. 특히 EVT(extreme value theory)를 적용한 모형과 CAViaR(conditional autoregressive value at risk) 모형의 예측성과에 초점을 맞추었다. 실증 분석 결과, 채권 … particular, we focus on the predictive performance of the extreme value theory(EVT) models and the conditional autoregressive …

economic contraction to an exogenous country spread shock. To analyze the effect of alternative monetary policy on the economy … small economy with financial frictions is more vulnerable to the exogenous shocks such as the foreign exchange rate shock …