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Risk endogeneity at the lender/investor-of-last-resort

Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019

operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank …We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

Persistent link: https://www.econbiz.de/10011959298

Risk endogeneity at the lender/investor-of-last-resort

Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019

Persistent link: https://www.econbiz.de/10011981369

Monetary risk measures for stochastic processes via Orlicz duality

Kountzakis, Christos E.; Rossello, Damiano - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 35-56

Persistent link: https://www.econbiz.de/10013380529

Risk measurement : a central bank perspective

Lowe, Philip - In: Bulletin / Reserve Bank of Australia (2006), pp. 22-27

Persistent link: https://www.econbiz.de/10003375485

Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets

Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16

This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...

Persistent link: https://www.econbiz.de/10012292914

Quantifying financial stability trade-offs for monetary policy : a quantile VAR approach

Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023

euro area covering the real economy, monetary policy and measures of ex ante and ex post systemic risk representing … take a risk management perspective, One exercise considers the intertemporal financial stability trade-off in the context …

Persistent link: https://www.econbiz.de/10014343148

Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach

Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10010526458

Monetary policy uncertainty

Husted, Lucas; Rogers, John H.; Sun, Bo - 2017

We construct new measures of uncertainty about Federal Reserve policy actions and their consequences - monetary policy uncertainty (MPU) indexes. We show that, under a variety of VAR identification schemes, positive shocks to uncertainty about monetary policy robustly raise credit spreads and...

Persistent link: https://www.econbiz.de/10011780289

Financial disruptions and heightened uncertainty : a case for timely policy action

Nalban, Valeriu; Smadu, Andra - 2020

Persistent link: https://www.econbiz.de/10012231025

Macroeconomic uncertainty : what is it, how can we measure it and why does it matter?

Haddow, Abigail; Hare, Chris - In: Quarterly bulletin / Bank of England 53 (2013) 2, pp. 100-109

Persistent link: https://www.econbiz.de/10010187914