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Systemic Contingent Claims Analysis – Estimating Market-Implied Systemic Risk
Jobst, Andreas (Andy) - 2013
The recent global financial crisis has forced a re-examination of risk transmission in the financial sector and how it affects financial stability. Current macroprudential policy and surveillance (MPS) efforts are aimed establishing a regulatory framework that helps mitigate the risk from...
Persistent link: https://www.econbiz.de/10013085135
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Balance-Sheet Shocks and Recapitalizations
Valencia, Fabián - 2012
We develop a dynamic stochastic general equilibrium model with financial frictions on both financial intermediaries and goods-producing firms. In this context, due to high leverage of financial intermediaries, balance sheet disruptions in the financial sector are particularly detrimental for...
Persistent link: https://www.econbiz.de/10013108616
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Balance-Sheet Shocks and Recapitalizations
Sandri, Damiano - 2012
We develop a dynamic stochastic general equilibrium model with financial frictions on both financial intermediaries and goods-producing firms. In this context, due to high leverage of financial intermediaries, balance sheet disruptions in the financial sector are particularly detrimental for...
Persistent link: https://www.econbiz.de/10013109638
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Household Wealth and Resilience to Financial Shocks in Italy
Garcia-Macia, Daniel - 2018
High household wealth is often cited as a key strength of the Italian economy. Both in absolute terms and relative to income, the Italian household sector is wealthier than most euro area peers. A sizable fraction of this wealth is held by the rich and upper middle classes. This paper documents...
Persistent link: https://www.econbiz.de/10012910351
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Sovereign Risk and Asset and Liability Management-Conceptual Issues
Das, Udaibir - 2012
Country practices towards managing financial risks on a sovereign balance sheet continue to evolve. Each crisis period, and its legacy on sovereign balance sheets, reaffirms the need for strengthening financial risk management. This paper discusses some salient features embedded in in the...
Persistent link: https://www.econbiz.de/10013098567
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Derivative Margin Calls : A New Driver of MMF Flows
Ghio, Maddalena; Rousova, Linda; Salakhova, Dilyara; … - 2023
During the March 2020 market turmoil, euro area money-market funds (MMFs) experienced significant outflows, reaching almost 8% of assets under management. This paper investigates whether the volatility in MMF flows was driven by investors’ liquidity needs related to derivative margin payments....
Persistent link: https://www.econbiz.de/10014351365
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Shock Therapy! What Role for Thai Monetary Policy?
Alp, Harun - 2012
Thailand had to endure three major shocks during 2008-2011: the global financial crisis, the Japanese earthquake, and the Thai floods of 2011. Over this period, consistent with its inflation targeting framework, the Bank of Thailand (BOT) let the exchange rate depreciate and cut interest rates...
Persistent link: https://www.econbiz.de/10013096276
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The Differential Effects of Oil Demand and Supply Shocks on the Global Economy
Cashin, Paul Anthony - 2012
-consequences of a supply-driven oil-price shock are very different from those of an oil-demand shock driven by global economic …
Persistent link: https://www.econbiz.de/10013098275
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Public Debt Dynamics : The Effects of Austerity, Inflation, and Growth Shocks
Cherif, Reda - 2012
austerity shock, the debt ratio initially declines and then returns to its pre-shock path. Yet, the effect is not statistically … significant. In a weak economic environment, the likelihood of a self-defeating austerity shock is much higher than in normal … times. An inflation shock only slightly reduces the debt ratio for a few quarters. A positive growth shock unambiguously …
Persistent link: https://www.econbiz.de/10013098577
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Inflation Responses to Commodity Price Shocks - How and Why Do Countries Differ?
Ustyugova, Yulia - 2012
, however, appears very modest and not evident during the 2008 food price shock. The evidence suggests that trade openness …
Persistent link: https://www.econbiz.de/10013098581