This paper presents a modeling framework that delivers joint forecasts of indicators of systemic real risk and systemic … financial risk, as well as stress-tests of these indicators as impulse responses to structural shocks identified by standard … macroeconomic and banking theory. This framework is implemented using large sets of quarterly time series of indicators of financial …

We augment a linearized dynamic stochastic general equilibrium (DSGE) model with a tractable endogenous risk mechanism … their conditional distributions. In particular, the model matches the key stylized facts of growth at risk. Accounting for …

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of …

We propose a framework to link empirical models of systemic risk to theoretical network/ general equilibrium models … used to understand the channels of transmission of systemic risk. The theoretical model allows for systemic risk due to … interbank counterparty risk, common asset exposures/fire sales, and a 'Minsky" cycle of optimism. The empirical model uses stock …

develop a macro-financial structural model with two novel features. First, we include idiosyncratic and aggregate risk in a …

explores how much of these large movements reflected shifts in (i) global risk aversion (ii) country-specific risks, directly … in the crisis, the surge in global risk aversion was a significant factor influencing sovereign spreads, while recently … Spain, as the emphasis has shifted towards short-term refinancing risk and long-term fiscal sustainability. The paper …