Identifying the drivers of credit cycles is crucial for prudential regulation. We show in a model that investor sentiments result in excessive asset price movements, leading to sharp credit reversals. Motivated by this, we decompose fluctuations in stock prices into fundamental and noise shocks...

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank (monetary and liquidity) measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail...

We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence the dynamics of the coefficients in these models. An estimation algorithm and a parametrization conducive to model comparison are also...