In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...

In this research paper ARCH-type models are applied in order to estimate the Value-at-Risk (VaR)of an inflation-index futures portfolio for several time-horizons. The empirical analysis is carried out for Mexican inflation-indexed futures traded at the Mexican Derivatives Exchange (MEXDER). To...

I estimate a forward-looking, dynamic, discrete-choice monetary policy reaction function for the US economy, that accounts for the fact that there are substantial restrictions in the period-to-period changes of the Fed's policy instrument. I find a substantial contrast between the periods before...

The post-global financial crisis (GFC) macroeconomic dynamics in Korea displays diminished output and inflation variability with a slowdown in real activity, compared to the first decade of the 2000s. This paper investigates these two distinctive macroeconomic features in Korea by estimating a...

Development of Russian and world economies in Q2 2020 demonstrates that despite economic collapse countries are adapting to the current situation and in case there is no second wave of pandemic the crisis will take a V-type form. In particular, the oil price is unlikely to drop below $35 per...

The importance of the common features in macroeconomics particularly in real business cycle studies is by now widely understood and manifests itself in numerous studies. On the other hand, there has been very few works related to developing countries. This paper attempts to fill this gap, at...

The present paper assesses whether monetary policy effects are asymmetric over the business cycle by estimating a univariate model for GDP including additionally the first difference of the 3-month Austrian interest rate as a measure for monetary policy. The asymmetry of the effects is captured...

We analyze the issue of the impact of multiple breaks on monetary neutrality results, using a long annual international data set. We empirically verify whether neutrality propositions remain addressable (and if so, whether they hold or not), when unit root tests are carried out allowing for...