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We investigate whether frictions in US financial markets amplify the international propagation of US financial shocks. The dynamics of the US economy is modeled jointly with global macroeconomic and financial variables using a threshold vector autoregression that allows us to capture...
Persistent link: https://www.econbiz.de/10011212003
unknown, and maximum entropy serves as the leading method for estimating unobserved counterparty exposures. This paper … entropy and also permits more robust analysis. Using the two benchmarks side by side helps identify a range of possible …
Persistent link: https://www.econbiz.de/10010957084