Similar Search Results

Modelling and Forecasting UK Mortgage Arrears and Possessions

Aron, Janine; Muellbauer, John - C.E.P.R. Discussion Papers - 2010

quarterly data over 1983-2009. A second innovation is the theory-justified use of an estimate of the proportion of mortgages in …

Persistent link: https://www.econbiz.de/10008611018

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Acharya, Viral V; Engle III, Robert F; Pierret, Diane - C.E.P.R. Discussion Papers - 2013

capital once stress-test losses are taken into account. In particular, the continued reliance on regulatory risk weights in …

Persistent link: https://www.econbiz.de/10011083469

Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights

Acharya, Viral V; Engle III, Robert F; Pierret, Diane - C.E.P.R. Discussion Papers - 2014

stress-test losses are taken into account. In particular, the continued reliance on regulatory risk weights in stress tests …

Persistent link: https://www.econbiz.de/10011083787

Bank Networks: Contagion, Systemic Risk and Prudential Policy

Aldasoro, Iñaki; Delli Gatti, Domenico; Faia, Ester - C.E.P.R. Discussion Papers - 2015

We present a network model of the interbank market in which optimizing risk averse banks lend to each other and invest in non-liquid assets. Market clearing takes place through a tâtonnement process which yields the equilibrium price, while traded quantities are determined by means of a...

Persistent link: https://www.econbiz.de/10011252622

No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2014

We propose a method to produce density forecasts of the term structure of government bond yields that accounts for (i) the possible mispecification of an underlying Gaussian Affine Term Structure Model (GATSM) and (ii) the time varying volatility of interest rates. For this, we derive a Bayesian...

Persistent link: https://www.econbiz.de/10011083412

The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

Andreasen, Martin M.; Fernández-Villaverde, Jesús; … - C.E.P.R. Discussion Papers - 2013

simulation is required. We illustrate the usefulness of our approach by estimating a New Keynesian model with habits and Epstein …

Persistent link: https://www.econbiz.de/10011083616

Forecasting Time Series Subject to Multiple Structural Breaks

Pesaran, M Hashem; Pettenuzzo, Davide; Timmermann, Allan G - C.E.P.R. Discussion Papers - 2004

This Paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if...

Persistent link: https://www.econbiz.de/10005791366

Solving Heterogeneous-Agent Models with Parameterized Cross-Sectional Distributions

Algan, Yann; Allais, Olivier; Den Haan, Wouter - C.E.P.R. Discussion Papers - 2007

disadvantages of the prevailing algorithm that strongly relies on simulation techniques and is easier to implement than existing … possible to avoid Monte Carlo integration. The paper also develops a new simulation procedure that not only avoids cross … finite number of agents. This procedure can help to improve the efficiency of the most popular algorithm in which simulation …

Persistent link: https://www.econbiz.de/10005114163

The Great Mortgaging: Housing Finance, Crises, and Business Cycles

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

This paper unveils a new resource for macroeconomic research: a long-run dataset covering disaggregated bank credit for 17 advanced economies since 1870. The new data show that the share of mortgages on banks’ balance sheets doubled in the course of the 20th century, driven by a sharp rise of...

Persistent link: https://www.econbiz.de/10011083232

Betting the House

Jordà, Òscar; Schularick, Moritz; Taylor, Alan M. - C.E.P.R. Discussion Papers - 2014

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...

Persistent link: https://www.econbiz.de/10011145419