We have developed a measure for systemic risk under the bivariate SU-normal distribution, and estimated systemic risk conditional upon the VaR of financial institutions. Simulation results show that both the normal and the quantile regression estimates are downward biased relative to the...

The mean reversion of real exchange rates in G5 countries depends on both countries’ fiscal deficits/surplus in a nonlinear way. When the fiscal policy pushes the real exchange rate to be deviated further away from the equilibrium level, the mean reversion process is faster.