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Global macro-financial shocks and expected default frequencies in the euro area
Castrén, Olli (contributor); Dées, Stéphane (contributor) - 2008
Modelling the link between the global macro-financial factors and firms’ default probabilities constitutes an elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive (GVAR) model and constructing a linking satellite equation for the firm-level...
Persistent link: https://www.econbiz.de/10003748979
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Growth expectations, capital flows and international risk sharing
Castrén, Olli; Miller, Marcus; Stiegert, Roger - 2003
to shocks. We use a stylised two-bloc, two-period model of the global economy, with a simple stochastic productivity …
Persistent link: https://www.econbiz.de/10009635970
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Growth expectations, capital flows and international risk sharing
Castrén, Olli (contributor); Miller, Marcus (contributor);  … - 2003
Persistent link: https://www.econbiz.de/10001792730