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Tracking the trend of quinoa price in Bolivia : structural breaks and persistence of shocks
Aliaga Lordemann, Javier; Garrón Vedia, Ignacio; Lenis … - 2024
Quinoa has evolved considerably in the past decades, becoming consolidated as a fundamental pillar for Andean farming communities and emerging as a prominent actor in the global superfood market. Despite this, prices of this grain have been characterized by complex dynamics, with substantial...
Persistent link: https://www.econbiz.de/10014551311
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Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate
Liao, Wenting; Ma, Jun; Zhang, Chengsi - In: Journal of international money and finance 143 (2024), pp. 1-24
Persistent link: https://www.econbiz.de/10014551345
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The return of expansionary austerity : firms' investment response to fiscal adjustments in emerging markets
Magud, Nicolas; Pienknagura, Samuel - In: Journal of international money and finance 143 (2024), pp. 1-28
Persistent link: https://www.econbiz.de/10014551358
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Dynamic effects of persistent shocks
Alloza, Mario; Gonzalo, Jesús; Sanz, Carlos
particular, standard local projections identify responses that include an effect due to the persistence of the shock, while … projections and moving average representations. In particular, the inclusion of leads of the shock in local projections allows to … proyecciones locales estándar identifi can respuestas que incluyen un efecto debido a la persistencia del shock, mientras que las …
Persistent link: https://www.econbiz.de/10012523677
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Stress-Test Exercises and the Pricing of Very Long-Term Bonds
Dubecq, Simon - Université Paris-Dauphine (Paris IX) - 2013
potential reaction to the shock of the portfolio manager.
 The second part of the thesis is devoted to the pricing of bonds with …
Persistent link: https://www.econbiz.de/10011074681
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Revisiting Identification and estimation in Structural VARMA Models
Gouriéroux, Christian; Monfort, Alain - Centre de Recherche en Économie et Statistique … - 2014
The basic assumption of a structural VARMA model (SVARMA) is that it is driven by a white noise whose components are uncorrelated (or independent) and are interpreted as economic shocks, called "structural" shocks. These models have to face two kinds of identification problems. The first...
Persistent link: https://www.econbiz.de/10011097428
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On the equilibrium state of the one-dimensional near-symmetric simple exclusion process
Zhang, Fuxi; Zhang, Wei - In: Statistics & Probability Letters 98 (2015) C, pp. 20-28
In the simple exclusion process on Z, a particle waits for a unit exponential time, then tries to jump to its right with probability p≥1/2 and left with probability q=1−p. In asymmetric case, the only non-translation invariant extremal stationary measures are πκ together with its shifts,...
Persistent link: https://www.econbiz.de/10011189318
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Shock on Variable or Shock on Distribution with Application to Stress-Tests
Dubecq, S.; Gourieroux, C. - Banque de France - 2012
The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...
Persistent link: https://www.econbiz.de/10009652356
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Multiple shocks in a driven diffusive system with two species of particles
Jafarpour, Farhad H. - In: Physica A: Statistical Mechanics and its Applications 358 (2005) 2, pp. 413-422
A one-dimensional driven diffusive system with two types of particles and nearest neighbors’ interactions has been considered on a finite lattice with open boundaries. The particles can enter and leave the system from both ends of the lattice and there is also a probability for converting the...
Persistent link: https://www.econbiz.de/10010588440
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Shock on Variable or Shock on Distribution with Application to Stress-Tests
Dubecq, Simon; Gouriéroux, Christian - Centre de Recherche en Économie et Statistique … - 2012
The shocks on a stochastic system can be defined by means of either distribution, or variable. We relate these approaches and provide the link between the global and local effects of both types of shocks. These methodologies are used to perform stress-tests on the portfolio of financial...
Persistent link: https://www.econbiz.de/10010548475