Adriana Cornea-Madeira: Forecasting the Tail Behavior of Banks’ Risk Sentiment

Seminar
  • Date and time: Wednesday 23 April 2025, 1pm to 2pm
  • Location: In-person only
    A/EW105, Alcuin East Wing, Campus West, University of York (Map)
  • Audience: Open to staff, students
  • Admission: Free admission, booking not required

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Event details

Author: Adriana Cornea-Madeira (Lisbon School of Economics and Management, University of Lisbon.)

Abstract:  Abstract: In this paper, we provide novel approaches for modelling and forecasting the tail behaviour of time series. Specifically, we analyze the relevance of different macrofinancial proxies in explaining the right tail behaviour of banks risk sentiment tracker (BRST), a synthetic indicator of market sentiment for individual listed banks. We evaluate the statistical significance of global and regional market volatility and, skewness measures as well as monetary and macro conditions via inflation expectations and the yield curve spread. Moreover, we conduct an extensive and novel forecasting exercise using a new triple Adaptive LASSO approach to evaluate how effectively these variables predict the risk dynamics captured by the BRST.

Joint with:  João Nicolau (Lisbon School of Economics and Management, University of Lisbon), Paulo M. M. Rodrigues (Banco de Portugal and Nova School of Business and Economics) and Martín Saldias (Banco de Portugal)

Host: Takashi Yamagata