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Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine - 2003
A stochastic volatility model where volatility was driven solely by a latent variable called news was estimated for … volatilities. Volatility persistence being close to one was consistent with both volatility clustering and mean reversion … specification improvements were always possible. The model corroborated stylized findings in volatility modeling and has potential …
Persistent link: https://www.econbiz.de/10014400143
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Stochastic Volatilities and Correlations, Extreme Values and Modeling the Macroeconomic Environment, Under Which Brazilian Banks Operate
Souto, Marcos - 2007
appropriately. Finally, we implement a simple stochastic volatility model and simulate the credit transition matrix for two large … the constant volatility case. In particular, it can shift CTM probabilities towards lower credit risk categories …
Persistent link: https://www.econbiz.de/10014399716
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An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy
Poghosyan, Tigran - 2011
, and simulation results suggest that while the peg amplifies output, consumption and (price and wage) inflation volatility …
Persistent link: https://www.econbiz.de/10014402907
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A Simple Stochastic Approach to Debt Sustainability Applied to Lebanon
Gardner, E. H. - 2008
This paper applies a simple probabilistic approach to debt sustainability analysis to the case of Lebanon. The paper derives ""fan charts"" to depict the probability distribution of the government debt to GDP ratio under a medium-term adjustment scenario, as a result of shocks to GDP growth and...
Persistent link: https://www.econbiz.de/10014401863
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Imperfect Information and Saving in a Small Open Economy
Roitman, Agustin - 2011
Emerging markets are more volatile and face different types of shocks, in size and nature, compared to their developed counterparts. Accurate identification of the stochastic properties of shocks is difficult. We show evidence suggesting that uncertainty about the underlying stochastic process...
Persistent link: https://www.econbiz.de/10014402067
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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, to support the joint analysis of monetary and macroprudential policy. This state dependent conditional heteroskedasticity mechanism specifies the conditional variances of...
Persistent link: https://www.econbiz.de/10012300643
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More gray, more volatile? : aging and (optimal) monetary policy
Baksa, Daniel; Munkacsi, Zsuzsa - 2019
The evidence on the inflation impact of aging is mixed, and there is no evidence regarding the volatility of inflation … higher inflation volatility. Our paper is also the first, using this framework, to discuss how aging affects the transmission …
Persistent link: https://www.econbiz.de/10012103744
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An Intraday Pricing Model of Foreign Exchange Markets
Romeu, Rafael - 2003
Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have...
Persistent link: https://www.econbiz.de/10014400144
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Exchange Rate Volatility, Pricing to Market and Trade Smoothing
Faruqee, Hamid - 1997
This paper investigates the consequences of exchange rate volatility on the variability of export prices and quantities …
Persistent link: https://www.econbiz.de/10014400392
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Portfolio Diversification, Leverage, and Financial Contagion
Smith, T. Todd - 1999
portfolio theory without recourse to market imperfections. It also demonstrates that “Value-at-Risk” portfolio management rules …
Persistent link: https://www.econbiz.de/10014400415