Matthias Sydow

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

  • European Central Bank (ECB)

SCHOLARLY PAPERS

10

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17

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20

Scholarly Papers (10)

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1.

A Macro Stress Testing Framework for Assessing Systemic Risks in the Banking Sector

ECB Occasional Paper No. 152
Number of pages: 82 Posted: 16 Mar 2014
Jerome Henry, Christoffer Kok, Adrien Amzallag, Patrizia Baudino, Inês Cabral, Maciej Grodzicki, Marco Gross, Grzegorz Halaj, Markus Kolb, Miha Leber, Cosimo Pancaro, Matthias Sydow, Angelos T. Vouldis, Angelos T. Vouldis, Maik Zimmermann and Dawid Żochowski
European Central Bank (ECB), European Central Bank (ECB), European Securities and Markets Authority, European Central Bank (ECB), European Central Bank (ECB) - Directorate Financial Stability and Supervision, European Central Bank (ECB), International Monetary Fund (IMF), National Bank of Poland, European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB)Bank of Greece, European Central Bank (ECB) and European Central Bank
Downloads 710 (58,613)
Citation 30

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macro stress test, systemic risk, financial crisis, banking sector, macro-prudential policy, micro-prudential supervision

2.

Assessing Portfolio Credit Risk Changes in a Sample of EU Large and Complex Banking Groups in Reaction to Macroeconomic Shocks

ECB Working Paper No. 1002
Number of pages: 38 Posted: 08 Mar 2008
Olli Castren, Trevor Fitzpatrick and Matthias Sydow
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 397 (119,875)

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Portfolio credit risk measurement, stress testing, macroeconomic shock measurement

3.

What Drives EU Banks' Stock Returns? Bank-Level Evidence Using the Dynamic Dividend-Discount Model

ECB Working Paper No. 677
Number of pages: 31 Posted: 10 Oct 2006
Olli Castren, Trevor Fitzpatrick and Matthias Sydow
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 292 (167,249)
Citation 6

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Bank stock return predictability, return decomposition, panel VAR estimation, cash flow news

4.

Competitiveness and the Export Performance of the Euro Area

ECB Occasional Paper No. 30
Number of pages: 100 Posted: 23 Jul 2007
Filippo di Mauro, Robert Anderton, Ekkehard Ernst, javier Torres, Remy Lecat, Mark Cassidy, Roberto Tedeschi, Erik Walch, Jurriaan Eggelte, Karin Wagner, Tobias Sebastian Blattner, Roberto A. De Santis, Rodrigo Oliveira-Soires, Jian-Guang Shen, Matthias Sydow, Thomas Warmedinger, Tina Zumer and Emanuele Breda
European Central Bank (ECB), European Central Bank (ECB), International Labour Organization (ILO), Banco de España, Banque de France, Central Bank of Ireland, Bank of Italy, Banque Centrale du Luxembourg, Bank of the Netherlands, Oesterreichische Nationalbank, European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB) - Directorate General Economics, European Central Bank (ECB), International Monetary Fund (IMF), European Central Bank (ECB), European Central Bank (ECB), European Central Bank (ECB) and Bank of Italy
Downloads 274 (178,661)
Citation 2

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5.

Non-Banks Contagion and the Uneven Mitigation of Climate Risk

ECB Working Paper No. 2022/2757
Number of pages: 49 Posted: 17 Dec 2022
Régis Gourdel and Matthias Sydow
WU Vienna University of Economics and Business and European Central Bank (ECB)
Downloads 225 (216,821)

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climate finance, investment funds, stress testing, systemic risk

6.

What Drives Investors' Behaviour in Different FX Market Segments? A Var-Based Return Decomposition Analysis

ECB Working Paper No. 706
Number of pages: 36 Posted: 28 Dec 2006
Olli Castren, Chiara Osbat and Matthias Sydow
European Central Bank (ECB), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 217 (224,430)

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FX return prediction, investor flows, news surprises, panel estimation, stationary VAR

7.

Shock Amplification in an Interconnected Financial System of Banks and Investment Funds

ECB Working Paper No. 2021/2581
Number of pages: 66 Posted: 10 Aug 2021
Matthias Sydow, Aurore Schilte, Giovanni Covi, Marija Deipenbrock, Leonardo Del Vecchio, Pawel Fiedor, Gábor Fukker, Max Gehrend, Régis Gourdel, Alberto Grassi, Björn Hilberg, Michiel Kaijser, Georgios Kaoudis, Luca Mingarelli, Mattia Montagna, Thibaut Piquard, Dilyara Salakhova and Natalia Tente
European Central Bank (ECB), Banque de France, Bank of England, European Central Bank (ECB), Bank of Italy, Central Bank of Ireland, European Central Bank (ECB), Banque Centrale du Luxembourg, WU Vienna University of Economics and Business, European Central Bank (ECB), Goethe University Frankfurt, European Central Bank (ECB), Bank of Greece, European Central Bank (ECB), European Central Bank (ECB), Banque de France, European Central Bank (ECB) and Deutsche Bundesbank
Downloads 112 (386,914)
Citation 1

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8.

What Drives Returns to Euro Area Housing? Evidence from a Dynamic Dividend-Discount Model

ECB Working Paper No. 1019
Number of pages: 33 Posted: 04 Mar 2009
Paul Hiebert and Matthias Sydow
European Central Bank (ECB) and European Central Bank (ECB)
Downloads 86 (461,294)

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House price, housing rental yield, return decomposition, panel VAR estimation, cash flow news

9.

Investment Funds Under Stress

Number of pages: 52 Posted: 31 Oct 2019
Régis Gourdel, Eduardo Maqui Lopez and Matthias Sydow
WU Vienna University of Economics and Business, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 77 (492,361)

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Bayesian model averaging, international capital flows, investment funds, portfolio valuation, prudential policy

10.

Contagion from Market Price Impact: A Price-at-Risk Perspective

ECB Working Paper No. 2022/2692
Number of pages: 48 Posted: 02 Aug 2022
Gábor Fukker, Michiel Kaijser, Luca Mingarelli and Matthias Sydow
European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 39 (673,468)

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fire sales, indirect contagion, overlapping portfolios, price impact, quantile regression