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Managing macrofinancial risk
Adrian, Tobias; Vitek, Francis - 2020
We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …
Persistent link: https://www.econbiz.de/10012300643
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Model-based globally-consistent risk assessment
Andrle, Michal; Hunt, Benjamin F. - 2020
This paper outlines an approach to assess uncertainty around a forecast baseline as well as the impact of alternative policy rules on macro variability. The approach allows for non-Gaussian shock distributions and non-linear underlying macroeconomic models. Consequently, the resulting...
Persistent link: https://www.econbiz.de/10012251371
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Economic Security, Private Investment, and Growth in Developing Countries
Poirson, Hélène - 1998
improved since the mid-1980s; that private investment is mostly influenced by the risk of expropriation, the degree of civil … liberty, and the degree of independence of the bureaucracy; and that economic growth is affected by the risk of expropriation …
Persistent link: https://www.econbiz.de/10014400780
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Cross-Country Consumption Risk Sharing, a Long-Run Perspective
Qiao, Zhaogang - 2010
This paper estimates an empirical nonstationary panel regression model that tests long-run consumption risk sharing … risk sharing, which is mainly about risks at business cycle frequency. Since our methodology focuses on identifying … cointegrating relationships while allowing for arbitrary short-run dynamics, we can obtain a consistent estimate of long-run risk …
Persistent link: https://www.econbiz.de/10014402821
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Growth Empirics Under Model Uncertainty : Is Africa Different?
Tsangarides, Charalambos G. - 2005
This paper attempts to identify robust patterns of cross-country growth behavior in the world as a whole and Africa. It employs a novel methodology that incorporates a dynamic panel estimator, and Bayesian Model Averaging to explicitly account for model uncertainty. The findings indicate that:...
Persistent link: https://www.econbiz.de/10014399796
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The Fisher Hypothesis and Inflation Persistence : Evidence From Five Major Industrial Countries
Peng, Wensheng - 1995
recently developed time series techniques. The results suggest that the Fisher effect is stronger in France, the United Kingdom …
Persistent link: https://www.econbiz.de/10014395917
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Social Security Tax Reform and Unemployment : A General Equilibrium Analysis for France
International Monetary Fund - 1997
This paper develops and calibrates a simple general equilibrium model with two types of labor and capital for the French economy. The simulation results indicate that targeted reductions in employer social security taxes have six times as large an effect on employment as untargeted reductions...
Persistent link: https://www.econbiz.de/10014401626
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Is there a role for funding in explaining recent U.S. banks’ failures?
Bologna, Pierluigi - 2011
Persistent link: https://www.econbiz.de/10009424984
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High liquidity creation and bank failures
Fungacova, Zuzana; Turk Ariss, Rima; Weill, Laurent - 2015
Persistent link: https://www.econbiz.de/10011281190
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Contingent liabilities from banks : how to track them?
Arslanalp, Serkan; Liao, Yin - 2015
In this paper, we develop a methodology to assess potential losses to the government that could arise from bank failures. The approach is intended to be simple, parsimonious, and used in real time. It generates an index that we call the banking sector contingent liability index (BCLI), based on...
Persistent link: https://www.econbiz.de/10011446332