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Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2009

. Our model is well-suited to study the contagion-like eects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10010884503

Financial contagion through capital connections: a model of the origin and spread of bank panics

Dasgupta, Amil - London School of Economics (LSE) - 2002

Financial contagion is modeled as an equilibrium phenomenon in a dynamic setting with incomplete information and … failure of a financial institution. We show that contagion is possible in the unique equilibrium of the economy and … of contagion risk. Our results suggest that when the probability of bank failure is low, maximal levels of interbank …

Persistent link: https://www.econbiz.de/10010884582

Equilibrium analysis, banking, contagion and financial fragility

Tsomocos, Dimitrios P. - London School of Economics (LSE) - 2003

for positive default levels in equilibrium. It also characterises contagion and financial fragility as an equilibrium …

Persistent link: https://www.econbiz.de/10010884714

Market quality and contagion in fragmented markets

Rahi, Rohit; Zigrand, Jean-Pierre - London School of Economics (LSE) - 2013

proxies. The model is especially well-suited to study the contagion-like effects of liquidity shocks. …

Persistent link: https://www.econbiz.de/10011171758

Systemic sovereign risk: macroeconomic implications in the euro area

Bahaj, Saleem A. - London School of Economics (LSE) - 2014

What are the macroeconomic implications of changes in sovereign risk premia? In this paper, I use a novel identification strategy coupled with a new dataset for the Euro Area to answer this question. I show that exogenous innovations in sovereign risk premia were an important driver of the...

Persistent link: https://www.econbiz.de/10011126365

Estimation and testing of dynamic models with generalised hyperbolic innovations

Mencia, Javier F.; Sentana, Enrique - London School of Economics (LSE) - 2004

We analyse the Generalised Hyperbolic distribution as a model for fat tails and asymmetries in multivariate conditionally heteroskedastic dynamic regression models. We provide a standardised version of this distribution, obtain analytical expressions for the log-likelihood score, and explain how...

Persistent link: https://www.econbiz.de/10010884659

Aggregate and regional disaggregate fluctuations

Quah, Danny - London School of Economics (LSE) - 1996

This paper models uctuations in regional disaggregates as a nonsta- tionary, dynamically evolving distribution. Doing so enables study of the dynamics of aggregate uctuations jointly with those of the rich cross-section of regional disaggregates. For the US, the leading state| regardless of...

Persistent link: https://www.econbiz.de/10010928698

On discrete sampling of time-varying continuous-time systems

Robinson, Peter - London School of Economics (LSE) - 2007

We consider a multivariate continuous time process, generated by a system of linear stochastic differential equations, driven by white noise and involving coefficients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points...

Persistent link: https://www.econbiz.de/10010928718

Estimation of nonlinear error correction models

Seo, Myung Hwan - London School of Economics (LSE) - 2007

Asymptotic inference in nonlinear vector error correction models (VECM) that exhibit regime-specific short-run dynamics is nonstandard and complicated. This paper contributes the literature in several important ways. First, we establish the consistency of the least squares estimator of the...

Persistent link: https://www.econbiz.de/10010928743

Maximum Likelihood in the Frequency Domain: a Time to Build Example.

Christiano, L.J.; Vigfusson, R.J. - London School of Economics (LSE) - 1999

A well known result is that the Gaussian log-likelihood can be expressed as the sum over different frequency components. This implies that the likelihood ratio statistic has a similar linear decomposition. We exploit these observations to devise diagnostic methods that are useful for...

Persistent link: https://www.econbiz.de/10005207535