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Evaluating VaR Forecasts under Stress The German Experience
Jaschke, Stefan; Stahl, Gerhard; Stehle, Richard - Center for Financial Studies - 2003
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory … series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the …
Persistent link: https://www.econbiz.de/10010986415
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How do fiscal and technology shocks affect real exchange rates? New evidence for the United States
Enders, Zeno; Müller, Gernot J.; Scholl, Almuth - Center for Financial Studies - 2008
Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identification, we derive...
Persistent link: https://www.econbiz.de/10010986488
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Country-specific and global shocks in the business cycle
Gross, Daniel - Center for Financial Studies - 2001
identified in a VAR model so they can be interpreted as countryspecific and global supply shocks. The dynamic properties of the … model are analyzed and the relative importance of each shock is measured. It is shown that the VAR model matches most of the …
Persistent link: https://www.econbiz.de/10010958556
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How do Fiscal and Technology Shocks affect Real Exchange Rates? New Evidence for the United States
Enders, Zeno; Müller, Gernot J.; Scholl, Almut - Center for Financial Studies - 2008
Using vector autoregressions on U.S. time series relative to an aggregate of industrialized countries, this paper provides new evidence on the dynamic effects of government spending and technology shocks on the real exchange rate and the terms of trade. To achieve identi¬fication, we derive...
Persistent link: https://www.econbiz.de/10005138848
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Impulse response matching estimators for DSGE models
Guerron-Quintana, Pablo; Inoue, Atsushi; Kilian, Lutz - Center for Financial Studies - 2014
One of the leading methods of estimating the structural parameters of DSGE mod- els is the VAR-based impulse response … response parameters exceeds the number of VAR model parameters. Situations in which this order condition is violated arise …
Persistent link: https://www.econbiz.de/10011097611
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Evaluating VaR Forecasts under Stress – The German Experience
Jaschke, Stefan; Stahl, Gerhard; Stehle, Richard - Center for Financial Studies - 2003
We present an analysis of VaR forecasts and P&L-series of all 13 German banks that used internal models for regulatory … series of statistical tools to perform our analyses. The results shed light on the forecast quality of VaR models of the …
Persistent link: https://www.econbiz.de/10005120785