One of the challenges of financial stability analysis and bank stress testing is how to establish scenarios with … capital positions. The outcome suggests that spillover effects have a highly non-linear impact on bank soundness, both in …

develop tests for threshold effects in the context of dynamic heterogeneous panel data models with cross-sectionally dependent …

financial accelerator, where bank balance sheets do not play a prominent role, and GIMF with both a financial accelerator and a … fully specified banking sector that can make lending losses, and that is regulated according to Basel-III. We illustrate the …

contract their balance sheets. These bank responses generate externalities that propagate in the form of macro … banking sector into an otherwise standard macroeconomic structural vector autoregressive model. It shows that accounting for … macro-financial feedback loops can significantly affect macroeconomic outcomes and bank-specific stress tests results. The …

This paper develops a structural macro econometric model of the world economy, disaggregated into forty national … economies, to facilitate multilaterally consistent macrofinancial policy, risk and spillover analysis. This panel dynamic … diverse spillover transmission channels. These macrofinancial linkages encompass bank and capital market based financial …

This paper develops a structural macroeconometric model of the world economy,disaggregated into forty national … economies. This panel dynamic stochastic generalequilibrium model features a range of nominal and real rigidities …

This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national … economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive …

This paper develops a structural macroeconometric model of the world economy, disaggregated into thirty five national … economies. This panel unobserved components model encompasses an approximate linear panel dynamic stochastic general equilibrium …