We build a two-country open-economy monetary union DSGE model in order to explain some macroeconomic imbalances in the …

: either a decrease (as in the US) or an increase (as in Japan). We construct a New-Keynesian DSGE model, which takes the case …

This paper proposes a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where real money balances enter …

This paper proposes a New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model where real money balances enter …

follows the New Keynesian DSGE framework, money being introduced in the utility function with a non-separability assumption …

risque pour évaluer les risques extrêmes. Ces mesures de risques, telles que la VaR, sont devenues incontournables dans la …, sur des données longues américaines, une relation en U-inversé entre notre mesure du risque de modèle sur les VaR …

(specification and estimation risks) on VaR estimates. We find that integrating the model risk into the VaR computations implies a … substantial minimum correction of the order of 10-40% of VaR levels. We also present results of a practical method - based on a … backtesting framework - for incorporating the model risk into the VaR estimates. …