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Predicting Downside Risks to House Prices and Macro-Financial Stability

Deghi, Andrea - 2020

This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and … overvaluation, excessive credit growth, and tighter financial conditions jointly forecast higher house-prices-at-risk up to three … years ahead. House-prices-at-risk help predict future growth at-risk and financial crises. We also investigate and propose …

Persistent link: https://www.econbiz.de/10012831613

Global Factors in the Term Structure of Interest Rates

Abbritti, Mirko - 2013

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more than 80 percent of term premia in advanced economies. In particular they tend to...

Persistent link: https://www.econbiz.de/10013071934

Transmission of Financial Stress in Europe : The Pivotal Role of Italy and Spain, But Not Greece

González-Hermosillo, Brenda - 2014

area as markets use Germany's sovereign CDS as ahedge for systemic risk. Although most of the CDS changes for Germany …

Persistent link: https://www.econbiz.de/10013053040

Property Prices and Speculative Bubbles : Evidence from Hong Kong Sar

Kalra, Sanjay; Mihaljek, Dubravko; Duenwald, Christoph K. - 2021

This paper examines the determinants of residential property prices in Hong Kong SAR during 1980-98. It uses time-series analysis techniques to characterize price developments, establish empirical regularities, and provide measures of the deviations of actual price changes from trend. The...

Persistent link: https://www.econbiz.de/10013317986

Climate Disaster Risks - Empirics and a Multi-Phase Dynamic Model

Mittnik, Stefan - 2019

sectors via the destruction of capital stocks and jumps in risk premia. These disruptions often entail negative feedback … explore this causal nexus and the effects of rare large disasters resulting in capital losses and rising risk premia. Our …

Persistent link: https://www.econbiz.de/10012865122

A Primer on Managing Sovereign Debt-Portfolio Risks

Jonasson, Thordur - 2018

vulnerabilities. Further, the paper presents operational issues faced by debt managers, including the need to develop a risk …

Persistent link: https://www.econbiz.de/10012918566

Uncertainty Premia, Sovereign Default Risk, and State-Contingent Debt

Roch, Francisco; Roldán, Francisco - 2022

We analyze how concerns for model misspecification on the part of international lenders affect the desirability of issuing state-contingent debt instruments in a standard sovereign default model à la Eaton and Gersovitz (1981). We show that for the commonly used threshold state-contingent bond...

Persistent link: https://www.econbiz.de/10014030625

A Theory of Workers` Remittances with an Application to Morocco

Bouhga-Hagbe, Jacques - 2006

This paper provides a model on how altruism, quot;attachmentquot; to the home country, and portfolio diversification may act as potential motives behind workers` remittances. It shows that the level of workers` remittances depends on how great are their degrees of altruism and...

Persistent link: https://www.econbiz.de/10012783091

Testing Piketty's Hypothesis on the Drivers of Income Inequality : Evidence from Panel VARs with Heterogeneous Dynamics

Góes, Carlos - 2016

Thomas Piketty's Capital in the Twenty-First Century puts forth a logically consistent explanation for changes in income and wealth inequality patterns. However, while rich in data, the book provides no formal empirical testing for its theoretical causal chain. In this paper, I build a set of...

Persistent link: https://www.econbiz.de/10012977805

Predictive Density Aggregation : A Model for Global GDP Growth

Caselli, Francesca - 2020

In this paper we propose a novel approach to obtain the predictive density of global GDP growth. It hinges upon a bottom-up probabilistic model that estimates and combines single countries' predictive GDP growth densities, taking into account cross-country interdependencies. Specifically,we...

Persistent link: https://www.econbiz.de/10012829696

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