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A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function

Monokroussos, George - Society for Computational Economics - SCE - 2006

A dynamic Tobit model with Time-varying parameters is proposed for the daily reaction function of the Open Market Desk of the US Federal Reserve. Such a model offers a more realistic depiction of the Desk's behavior than those of past contributions in the literature as it allows for both...

Persistent link: https://www.econbiz.de/10005132599

Strong contagion with weak spillovers

Ellison, Martin; Graham, Liam; Vilmunen, Jouko - Society for Computational Economics - SCE - 2005

probability of a similar jump in another market. We claim that contagion is strong since equilibrium jumps become highly …. Other examples where weak spillovers would create strong contagion are various models of monetary policy, imperfect …

Persistent link: https://www.econbiz.de/10005132659

Contagion in a heterogeneous inter bank market model.

Padilla, Francisco G.; Giulia Iori. - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005132818

Interbank Lending, reserve requirements and systemic risk

iori, giulia; Jafarey, Saqib - Society for Computational Economics - SCE - 2001

further failures. With homogeneous banks, contagion effects are small and a wider interbank network leads to more stability …. When banks differ in liquidity risk or in size, contagion effects become more important. Widening the interbank market can …

Persistent link: https://www.econbiz.de/10005345633

Heterogeneous Expectations, Currency Options and the euro/dollar exchange rate

Bronka, Rzepkowski - Society for Computational Economics - SCE - 2001

contagion in their portfolio decisions. Two alternative sources of heterogeneity are tested in order to explain the short …

Persistent link: https://www.econbiz.de/10005537763

Credit Contagion and Aggregate Losses

Weber, Stefan; Giesecke, Kay - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005537789

Interbank Lending, Reserve Requirements and Systemic Risk

Iori, Giulia; Jafarey, Saqib; Padilla, Francisco - Society for Computational Economics - SCE - 2003

We simulate interbank lending. Each bank faces fluctuations in deposits and stochastic investment opportunities which mature with delay. This creates the risk of liquidity shortages. An interbank market lets participants pool this risk but also creates the potential for one bank's crisis to...

Persistent link: https://www.econbiz.de/10005537830