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Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a … on extreme upper tail quantiles, leaning against the risk of extremely adverse market outcomes while active. …
Persistent link: https://www.econbiz.de/10012385032
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Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2023
Persistent link: https://www.econbiz.de/10014320683
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Model Uncertainty and Monetary Policy
Dennis, Richard - 2008
Model uncertainty has the potential to change importantly how monetary policy should be conducted, making it an issue that central banks cannot ignore. In this paper, I use a standard new Keynesian business cycle model to analyze the behavior of a central bank that conducts policy with...
Persistent link: https://www.econbiz.de/10012726361
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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
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Modeling extreme events : timevarying extreme tail shape
Schwaab, Bernd; Zhang, Xin; Lucas, André - 2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in Extreme Value Theory, but casts the model in a … model, we find the ECB program had a beneficial impact on extreme upper tail quantiles, leaning against the risk of …
Persistent link: https://www.econbiz.de/10012315434
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Financial disruptions and heightened uncertainty : a case for timely policy action
Nalban, Valeriu; Smadu, Andra - 2020
Persistent link: https://www.econbiz.de/10012231025
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An unconventional FX tail risk story
Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023
We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and … effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is …
Persistent link: https://www.econbiz.de/10014336426
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An unconventional FX tail risk story
Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023
Persistent link: https://www.econbiz.de/10014439419
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An unconventional fx tail risk story
Cañón, Carlos Iván; Gerba, Eddie; Pambira, Alberto; … - 2023
Persistent link: https://www.econbiz.de/10014433563
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Uncertainty shocks, banking frictions, and economic activity
Bonciani, Dario; Roye, Björn van - 2013
In this paper we investigate the effects of uncertainty shocks on economic activity using a Dynamic Stochastic General Equilibrium (DSGE) model with heterogenous agents and a stylized banking sector. We show that frictions in credit supply amplify the effects of uncertainty shocks on economic...
Persistent link: https://www.econbiz.de/10009761866