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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
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
Persistent link: https://www.econbiz.de/10010479429
GSIBs and GSIIs, using publicly-available daily equity returns and intra-day volatility data from October 2007 to August … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to …
Persistent link: https://www.econbiz.de/10011743090
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative...
Persistent link: https://www.econbiz.de/10014399636
Adequate modeling of the seasonal structure of consumer prices is essential for inflation forecasting. This paper suggests a new econometric approach for jointly determining inflation forecasts and monetary policy stances, particularly where seasonal fluctuations of economic activity and prices...
Persistent link: https://www.econbiz.de/10014402063
, and simulation results suggest that while the peg amplifies output, consumption and (price and wage) inflation volatility …
Persistent link: https://www.econbiz.de/10014402907
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
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
This paper argues that structural weaknesses may make private investment particularly sensitive to business confidence relative to other traditional investment drivers and global shocks. It gauges the importance of confidence over recent years in selected countries in Central America, including...
Persistent link: https://www.econbiz.de/10012485965