Showing 1 - 10 of 51
We introduce a new measure called Inflation-at-Risk (I@R) associated with (left and right) tail inflation risk. We … estimate I@R using survey-based density forecasts. We show that it contains information not covered by usual inflation risk … indicators which focus on inflation uncertainty and do not distinguish between the risks of low or high future inflation outcomes …
Persistent link: https://www.econbiz.de/10010815970
The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as …
Persistent link: https://www.econbiz.de/10005036199
The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR as well as …
Persistent link: https://www.econbiz.de/10005646662
these new risks within central banks’ financial stability mandate. However, integrating climate-related risk analysis into … backward-looking risk assessments and existing climate-economic models cannot anticipate accurately enough the form that …
Persistent link: https://www.econbiz.de/10012200152
should not affect agents' expectations of inflation in the long term. Our estimated structural VARs show that both long- and … short-term inflation expectations are sensitive to policy-related uncertainty shocks. While economic activity contracts …, long-term inflation expectations raise in response to such shocks. These results suggest that observed uncertainty about …
Persistent link: https://www.econbiz.de/10010937890
. Since skewness and kurtosis are related to extreme variations they are also important for Value-at-Risk measurements. Our …
Persistent link: https://www.econbiz.de/10005487056
In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which takes into account most of the usual feaures of financial data (non-stationarity,...
Persistent link: https://www.econbiz.de/10005487060
In this paper we give a precise definition of long-run causality in a multivariate non-stationary, possibly cointegrated, framework. A variable is said to be causal for another in the long-run if knwoledge of the past of the former improves long-run predictions of the latter. In a VAR framework,...
Persistent link: https://www.econbiz.de/10005036190
This paper tries to improve the understanding of the French interwar monetary situation by using thoroughly one indicator: long-term interest rates. As such, it could be attacked from a methodological point of view as relying excessively on that indicator and on a small number of hypothesis...
Persistent link: https://www.econbiz.de/10005036208
In order to analyse the interest rate transmission mechanism, we study daily Euro-rates term structure for the US, Germany, and the UK between 1983 and 1997. We estimate multivariate VECM-GARCH models, which take into account moste of the usual features of financial data (non-stationarity,...
Persistent link: https://www.econbiz.de/10005036224