While not being widespread, stress tests of credit risk are not new in the Argentine financial system, neither for financial intermediaries nor for the Central Bank. However, they are more often based on rule-of-thumb approaches than on systematic, model based methodologies. The objective of...

As shown in the recent BCBS papers market and credit risks could reinforce each other in certain circumstances, meaning the sum of the parts might be less than an estimate of risk that takes into account the interactions between the two. Market risk factors have an ambiguous impact on the firms'...

The current crisis causes numerous economic uncertainties, such as a break-up of the European currency union, and a Greek exit from the euro area to boost the competitiveness by means of devaluation of national currency. When a factor such as exchange rate is expected to have a significant...

In this paper, I numerically simulate the path of economy in an economic depression. It is not easy to perform a numerical simulation of the path to a steady state if households are assumed to behave by generating rational expectations. It is much easier, however, if households are assumed to...

We discuss the economic reasons why the predictions of price and return statistical moments in the coming decades, in the best case, will be limited by their averages and volatilities. That limits the accuracy of the forecasts of price and return probabilities by Gaussian distributions. The...

This paper studies the links between the descriptions of macroeconomic variables and statistical moments of market trade, price, and return. The randomness of market trade values and volumes during the averaging interval Δ results in the random properties of price and return. We describe how...

This paper examines the usefulness of the Zillow Observed Rent Index (ZORI) in predicting CPI rent inflation. Using data from February 2015 to October 2023, we demonstrate that while ZORI provides valuable insights into future movements in CPI rent inflation, its effectiveness is limited to...

Financial deepening plays a pivotal role in fostering economic growth, alleviating poverty, and mitigating social inequalities. Employing the Vector Autoregressive Model (VAR), this study examines the implications of per capita gross domestic product (GDP), interest rates, and inflation rates...

The paper estimates that the pass-through coefficient of a devaluation to prices paid by consumers in around 20-25% and has a duration of 6 to 8 months, in general. The economic model underlying the estimate follows an adaptive expectations scheme on the free exchange rate, while the associated...

We consider the randomness of values and volumes of market deals as a major factor that describes lower bounds of uncertainty and upper limits on the accuracy of the forecasts of macroeconomic variables, prices, and returns. We introduce random macroeconomic variables, whose average values...