In its document “Basel III: A global regulatory framework for more resilient banks and banking systems”, the Basel Committee set a CVA methodology for the trading book, at a time the determination of the credit spread for those entities interested in advanced models in their risk management...

Some authors argue that the delayed overshooting puzzle often found in the literature is an artifact of improper identification of monetary policy shocks, like Cholesky ordering. We investigate this claim by estimating the dynamic effect of monetary policy shocks on exchange rate using various...

This paper derives and presents mean leads and lags as well as patterns of relative importance weights implied by the PAC (polynomial-adjustment-cost) error-correction equations which form the core of the FRB/US model at the Federal Reserve Board. Relative importance weights measure the...

Relatively small sectoral productivity shocks could lead to sizable macroeconomic variability. Whereas most contributions in the literature analyze the issue of aggregate sensitivity using simple general equilibrium models, a novel approach is proposed in this paper, based on stochastic...

Using China's macro data from 1952-1989, the stationarity and causality tests tp two types of economic aggregates are applied. The first type relates to the conventional money, income and consumption relationship; and the other is associated with the interest rate, money and investment/income...

We propose a model for analyzing euro area trade based on the interaction between macroeconomic and trade variables. First, we show that macroeconomic variables are necessary to generate accurate short-term trade forecasts; this result can be explained by the high correlation between trade and...

As projections have inflation heading back toward target and the labor market continuing to improve, the Federal Reserve has begun to contemplate an increase in the federal funds rate. There is however substantial uncertainty around these projections. How should this uncertainty affect monetary...

This paper reviews the evidence on how households in Sub-Saharan Africa segment along consumption, income and earning dimensions relevant for quantitative macroeconomic policy models which incorporate heterogeneity. Key findings include the importance of home-grown food in the income and...

This paper quantifies the effects of external risks for Peru, with particular attention to two major external risks, China's investment slowdown and the U.S. monetary policy tightening. In particular, a macroeconomic model for a small open and partially dollarized economy is developed and...