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Beyond connectedness: a covariance decomposition based network risk model
Akovalı, Umut - 2020
This study extends the Diebold-Yilmaz Connectedness Index (DYCI) methodology and, based on forecast error covariance …, system-wide connectedness averages out the information embedded in the covariance matrix in aggregating pairwise directional … model is estimated for different shock sizes. It is shown, in contrast to the DYCI model, the dynamic quantile estimation of …
Persistent link: https://www.econbiz.de/10012170580
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Systemic risk contributions : a credit portfolio approach
Düllmann, Klaus; Puzanova, Natalia - 2011
We put forward a Merton-type multi-factor portfolio model for assessing banks’ contributions to systemic risk. This model accounts for the major drivers of banks’ systemic relevance: size, default risk and correlation of banks’ assets as a proxy for interconnectedness. We measure systemic...
Persistent link: https://www.econbiz.de/10009011220
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Dynamic CoVaR
Pinheiro, Jorge; C. Herculano, Miguel - 2021
Its conceptual appeal has made the Conditional Value at Risk (CoVaR) one of the most influential systemic risk indicators. Despite its popularity, an outstanding methodological challenge may hamper the CoVaRs’ accuracy in measuring the time-series dimension of systemic risk. The dynamics of...
Persistent link: https://www.econbiz.de/10013211507
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On the Interaction between Market and Credit Risk : A Factor-Augmented Vector Autoregressive (FAVAR) Approach
Fiori, Roberta - 2011
The aim of the paper is to understand the interaction between market and credit risk. Using a comprehensive set of Italian data, we apply a factor model to identify the common sources of risk driving fluctuations in the real and financial sectors. The common latent factors are then inserted in a...
Persistent link: https://www.econbiz.de/10013128108
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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10011790776
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U.S. monetary-fiscal regime changes in the presence of endogenous feedback in policy rules
Chang, Yoosoon; Kwak, Boreum - Leibniz-Institut für Wirtschaftsforschung Halle - 2017
We investigate U.S. monetary and fiscal policy regime interactions in a model, where regimes are determined by latent autoregressive policy factors with endogenous feedback. Policy regimes interact strongly: Shocks that switch one policy from active to passive tend to induce the other policy to...
Persistent link: https://www.econbiz.de/10011657240
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Decomposing systemic risk : the roles of contagion and common exposures
Hałaj, Grzegorz; Hipp, Ruben - 2024
We evaluate the effects of contagion and common exposure on banks' capital through a regression design inspired by the structural VAR literature and derived from the balance sheet identity. Contagion can occur through direct exposures, fire sales, and market-based sentiment, while common...
Persistent link: https://www.econbiz.de/10014527066
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The macroeconomic cost of climate volatility
Alessandri, Piergiorgio; Mumtaz, Haroon - 2021
We study the impact of climate volatility on economic growth exploiting data on 133 countries between 1960 and 2005. We show that the conditional (ex ante) volatility of annual temperatures increased steadily over time, rendering climate conditions less predictable across countries, with...
Persistent link: https://www.econbiz.de/10012608712
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Narrative sign restrictions for SVARs
Antolín-Díaz, Juan; Rubio-Ramírez, Juan Francisco - 2016
We identify structural vector autoregressions using narrative sign restrictions. Narrative sign restrictions constrain the structural shocks and the historical decomposition around key historical events, ensuring that they agree with the established narrative account of these episodes. Using...
Persistent link: https://www.econbiz.de/10011570683
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Global uncertainty
Caggiano, Giovanni; Castelnuovo, Efrem - 2021
the world output loss that materialized during the great recession would have been 13% lower in absence of GFU shocks. We … after GFU shocks, the larger the world output contraction is. …
Persistent link: https://www.econbiz.de/10012431805