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unknown future basket weights optimally forecasted from past exchange rate data? And, second, how is risk—in terms of the …
Persistent link: https://www.econbiz.de/10014400299
International macroeconomic policy coordination is generally considered to be made less likely—and less profitable—by the presence of uncertainty about how the economy works. The present paper provides a counter-example, in which increased uncertainty about portfolio preference of investors...
Persistent link: https://www.econbiz.de/10014397897
and then asses how they affect an emerging economy whose interest rate is affected by a world risk-free rate and a risk …
Persistent link: https://www.econbiz.de/10014399252
suggest that idiosyncratic risk is: higher at times of large return outcomes for the asset class as a whole; positively … autocorrelated; and correlated across different asset classes. The implications for risk management are discussed …
Persistent link: https://www.econbiz.de/10014400872
We study a banking model in which banks invest in a riskless asset and compete in both deposit and risky loan markets. The model predicts that as competition increases, both loans and assets increase; however, the effect on the loans-to-assets ratio is ambiguous. Similarly, as competition...
Persistent link: https://www.econbiz.de/10014402479
This paper provides an analytical overview of the most widely used capital flow datasets. The paper is written as a guide for academics who embark on empirical research projects and for policymakers who need timely information on capital flow developments to inform their decisions. We address...
Persistent link: https://www.econbiz.de/10012301943
This paper predicts downside risks to future real house price growth (house-prices-at-risk or HaR) in 32 advanced and … overvaluation, excessive credit growth, and tighter financial conditions jointly forecast higher house-prices-at-risk up to three … years ahead. House-prices-at-risk help predict future growth at-risk and financial crises. We also investigate and propose …
Persistent link: https://www.econbiz.de/10012252738
This paper introduces a simple, frequently and easily updated, close to the data epidemiological model that has been used for near-term forecast and policy analysis. We provide several practical examples of how the model has been used. We explain the epidemic development in the UK, the USA and...
Persistent link: https://www.econbiz.de/10012796794
This paper assesses liquidity risk for the United States (U.S.) bond mutual funds industry and performs a range of …
Persistent link: https://www.econbiz.de/10012605013
This paper reviews the rules in place in selected countries to limit risk concentrations in the credit portfolio. The … in imposing standards for risk diversification in the credit portfolio. The issues reviewed for each country are the …
Persistent link: https://www.econbiz.de/10014401441