Search Results - "Jacobson, Tor"

eBook

Sveriges Riksbank and the History of Central Banking

by Edvinsson, Rodney Jacobson, Tor Waldenström, Daniel
edited by Edvinsson, Rodney Jacobson, Tor Waldenström, Daniel

31.05.2018

“...Written in celebration of its 350th anniversary in 2018, this book details the history of the central bank of Sweden, Sveriges Riksbank, as presented by Klas...”

Journal Article

TRADE CREDIT AND THE PROPAGATION OF CORPORATE FAILURE: AN EMPIRICAL ANALYSIS

by Tor Jacobson Erik von Schedvin Published in Econometrica (01.07.2015)

“...Using an exhaustive data set on claims held by trade creditors (suppliers) on failed trade debtors (customers), we quantify the importance of trade credit...”

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Journal Article

Corporate credit risk modeling and the macroeconomy

by Carling, Kenneth Jacobson, Tor Lindé, Jesper Roszbach, Kasper Published in Journal of banking & finance (01.03.2007)

“...Despite a surge in the research efforts put into modeling credit and default risk during the past decade, few studies have incorporated the impact that...”

Journal Article

Taking the Twists into Account: Predicting Firm Bankruptcy Risk with Splines of Financial Ratios

by Giordani, Paolo Jacobson, Tor Schedvin, Erik von Villani, Mattias Published in Journal of financial and quantitative analysis (01.08.2014)

“...We demonstrate improvements in predictive power when introducing spline functions to take account of highly nonlinear relationships between firm failure and...”

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Journal Article

Bank lending policy, credit scoring and value-at-risk

by Jacobson, Tor Roszbach, Kasper Published in Journal of banking & finance (2003)

“...This paper builds on the credit-scoring literature and proposes a method to calculate portfolio credit risk. Individual default risk estimates are used to...”

Journal Article

Internal ratings systems, implied credit risk and the consistency of banks’ risk classification policies

by Jacobson, Tor Lindé, Jesper Roszbach, Kasper Published in Journal of banking & finance (01.07.2006)

“...This paper aims at improving our understanding of internal risk rating systems (IRS) at large banks, of the way in which they are implemented, and at verifying...”

Journal Article

Credit risk versus capital requirements under basel II: Are SME loans and retail credit really different?

by Jacobson, T Lindé, J Roszbach, K Published in Journal of financial services research (2005)

“...Under Basel II, retail and SME credit (R&SME) receive special treatment because of a supposedly smaller exposure to systemic risk. Most research on this issue...”

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Journal Article

Finding good predictors for inflation: a Bayesian model averaging approach

by Jacobson, Tor Karlsson, Sune Published in Journal of forecasting (01.11.2004)

“...We consider a Bayesian model averaging approach for the purpose of forecasting Swedish consumer price index inflation using a large set of potential...”

Journal Article

FIRM DEFAULT AND AGGREGATE FLUCTUATIONS

by Tor Jacobson Kasper Roszbach Jesper Lindé Published in Journal of the European Economic Association (01.08.2013)

“...This paper studies the relationship between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set...”

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Journal Article

Inflation, exchange rates and PPP in a multivariate panel cointegration model

by Tor Jacobson Johan Lyhagen Rolf Larsson Marianne Nessén Published in The econometrics journal (01.01.2008)

“...New multivariate panel cointegration methods are used to analyze nominal exchange rates and prices in four major economies in Europe: France, Germany, Italy...”

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Journal Article

Bootstrap Testing Linear Restrictions on Cointegrating Vectors

by Mikael Gredenhoff Tor Jacobson Published in Journal of business & economic statistics (01.01.2001)

“...We consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis. Simulation studies show that the...”

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Journal Article

Dormancy risk and expected profits of consumer loans

by Carling, Kenneth Jacobson, Tor Roszbach, Kasper Published in Journal of banking & finance (2001)

“...A bank that lends money to a household faces two types of risk. Frequently mentioned is the risk of default. Seldom referred to is the risk of an early...”

Journal Article

Examining world-wide purchasing power parity

by Jacobson, Tor Nessén, Marianne Published in Empirical economics (01.09.2004)

“...We examine long-run PPP between Germany, Great Britain, Japan and the United States over the period 1930–1996 using multivariate cointegration techniques...”

Journal Article

Monetary Policy Analysis and Inflation Targeting in a Small Open Economy: A VAR Approach

by Tor Jacobson Per Jansson Anders Vredin Anders Warne Published in Journal of applied econometrics (Chichester, England) (01.07.2001)

“...Empirical monetary policy research has increased in the last decade, possibly because deregulation and explicit monetary targets have made monetary policy...”

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Journal Article

Common trends and hysteresis in Scandinavian unemployment

by Jacobson, Tor Vredin, Anders Warne, Anders Published in European economic review (1997)

“...We examine the sources of labor market fluctuations in the Scandinavian countries using structural VAR models with common trends. Our primary concerns are the...”

Journal Article

Are Real Wages and Unemployment Related?

by Tor Jacobson Anders Vredin Anders Warne Published in Economica (London) (01.02.1998)

“...In this paper we propose an alternative method for investigating the sources behind the behaviour of real wages and unemployment. The model we study is a...”

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Journal Article

Growth, Saving, Financial Markets, and Markov Switching Regimes

by Jacobson , Tor Lindh , Thomas Warne , Anders Published in Studies in Nonlinear Dynamics & Econometrics (01.01.2002)

“...Abstract We report evidence that the relation between the financial-sector share, private saving, and growth in the United States in 1948-96 is characterized...”

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