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Modeling banking, sovereign, and macro risk in a CCA global VAR

Gray, Dale; Groß, Marco; Paredes, Joan; Sydow, Matthias - 2013

estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank …

Persistent link: https://www.econbiz.de/10012667482

Interconnectedness of global systemically-important banks and insurers

Malik, Sheheryar; Xu, TengTeng - 2017

) has important financial stability implications. This paper examines connectedness among United States, European and Asian … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to …-based connectedness. Total system connectedness-i.e., among all GSIBs and GSIIs-tends to rise during financial stress, which is …

Persistent link: https://www.econbiz.de/10011743090

Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach

International Monetary Fund - 2012

In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a...

Persistent link: https://www.econbiz.de/10014396950

Fiscal Foresight and Information Flows

Walker, Todd B. - 2012

News - or foresight - about future economic fundamentals can create rational expectations equilibria with non-fundamental representations that pose substantial challenges to econometric efforts to recover the structural shocks to which economic agents react. Using tax policies as a leading...

Persistent link: https://www.econbiz.de/10014396510

Transitory and permanent shocks in the global market for crude oil

Rebei, Nooman; Sbia, Rashid - 2020

This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...

Persistent link: https://www.econbiz.de/10012251290

The role of domestic and external shocks in Poland : results from an agnostic estimation procedure

Andrle, Michal; Garcia-Saltos, Roberto; Ho, Giang - 2013

This paper discusses interlinkages between Poland and the euro zone using a simple and agnostic econometric approach. Specifically, we estimate a trend-cycle VAR model using data for real and nominal variables, imposing powerful but uncontroversial assumptions that allow us to identify how...

Persistent link: https://www.econbiz.de/10012667431

Desynchronized : The Comovement of Non-Hydrocarbon Business Cycles in the GCC

Cevik, Serhan - 2011

This paper investigates the empirical characteristics of business cycles and the extent of cyclical comovement in the Gulf Cooperation Council (GCC) countries, using various measures of synchronization for non-hydrocarbon GDP and constituents of aggregate demand during the period 1990-2010. By...

Persistent link: https://www.econbiz.de/10014397084

Fiscal Discipline and the Cost of Public Debt Service : Some Estimates for OECD Countries

Caselli, Francesco - 1998

Is there any systematic explanation of variations in the cost of debt servicing over time and across countries? This paper examines the influence of fiscal variables on borrowing costs in a panel of OECD countries, showing that these variables have a significant role. In particular, an...

Persistent link: https://www.econbiz.de/10014400821

Putting the New Keynesian Model to a Test

Straub, Roland - 2006

In recent years, New Keynesian dynamic stochastic general equilibrium (NK DSGE) models have become increasingly popular in the academic literature and in policy analysis. However, the success of these models in reproducing the dynamic behavior of an economy following structural shocks is still...

Persistent link: https://www.econbiz.de/10014402244

On the Heterogeneity Bias of Pooled Estimators in Stationary VAR Specifications

Rebucci, Alessandro - 2003

This paper studies asymptotically the bias of the fixed effect (FE) estimator induced by cross-section heterogeneity in the slope parameters of stationary vector autoregressions (VARs). The paper also compares the FE, the mean group estimator (MG), and a simple instrumental variable alternative...

Persistent link: https://www.econbiz.de/10014403829