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Interaction of market and credit risk:an analysis of inter-risk correlation and risk aggregation

Böcker, Klaus (contributor); Hillebrand, Martin (contributor) - 2008

In this paper we investigate the interaction between a credit portfolio and another risk type, which can be thought of … as market risk. Combining Merton-like factor models for credit risk with linear factor models for market risk, we … analytically calculate their interrisk correlation and show how inter-risk correlation bounds can be derived. Moreover, we …

Persistent link: https://www.econbiz.de/10003721586

Modelling dynamic portfolio risk using risk drivers of elliptical processes

Schmidt, Rafael (contributor); … - 2007

The situation of a limited availability of historical data is frequently encountered in portfolio risk estimation …, especially in credit risk estimation. This makes it, for example, difficult to find temporal structures with statistical … into account. The modelling framework is based on multivariate elliptical processes which model portfolio risk via sub …

Persistent link: https://www.econbiz.de/10003477096

Uncertainty about perceived inflation target and monetary policy

Aoki, Kosuke (contributor); Kimura, Takeshi (contributor) - 2007

We analyse the interaction between private agents' uncertainty about inflation target and the central bank's data uncertainty. In our model, private agents update their perceived inflation target and the central bank estimates unobservable economic shocks as well as the perceived inflation...

Persistent link: https://www.econbiz.de/10003529538

Monetary policy with model uncertainty distribution forecast targeting

Svensson, Lars E. O. (contributor); … - 2005

We examine optimal and other monetary policies in a linear-quadratic setup with a relatively general form of model uncertainty, so-called Markov jump-linear-quadratic systems extended to include forward-looking variables. The form of model uncertainty our framework encompasses includes: simple...

Persistent link: https://www.econbiz.de/10003126167

Precommitment, transparency and monetary policy

Geraats, Petra M. - 2001

Conventional wisdom says that commitment eliminates the inflationary bias of monetary policy. However, this paper shows that the inflation bias can persist even when the central bank commits. A simple model is presented in which the central bank precommits by setting the policy instrument, and...

Persistent link: https://www.econbiz.de/10011419400

Monetary indicators and policy rules in the P-star model

Tödter, Karl-Heinz - 2002

There is a broad consensus among economists that, in the long run, inflation is a monetary phenomenon. However, monetary policy is often analysed using models that have no causal role for monetary aggregates in the propagation of inflationary processes. Moreover, impulses from monetary policy...

Persistent link: https://www.econbiz.de/10011431682

Imperfect competition, monetary policy and welfare in a currency area

Lombardo, Giovanni - 2002

This paper studies the implication, in terms of welfare and monetary policy, of unequal degrees of competition across members of a currency area. We look at two ways in which the degree of competition in the market for goods can affect welfare in a currency area. One is through different average...

Persistent link: https://www.econbiz.de/10011431763

Cost-push shocks and monetary policy in open economies

Sutherland, Alan - 2002

This paper analyses the implications of cost-push shocks for the optimal choice of monetary policy target in an two-country sticky-price model. In addition to cost-push shocks, each country is subject to labour-supply and money-demand shocks. It is shown that the fully optimal coordinated policy...

Persistent link: https://www.econbiz.de/10011431833

Active monetary policy, passive fiscal policy and the value of public debt : some further monetarist arithmetic

Thadden, Leopold von - 2003

We consider the properties of two monetary policy rules ("strict inflation targeting", "constant money growth rule") in an intertemporal equilibrium model with flexible prices in which monetary policy is "active", while fiscal policy is "passive". Specifically, we assume that the fiscal agent...

Persistent link: https://www.econbiz.de/10011432135

Central bank accountability and transparency : theory and some evidence

Eijffinger, Sylvester C. W.; Hoeberichts, Marco - 2000

System). In the second part, we present a theory of central bank accountability. Two aspects of accountability are considered … Japan, Bank of England und Federal Reserve System). Im zweiten Teil stellen wir eine Theorie über die Rechenschaftspflicht …

Persistent link: https://www.econbiz.de/10011418852