Matthias Sydow

European Central Bank (ECB)

Sonnemannstrasse 22

Frankfurt am Main, 60314

Germany

SCHOLARLY PAPERS

9

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2,004

SSRN CITATIONS
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Top 36,710

in Total Papers Citations

12

CROSSREF CITATIONS

9

Scholarly Papers (9)

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
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 650 (60,404)
Citation 13

Abstract:

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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 384 (114,288)

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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 274 (163,658)
Citation 3

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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
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 259 (173,222)

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5.

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 202 (219,308)

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

6.

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 78 (441,387)

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

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
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 FranceParis School of Economics (PSE), European Central Bank (ECB) and Deutsche Bundesbank
Downloads 72 (461,431)

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8.

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 62 (498,405)

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

9.

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

ECB Working Paper No. 2022/2692
Number of pages: 48 Posted: 02 Aug 2022
European Central Bank (ECB), De Nederlandsche Bank, European Central Bank (ECB) and European Central Bank (ECB)
Downloads 23 (712,970)

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