probabilities, on reduced-form credit risk stress testing. This type of uncertainty is omnipresent in most macroeconomic stress … testing applications due to short time series for banks' portfolio risk parameters and highly collinear macroeconomic … distributions and implied capital shortfalls by conducting a full-edged top-down credit risk stress test for over 1,500 German banks …

Many central banks worldwide announce numerical inflation targets, typically ranging from zero to two percent in … advanced economies and higher in developing countries. Historically, a significant gap existed between the inflation targets … for zero or negative inflation targets and surveys new forces justifying positive targets. Key factors include (i) trends …

dynamics of inflation implied by macroeconomic data, the model needs to assume an average duration of price contracts which is …

Jackman (1991), we investigate the relationship between inflation and the share more formally by estimating a pricing equation … and Lopez-Salido (2000) relationship between inflation and marginal costs in the limiting case of a constant equilibrium … between inflation and the labour share over the last 30 years in the UK and so the share contains information that helps to …

find a higher average forecast accuracy of models that incorporate information on inflation expectations from the ECB’s SPF … inflation expectations are typically not large but significant in some periods. Both short- and long-term expectations provide … (not always for the countries). The analysis is undertaken for headline inflation and inflation excluding energy and food …

way to come up with a measure of time-varying disaster risk in the spirit of Wachter (2013). Our findings imply that both … the disaster and the long-run risk paradigm can be extended towards explaining movements in the stock-bond return …

exploits the rounding patterns in individuals' responses to survey questions on inflation expectations (Binder, 2017). This … inflation expectations. …

sticky prices. Therefore, it is not optimal to simultaneously stabilize inflation and to close the natural output gap, even … higher optimal inflation volatility. …