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The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks

Kilian, Lutz; Manganelli, Simone - C.E.P.R. Discussion Papers - 2003

situation poses to price stability. We propose to regard the central banker as a risk manager who aims to contain inflation … within pre-specified bounds. We develop formal tools of risk management that may be used to quantify and forecast the risks … of failing to attain that objective. We illustrate the use of these risk measures in practice. First, we show how to …

Persistent link: https://www.econbiz.de/10005123620

How did we get to where we are now? Reflections on 50 years of macroeconomic and financial econometrics

Wickens, Michael R. - C.E.P.R. Discussion Papers - 2014

This lecture is about how best to evaluate economic theories in macroeconomics and finance, and the lessons that can be learned from the past use and misuse of evidence. It is argued that all macro/finance models are `false' so should not be judged solely on the realism of their assumptions. The...

Persistent link: https://www.econbiz.de/10011083483

Understanding Uncertainty Shocks and the Role of Black Swans

Orlik, Anna; Veldkamp, Laura - C.E.P.R. Discussion Papers - 2014

parameter estimates, especially those that affect the risk of a black swan, explain most of the shocks to uncertainty. …

Persistent link: https://www.econbiz.de/10011084011

Banking and the Macroeconomy in China: A Banking Crisis Deferred?

Le, Vo Phuong Mai; Matthews, Kent; Meenagh, David; … - C.E.P.R. Discussion Papers - 2013

The downturn in the world economy following the global banking crisis has left the Chinese economy relatively unscathed. This paper develops a model of the Chinese economy using a DSGE framework with a banking sector to shed light on this episode. It differs from other applications in the use of...

Persistent link: https://www.econbiz.de/10011084147

Spatial Methods

Gibbons, Steve; Overman, Henry G; Patacchini, Eleonora - C.E.P.R. Discussion Papers - 2014

This paper is concerned with methods for analysing spatial data. After initial discussion on the nature of spatial data, including the concept of randomness, we focus most of our attention on linear regression models that involve interactions between agents across space. The introduction of...

Persistent link: https://www.econbiz.de/10011084195

Monetarism rides again? US monetary policy in a world of Quantitative Easing

Le, Vo Phuong Mai; Meenagh, David; Minford, Patrick - C.E.P.R. Discussion Papers - 2014

Rule, monetary policy can affect the risk-premium on bank lending to firms by varying the supply of M0 in open market … still crowds out investment via the risk-premium. A simple rule for making M0 respond to credit conditions can substantially …

Persistent link: https://www.econbiz.de/10011084208

Methods versus Substance: Measuring the Effects of Technology Shocks on Hours

Fuentes-Albero, Cristina; Kryshko, Maxym; Ríos-Rull, … - C.E.P.R. Discussion Papers - 2009

In this paper, we employ both calibration and modern (Bayesian) estimation methods to assess the role of neutral and investment-specific technology shocks in generating fluctuations in hours. Using a neoclassical stochastic growth model, we show how answers are shaped by the identification...

Persistent link: https://www.econbiz.de/10008566322

Inference for VARs Identified with Sign Restrictions

Granziera, Eleonora; Lee, Mihye; Moon, Hyungsik Roger; … - C.E.P.R. Discussion Papers - 2011

There is a fast growing literature that partially identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). To date, the methods that have been used are...

Persistent link: https://www.econbiz.de/10009148879

Sources of Risk in Currency Returns

Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012

We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the … total currency risk over horizons of one to three months. …

Persistent link: https://www.econbiz.de/10011083487

Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

price of risk, and factors that are both. The estimators explicitly allow for time varying prices of risk, time varying … significant prices of risk which are found to be quantitatively more important than time varying betas in reducing pricing errors. …

Persistent link: https://www.econbiz.de/10011186634