Danmarks Nationalbank introduced its annual report on financial stability in Denmark in 2000. The purpose of the analyses is to identify risks currently faced by the financial sector. As the stability in the financial sector depends on the customers' financial circumstances, and as the majority...

For empirical purposes it is suggested to approximate the real interest rate gap by a simple transformation of the difference between two nominal interest rates, the central bank's policy rate and the long-term interest rate. The latter contains information on inflationary expectations and...

Following Shimko (1993), a large amount of research has evolved around the problem of extracting risk neutral densities from options prices by interpolating the Black-Scholes implied volatility smile. Some of the methods recently proposed use variants of the cubic spline. These methods have the...

Ignoring items with large price changes may enhance the informational content of a price index. As an application of the metrically trimmed mean (Kim, 1992) we suggest to discard the individual price changes that deviate the most from the median. Focusing on outliers increases the efficiency...

We use a game theoretical framework to analyze the intraday behavior of banks with respect to settlement of interbank claims in a real time gross settlement setting. We find that the game played by banks depends upon the intraday credit policy of the central bank and that it encompasses two...

The paper develops a simple stochastic new open macroeconomic model in which pricesetting firms' choice between producer currency pricing and local currency pricing is endogenous. We show that, in equilibrium, firms will denominate their export price contracts in the currency of the country with...

The present paper offers a careful description of empirical identification of possible multiple changes in regime. We apply recently developed tools designed to select between regime-switching models among a broad class of linear and nonlinear regression models and provide a discussion of the...