Search Results - "Peltonen, Tuomas A."

Predicting distress in European banks by Betz, Frank, Oprică, Silviu, Peltonen, Tuomas A., Sarlin, Peter

“…•The paper introduces an early-warning model for bank distress.•It introduces a novel dataset for bank distress in Europe.•The model is calibrated to…”
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Assessing systemic risks and predicting systemic events by Duca, Marco Lo, Peltonen, Tuomas A.

“…► We develop a framework for assessing systemic risks and predicting systemic events. ► We introduce a method to identify the starting date of systemic…”
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The network structure of the CDS market and its determinants by Peltonen, Tuomas A., Scheicher, Martin, Vuillemey, Guillaume

“…•We describe the network structure of the CDS market.•Activity and credit risk exposures are concentrated.•We estimate the determinants of the CDS network…”
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Wealth effects in emerging market economies by Peltonen, Tuomas A., Sousa, Ricardo M., Vansteenkiste, Isabel S.

“…We build a panel of 14 emerging economies to estimate the magnitude of wealth effects on consumption. Using modern econometric techniques and quarterly data,…”
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Systemic risk spillovers in the European banking and sovereign network by Betz, Frank, Hautsch, Nikolaus, Peltonen, Tuomas A., Schienle, Melanie

“…•We present a framework for estimating and visualizing network-driven time-varying systemic risk contributions.•It explicitly links bank interconnectedness to…”
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Network linkages to predict bank distress by Constantin, Andreea, Peltonen, Tuomas A., Sarlin, Peter

“…•We propose a two-step estimation for merging contagion effects with bank distress models.•Two types of contagion mechanisms: country-level and via an…”
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Mapping the state of financial stability by Sarlin, Peter, Peltonen, Tuomas A.

“…•The paper introduces modern mapping techniques to the finance community.•It introduces a Self-Organizing Financial Stability Map (SOFSM).•It maps the state of…”
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Financial cycles: Characterisation and real-time measurement by Schüler, Yves S., Hiebert, Paul P., Peltonen, Tuomas A.

“…•Financial cycles differ across G-7 countries in terms of duration.•We propose a method to construct country-specific financial cycles.•Country-specific…”
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Exchange Rate Pass-Through in the Global Economy: The Role of Emerging Market Economies by BUSSIÈRE, MATTHIEU, DELLE CHIAIE, SIMONA, PELTONEN, TUOMAS A.

“…This paper estimates export and import price equations for 40 countries—including 22 emerging market economies (EMEs)—and aims to understand heterogeneity…”
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Disentangling the bond–CDS nexus: A stress test model of the CDS market by Vuillemey, Guillaume, Peltonen, Tuomas A.

“…We present a stress test model for the CDS market, with a focus on the interplay between banks' bond and CDS holdings. The model enables us to analyse credit…”
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How did the Greek credit event impact the credit default swap market? by Hałaj, Grzegorz, Peltonen, Tuomas A., Scheicher, Martin

“…•Study of the impact of Greek sovereign default (an actual credit default event) in a key segment of the global financial system.•Application of a unique micro…”
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Investment in emerging market economies by Peltonen, Tuomas A., Sousa, Ricardo M., Vansteenkiste, Isabel S.

“…This article empirically models investment in emerging economies. Using dynamic panel estimation methods and quarterly data for 31 emerging economies for the…”
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Booms and busts in China's stock market: estimates based on fundamentals by de Bondt, Gabe J., Peltonen, Tuomas A., Santabárbara, Daniel

“…This article empirically models China's stock prices using conventional fundamentals: corporate earnings, risk-free interest rate and a proxy for equity risk…”
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Can non-linear real shocks explain the persistence of PPP exchange rate disequilibria? by Peltonen, Tuomas A., Popescu, Adina, Sager, Michael

“…A core stylized fact of the empirical exchange rate literature is that half‐life deviations of equilibrium real exchange rates from levels implied by…”
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Fundamentals, Financial Factors, and the Dynamics of Investment in Emerging Markets by Peltonen, Tuomas A., Sousa, Ricardo M., Vansteenkiste, Isabel S.

“…The paper uses a panel vector autoregression approach to analyze the dynamics of the transition of investment to shocks to fundamental and financial factors in…”
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Introduction to Systemic Risk Analytics Minitrack by Sarlin, Peter, Peltonen, Tuomas A.

“…In the aftermath of the global financial crisis of 2007/2008, there is an acute interest in analytics for early identification and assessment of risks and…”
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Exchange rate pass-through in the global economy: the role of emerging market econimies by Bussiere, Matthieu, Chiaie, Simona Delle, Peltonen, Tuomas A

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