measures, resulting from the new model, can be used to implement joint risk scenario analysis …

This paper investigates the interdependence between the risk-pooling activity of the financial sector and: output …, consumption, risk-free rate, and Sharpe ratio in a dynamic general equilibrium model of a productive economy. Due to their … to mitigate their risk through a financial sector. The financial sector pools risky claims issued by different firms …

This paper studies the impact of financial sector size and leverage on business cycles and risk-free rates dynamics. We … model a general equilibrium productive economy where financial intermediaries provide costly risk mitigation to households … intermediaries' relative size, but may also mitigate the business cycle. Moreover, it makes risk-free rates pro-cyclical. Households …

regulation. The main concern is that the new risk-sensitive bank capital regulation (Basel II) may amplify business cycle … that the latter is better in terms of simplicity, transparency, and consistency with banks' risk pricing and risk …

We investigate the extent to which various structural risks exacerbate the materialization of cyclical risk. We use a … role in explaining the severity of cyclical and credit risk materialization during financial cycle contractions. Among …

We analyze the relationship between uncertainty and economic growth expectations in Mexico through the Growth at Risk … measures of financial conditions, of economic policy uncertainty, and of risk exposure, as well as to alternative measurements …

Using regionally disaggregated data on economic activity, we show that risk sharing plays a key role in shaping the … real effects of monetary policy. With weak risk sharing, monetary policy shocks trigger a strong and durable response in … output. With strong risk sharing, the response is attenuated, and output reverts to its initial level over the medium term …