Encontrados 4 documentos, a visualizar página 1 de 1
Zombie-lending in the United States prevalence versus relevance
Göbel, Maximilian; Tavares, NunoExtraordinary fiscal and monetary interventions in response to the COVID-19 pandemic have revived concerns abou tzombie prevalence in advanced economies.The literature has already linked this phenomenon {observed over the course of the last two decades {to impeding the performance of healthy firms in Japan and Europe.To make the case for the United States, we analyze banks' and capital markets'zombie-lending pr...
Indicators of Economic Crises : A Data-Driven Clustering Approach
Göbel, Maximilian; Araújo, TanyaThe determination of reliable early-warning indicators of economic crises is a hot topic in economic sciences. Pinning down recurring patterns or combinations of macroeconomic indicators is indispensable for adequate policy adjustments to prevent a looming crisis. We investigate the ability of several macroeconomic variables telling crisis countries apart from non-crisis economies. We introduce a selfcalibrated...
Reframing the S&P 500 network of stocks along the 21st century
Araújo, Tanya; Göbel, MaximilianBased on a sample of 296 stocks from the S&P 500, the time-varying network structure within three distinct two-year periods since the beginning of the 21st century was analyzed. Logged first-differences of daily stock prices serve as input for a correlation based distance measure between any two of the 296 stocks. The computation of a Minimal Spanning Tree then abstracts from a complete network and allows for a...
The 21st century : cluster formation in the S&P 500
Göbel, Maximilian; Araújo, TanyaSince the beginning of the new millennium, investing in the stock market must have felt like a ride on the roller-coaster. The market went through every state between long-time troughs, trade suspensions and all-time highs.Such turbulent periods give all kinds of portfolio managers a hard time, with correlations of stock returns frequently varying. A deeper understanding of the dynamics within the market and th...