
    5. Wilson Luiz Rotatori, 2006. "Dynamic Structural Models And The High Inflation Period In Brazil: Modelling The Monetary System," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 44, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    6. Buffie, Edward F, 1999. "Public Sector Wage Cycles and the Co-movement of the Fiscal Deficit and Inflation in Less-Developed Countries," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(4), pages 785-810, November.

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