In recent years, an increasing number of central banks use macro stress-testing as a main tool to assess the robustness of the financial system against severe stresses to the economy, such as deep recessions and sharp rises in interest rates. This paper describes a framework for macro...

The deflation method that Italian National Accounts (NA) has adopted since the 2000 benchmark is based on moving-base deflators, so that deflating NA aggregates now means expressing them at the precedent year prices. The moving base deflators are the first step to calculate the chain linked...

The finite state Markov-Chain approximation method developed by Tauchen (1986) and Tauchen and Hussey (1991) is widely used in economics, finance and econometrics in solving for functional equations where state variables follow an autoregressive process. For highly persistent processes, the...

The finite state Markov-Chain approximation method developed by Tauchen (1986) and Tauchen and Hussey (1991) is widely used in economics, finance and econometrics in solving for functional equations where state variables follow an autoregressive process. For highly persistent processes, the...

This paper represents an empirical research of the growth process in the Russian banking sector during 2004-2010 years. The growth process is modelled by Markov chains. Nine states were used to describe the growth process. Markov chain stationarity check revealed three homogeneous periods. The...

We want to recover the transition kernel P of a Markov chain X when only a sub-sequence of X is available. The time gaps between the observations are iid with unknown distribution. We propose a method to build an estimator of P under the assumption that it has some zero entries. Its asymptotic...