Browsing LIF-SAFE Working Papers by JEL Classification "C22"

Now showing items 1-3 of 3

    • A Quasi Real-Time Leading Indicator for the EU Industrial Production 

      Donadelli, Michael; Paradiso, Antonio; Riedel, Max (2016-01-04)
      We build a quasi real-time leading indicator (LI) for the EU industrial production (IP). Differently from previous studies, the technique developed in this paper gives rise to an ex-ante LI that is immune to “overlapping ...

    • Liquidity Premia in CDS Markets 

      Kamga, Merlin Kuate; Wilde, Christian (2017-07-14)
      We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it ...

    • Systemic risk for financial institutions of major petroleum-based economies: The role of oil 

      Khalifa, Ahmed; Caporin, Massimiliano; Costola, Michele; Hammoudeh, Shawkat (2017-11-05)
      This paper examines the relationship between oil price movements and systemic risk of many financial institutions in major petroleum-based economies. We estimate ?CoVaR for those institutions and thereby observe the presence ...