In this paper, we aim at computing a long run Value at Risk for a portfolio of different assets and derivatives. The main innovation of the computation is to take into account a modelling of the systematic risk, which is shared by the different components of the portfolio. More precisely, we...

We focus on the concept of impulse in econometrics analysis of time series. We recognize two useful characterizations, which are respectively deterministic and stochastic.

In order to assess transmission mechanisms between global and domestic house prices, and possibly contagion effects, we use a large database of macroeconomic variables for OECD countries. We extract common factors to summarize the comovements of the variables and include them in stationary FAVAR...

The article contributes to the literature on financial fragility, studying how macro-economic shocks affect supply and demand in the corporate debt market. We take into account the effect of the competitive environment, as well as the risk level, measured by companies' default rate. The model is...

The paper contributes to the literature on the convergence of financial systems in the euro area by estimating household credit demand in individual countries. Using the ARDL framework advocated notably by Pesaran et al. (1999), the paper provides evidence on the convergence of long run credit...