Showing 1 - 10 of 390
This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord ("Basel II"). Operational risk is commonly defined as the risk of loss resulting from...
Persistent link: https://www.econbiz.de/10005768778
This paper presents a normative analysis of monetary policy in a non-Ricardian economy with an active stock market: it derives a welfare-based monetary policy loss function consistent with Calvo and Obstfeld (1988), and shows that financial stability arises as an additional and independent...
Persistent link: https://www.econbiz.de/10010856765
We extend the standard Smets-Wouters (2007) medium-sized DSGE model in two directions, namely to analyse the effects of news and the Keynesian multiplier, and secondly to incorporate a fiscal policy rule. We show that both the news channel and the government spending fiscal policy rule...
Persistent link: https://www.econbiz.de/10010860643
This paper uses panel vector autoregressive models and simulations of an estimated DSGE model to explore the reaction of Euro–area banks to the global financial crisis. We focus on their interest–rate setting behavior in response to standard macroeconomic shocks. Our main empirical finding...
Persistent link: https://www.econbiz.de/10010877927
This study develops a stylised DSGE model, that departs in one aspect: it replaces the general equilibrium approach by disequilibrium economics. In this way, richer macroeconomic adjustment dynamics result, as it is not necessary to assume that goods and labour markets continuously clear. The...
Persistent link: https://www.econbiz.de/10010877936
In this paper we expanded the closed economy model by Bernanke and Gertler (1999) in order to account for the macroeconomic effects of an asset price bubble in the context of a small open economy model. During the nineties emerging market economies opened their financial accounts to foreign...
Persistent link: https://www.econbiz.de/10010885940
A small-scale, but highly-stylized dynamic stochastic general equilibrium model is estimated by the maximum likelihood method using Chinese quarterly data. Model specifications and parameter equalities between various competing model variants are addressed by formal statistical hypothesis tests,...
Persistent link: https://www.econbiz.de/10010888576
We add the Bernanke-Gertler-Gilchrist model to a world model consisting of the US, the Eurozone and the Rest of the World in order to explore the causes of the banking crisis. We test the model against linear-detrended data and reestimate it by indirect inference; the resulting model passes the...
Persistent link: https://www.econbiz.de/10010903794
Various papers have identified shocks to investment as major drivers of output, investment, hours, and interest rates. These investment shocks have been linked to financial frictions because financial markets are instrumental in transforming consumption goods into installed capital. However, the...
Persistent link: https://www.econbiz.de/10010904144
This paper examines how and to what extent parameter estimates can be biased in a dynamic stochastic general equilibrium (DSGE) model that omits the zero lower bound constraint on the nominal interest rate. Our experiments show that most of the parameter estimates in a standard sticky-price DSGE...
Persistent link: https://www.econbiz.de/10010904229