This paper develops and estimates the quantity based Markov-switching(MS) monetary policy rule for China. The MS … regression results show that China's monetary policy rule does exist regime changes, and the best fit is with a version that … in monetary shock's variance and steady-state of M2 growth rate. Based on the Bayesian estimation of MS-DSGE model, I …

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a … credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a … sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these …

real activity to a financial uncertainty shock during and in the aftermath of the great recession. We replicate this … estimated framework to quantify the output loss due to the large uncertainty shock that materialized in 2008Q3. We find such a … shock to be able to explain about 60% of the output loss in the 2008-2014 period. The same estimated model unveils the role …

that such disturbances are important drivers of output fluctuations in both economies, we find the shock responses of …

recessionary effects of uncertainty and can result in aggregate dynamics consistent with a supply-side shock. …