This paper exploits a recent and granular data set for 1,500 German LSIs to conduct a residential mortgage stress testing exercise. To account for model uncertainty when modeling PD dynamics we use a benchmark-constrained Bayesian model averaging approach that combines standard BMA with a...

In this paper we study the impact of model uncertainty, which occurs when linking a stress scenario to default probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress testing applications due to short time series for banks'...

There is still some doubt about those economic variables that really matter for the FED’s decisions. In comparison to other estimations, this study uses the approach of Bayesian Model Averaging (BMA). The estimations show that over the long run in?ation, unemployment rates, and long-term...

This paper examines the long-run relationship between trade open-ness and economic growth across countries over the period 1960-2000. Two strategies are followed in empirical investigation. First, we extend the augmented neo-classical growth model with an openness variable and estimate it by...

Model uncertainty hampers consensus on the key determinants of economic growth. Some recent cross-country cross-sectional analyses have employed Bayesian model averaging to tackle the issue of model uncertainty. This paper extends that approach to panel data models with country-specific fixed...

Turkey’s current account deficit widened to almost 10% of GDP in 2011 and has been narrowing only gradually since. An important question is to what extent Turkey’s current account deficit is excessive. To explore this issue, one needs to establish benchmarks. In this paper current account...