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Equilibrium Impact of Value-At-Risk
Leippold, Markus; Trojani, Fabio; Vanini, Paolo - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) regulation in continuous time economies with intermediate consumption, stochastic opportunity set, and heterogenous attitudes to risk. Our findings...
Persistent link: https://www.econbiz.de/10005858903
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JBendge: An Object-Oriented System for Solving, Estimating and Selecting Nonlinear Dynamic Models
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
and we use it for the integrals arising in rational expectations and in nonlinear state space filters. The estimation step …
Persistent link: https://www.econbiz.de/10005860533
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Solving, Estimating and Selecting Nonlinear Dynamic Models without the Curse of Dimensionality
Winschel, Viktor; Krätzig, Markus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse … variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers …. Finally, we provide all algorithms in the open source software JBendge for the solution and estimation of a general class of …
Persistent link: https://www.econbiz.de/10005860578
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A New Perspective on “The New Rule” Of the CurrentAccount
Tille, Cédric; Van Wincoop, Eric - Swiss National Centre of Competence in Research North … - 2009
In an in‡uential series of contributions, Kraay and Ventura (2000, 2003) o¤er a“new rule” for the current account: in response to a temporary income shock, thechange in the current account is equal to the change in saving times the ratio of netforeign assets to wealth. We analyze the...
Persistent link: https://www.econbiz.de/10005868717
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Understanding Stock Return Volatility
Osambela, Emilio - Swiss National Centre of Competence in Research North … - 2008
This article studies the e¤ect of limited commitment on stock return volatility in a dynamicgeneral equilibrium economy populated by investors with heterogeneous beliefs. Due to het-erogeneity of beliefs investors disagree about the fundamentals, introducing an additional riskfactor denoted...
Persistent link: https://www.econbiz.de/10005868969
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The Effects Of The 1925 Portuguese Bank Note Crisis
Wigan, Henry - London School of Economics and Political Science - 2004
On 5 December 1925, the ‘Portuguese Bank Note Bubble’ burst. The Lisbon daily newspaper, O Século (The Century), revealed the swindle in the headline ‘O Pais em Crise’ (The Country in Crisis). The article describes how twenty-eight year old white-collar worker, Artur Virgilio Alves...
Persistent link: https://www.econbiz.de/10005870587
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The Banking CrisisReflected in the Financial Order of the Real World
Maier, Helmut - Leontief-Institut für Wirtschaftsanalyse <Berlin> - 2008
of superior economic and financial order acting within the real world (equal natural world). Within this order (equal …
Persistent link: https://www.econbiz.de/10005871206
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The Present Banking and Financial CrisisReflected in the Financial Order of the Real World
Maier, Helmut - Leontief-Institut für Wirtschaftsanalyse - 2009
superior economic and financial order within the real world (equal natural world). Within this order (equal natural order … energy included in the eaten grass. Both payment transfers are observably made by eating. As humans live in the natural world … as well as in the human world they are subjected to both economic and financial orders. …
Persistent link: https://www.econbiz.de/10005871211
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The AIG bailout
Sjostrom, William K. - International Association for the Study of Insurance … - 2010
Credit default swap portfolio securities lending program, inability to access capital markets, credit rating downgrade
Persistent link: https://www.econbiz.de/10005871224
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DO RISK PREMIA PROTECT AGAINST BANKING CRISES?
Gersbach, Hans; Wenzelburger, Jan - 2008
This paper examines the question to what extent premia for macroeconomic risks inbanking are sufficient to avoid banking crises. We investigate a competitive bankingsystem embedded in an overlapping-generations model subject to repeatedmacroeconomic shocks. We show that even if banks fully...
Persistent link: https://www.econbiz.de/10009138468