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Structural scenario analysis and stress testing with vector autoregressions
Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2017
Persistent link: https://www.econbiz.de/10011760772
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Scenario modeling of selective hedging strategies
Beltratti, Andrea; Laurent, Andrea; Zenios, Stauros Andrea - 1999
Persistent link: https://www.econbiz.de/10001427789
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Scenario Modeling of Selective Hedging Strategies
Beltratti, Andrea - 2013
We study currency risk management in the context of scenario analysis. We develop scenario-based optimization models that jointly determine the portfolio composition and the hedging strategy within each currency. Thus the model prescribes optimal selective hedging policies. We then study...
Persistent link: https://www.econbiz.de/10013072830
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Why fiscal regimes matter for fiscal sustainability analysis : an application to France
Aldama, Pierre; Creel, Jérôme - 2016
Persistent link: https://www.econbiz.de/10011644148
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Fiscal policy in the US : Ricardian after all?
Aldama, Pierre; Creel, Jérôme - 2017
Persistent link: https://www.econbiz.de/10011760139
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Cartel duration and endogenous private monitoring and communication : an instrumental variables approach
Zhou, Jun - 2012
Colluding firms often exchange private information and make transfers within the cartels based on the information. Estimating the impact of such collusive practices" - known as the 'lysine strategy profile (LSP)" - on cartel duration is difficult because of endogeneity and omitted variable bias....
Persistent link: https://www.econbiz.de/10009571067
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Testing Public Debt Sustainability Using a Present-Value Model
Galvao, Antonio F. - 2015
The recent fiscal crisis has renewed the public policy focus on debt sustainability. To investigate debt sustainability … empirically, a significant portion of the literature on public debt sustainability tests whether government revenue and … sustainability of public debt. To overcome this problem, we propose a new approach based on Campbell and Shiller's (1987) present …
Persistent link: https://www.econbiz.de/10013037702
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Non-Linearity in Testing for Fiscal Sustainability
Ricciuti, Roberto - 2003
In this paper we characterise fiscal policy in terms of non-linear processes. We find that government spending and taxes can be described as being non-linear trend stationary processes instead of unit roots. A long run equilibrium relationship - a non-linear co-trend - does exist between the two...
Persistent link: https://www.econbiz.de/10014075912
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The Sustainability of Chinese Growth and the Aggregate Factor Substitution Elasticity
Whalley, John - 2012
We discuss the sustainability of Chinese high growth relative to growth experience elsewhere, and specifically Soviet … sustainability of high Chinese growth …
Persistent link: https://www.econbiz.de/10013110413