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Evaluating covariance matrix forecasts in a value-at-risk framework

Lopez, Jose A.; Walter, Christian A. - Federal Reserve Bank of San Francisco - 2000

Covariance matrix forecasts of financial asset returns are an important component of current practice in financial risk … matrix forecasts using standard statistical loss functions and a value-at-risk (VaR) framework. This framework consists of …

Persistent link: https://www.econbiz.de/10005514423

Conditional risk and return in bank holding company stocks: a factor- GARCH approach

Neuberger, Jonathan A. - Federal Reserve Bank of San Francisco - 1994

Persistent link: https://www.econbiz.de/10005078258

Monetary policy and the theory of the risk-averse bank

Stiglitz, Joseph; Greenwald, Bruce - Federal Reserve Bank of San Francisco - 1993

Persistent link: https://www.econbiz.de/10005078332

Evaluating covariance matrix forecasts in a value-at-risk framework

Lopez, Jose A.; Walter, Christian A. - Federal Reserve Bank of San Francisco - 2000

Persistent link: https://www.econbiz.de/10010702240

Expectations traps and coordination failures: selecting among multiple discretionary equilibria

Dennis, Richard; Kirsanova, Tatiana - Federal Reserve Bank of San Francisco - 2010

Discretionary policymakers cannot manage private-sector expectations and cannot co- ordinate the actions of future policymakers. As a consequence, expectations traps and coordination failures can occur and multiple equilibria can arise. To utilize the explanatory power of models with multiple...

Persistent link: https://www.econbiz.de/10008464873

A frequency decomposition of approximation errors in stochastic discount factor models

Cogley, Timothy - Federal Reserve Bank of San Francisco - 1997

, but only in models with high degrees of risk aversion. In models with low degrees of risk aversion, approximation errors …

Persistent link: https://www.econbiz.de/10005514431

Inflation scares and forecast-based monetary policy

Orphanides, Athanasios; Williams, John C. - Federal Reserve Bank of San Francisco - 2003

Central banks pay close attention to inflation expectations. In standard models, however, inflation expectations are tied down by the assumption of rational expectations and should be of little independent interest to policy makers. In this paper, we relax the assumption of rational expectations...

Persistent link: https://www.econbiz.de/10005514433

The recent shift in term structure behavior from a no-arbitrage macro-finance perspective

Rudebusch, Glenn D.; Wu, Tao - Federal Reserve Bank of San Francisco - 2004

This paper examines a recent shift in the dynamics of the term structure and interest rate risk. We first use standard … then estimate dynamic, affine, no-arbitrage models, which exhibit a significant difference in behavior that can be largely … attributed to changes over time in the pricing of risk associated with a “level” factor. Finally, we suggest a link between the …

Persistent link: https://www.econbiz.de/10005514436

Returns on illiquid assets: are they fair games?

Krainer, John; LeRoy, Stephen F. - Federal Reserve Bank of San Francisco - 1997

The simplest tests of capital market efficiency are tests of the fair game model: conditional expected returns less the interest rate are equal to zero. The fair game model is thought to obtain only when markets are perfectly liquid. We show that this conjecture is false. In a model of the...

Persistent link: https://www.econbiz.de/10005514438

The bond premium in a DSGE model with long-run real and nominal risks

Rudebusch, Glenn; Swanson, Eric - Federal Reserve Bank of San Francisco - 2008

's ability to fit the data with a lower level of household risk aversion. …

Persistent link: https://www.econbiz.de/10005498387