Showing 1 - 10 of 587
This paper links granular data of financial institutions to global macroeconomic variables using an infinite-dimensional vector autoregressive (IVAR) model framework. The approach taken allows for an assessment of the two-way links between the financial system and the macroeconomy, while...
Persistent link: https://www.econbiz.de/10011605794
Asymptotic analysis and Monte Carlo simulations show that spillover estimates obtained from widely-used bilateral (such as two-country VAR) models are significantly less accurate than those obtained from multilateral (such as global VAR) models. In particular, the accuracy of spillover estimates...
Persistent link: https://www.econbiz.de/10011605913
elementary part of financial sector stress-testing frameworks. Using the Global Vector Autoregressive(GVAR) model and … Satellite-GVAR model appears to be a useful tool for analysing plausible global macrofinancial shock scenarios designed for …
Persistent link: https://www.econbiz.de/10011604921
This paper introduces a novel approach for dealing with the 'curse of dimensionality' in the case of large linear dynamic systems. Restrictions on the coefficients of an unrestricted VAR are proposed that are binding only in a limit as the number of endogenous variables tends to infinity. It is...
Persistent link: https://www.econbiz.de/10011605044
This paper uses a Global Vector Auto-Regression (GVAR)model in a panel of 21 emerging market and advanced economies to … and on the conditions of their unwinding. The GVAR approach enables us to make two key contributions: first, to model …
Persistent link: https://www.econbiz.de/10011605133
(2005) and a large scale model, introducing the sign restrictions approach to the global VAR (GVAR) literature, that allows … approach. In addition, our GVAR application in the context of global oil supply shocks documents that oil supply shocks have a …
Persistent link: https://www.econbiz.de/10011605364
issue by means of a Global Vector Autoregressive (GVAR) model. We first examine the short-run inflationary effects of oil …
Persistent link: https://www.econbiz.de/10011605108
This paper analyzes the equilibrium level of private credit to GDP in 11 Central and Eastern European countries in order to see whether the high credit growth recently observed in some of these countries led to above equilibrium private credit-to-GDP levels. We use estimation results obtained...
Persistent link: https://www.econbiz.de/10011604733
The curse of dimensionality refers to the difficulty of including all relevant variables in empirical applications due to the lack of sufficient degrees of freedom. A common solution to alleviate the problem in the context of open economy models is to aggregate foreign variables by constructing...
Persistent link: https://www.econbiz.de/10011605489
In a panel data framework applied to Portfolio Distance-to-Default series of corporate sectors in the euro area, this paper evaluates systemic and idiosyncratic determinants of default risk and examines how distress is transferred in and between the financial and corporate sectors since the...
Persistent link: https://www.econbiz.de/10011605619