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We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as...
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This paper presents a general equilibrium model with endogenous collateral constraints to study the relationship between financial development and business cycle fluctuations in a cross-section of economies with different sizes of their financial sector. The financial sector can amplify or...
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estimate the impact of foreign bank presence on the level and volatility of real credit in a panel of eight Latin American … bank presence has contributed to reduce real credit volatility, improving the buffer shock function of the banking sector … quality assets and having access to a broad set of liquidity sources. -- foreign banks ; credit volatility ; Latin America …
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