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Persistent link: https://www.econbiz.de/10014305054
This paper investigates how interbank credit exposures affect financial stability. Policy makers often see such exposures as undermining stability by exacerbating cascading losses through the financial system. I develop a model that features a trade-off between cascading losses and risk-sharing....
Persistent link: https://www.econbiz.de/10013350529
We propose a novel copula approach to producing density forecasts of economic aggregates combining models using … disaggregate data. Our copula approach is more flexible compared to existing techniques, because it is applicable to any … consumer price index for underlying inflation (CPI-ATE). We find that the copula approach compares well to alternative methods …
Persistent link: https://www.econbiz.de/10013207340