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Testing Macroprudential Stress Tests : The Risk of Regulatory Risk Weights

Acharya, Viral V. - 2015

shortfalls are measured relative to risk-weighted assets, the ranking of financial institutions is very different from the V …-Lab stress test, whereas when measured relative to total assets, the results are quite similar. We show that the risk measures … used in risk-weighted assets are cross-sectionally uncorrelated with market measures of risk as they do not account for the …

Persistent link: https://www.econbiz.de/10013035758

The Macroeconomic Impact of Financial and Uncertainty Shocks

Caldara, Dario - 2016

The extraordinary events surrounding the Great Recession have cast a considerable doubt on the traditional sources of macroeconomic instability. In their place, economists have singled out financial and uncertainty shocks as potentially important drivers of economic fluctuations. Empirically...

Persistent link: https://www.econbiz.de/10013210407

The impacts of economic policy uncertainty on trade flow

Borojo, Dinkneh Gebre; Jiang, Yushi; Miao, Miao - In: Emerging markets, finance & trade : a journal of the … 58 (2022) 8, pp. 2258-2272

Persistent link: https://www.econbiz.de/10013190356

Economic policy uncertainty and volatility of treasury futures

Zhang, Maojun; Zhao, Yang; Nan, Jiangxia - In: Review of derivatives research 25 (2022) 1, pp. 93-107

Persistent link: https://www.econbiz.de/10013191386

Economic Policy Uncertainty and the Yield Curve

Leippold, Markus; Matthys, Felix - 2022

Persistent link: https://www.econbiz.de/10013192097

The nexus between lockdown shocks and economic uncertainty : empirical evidence from a VAR model

Hafemann, Lucas - 2021

The contribution of this paper is twofold. First, we introduce a daily vector autoregression (VAR) model for the US economy that allows discerning between lockdown shocks and a real business cycle shocks. With this methodology at hand, we then evaluate the impact of lockdown measures on economic...

Persistent link: https://www.econbiz.de/10012608525

COVID-induced economic uncertainty

Baker, Scott; Bloom, Nicholas; Davis, Steven J.; Terry, … - 2020

Persistent link: https://www.econbiz.de/10012221576

The economic policy uncertainty spillovers of the UK on its top trading partners

Thi Ngoc Lan Dinh - In: Eurasian Business and Economics Perspectives : …, (pp. 339-360). 2022

Persistent link: https://www.econbiz.de/10013174404

Housing sector and economic policy uncertainty : a GMM panel VAR approach

Balcilar, Mehmet; Roubaud, David; Uzuner, Gizem; Wohar, … - In: International review of economics & finance : IREF 76 (2021), pp. 114-126

Persistent link: https://www.econbiz.de/10013175755

Global Impacts of Us Monetary Policy Uncertainty Shocks

Lastauskas, Povilas; Minh, Anh - 2021

We build a new empirical model to estimate the global impact of an increase in the volatility of US monetary policy shocks. Specifically, we admit time-varying variances of local structural shocks from a stochastic volatility specification. By allowing for rich dynamic interaction between the...

Persistent link: https://www.econbiz.de/10013243822