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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and … non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature … risk-adjusted linearizations. We provide a formal foundation for approximation methods that remained so far heuristic, and …
Persistent link: https://www.econbiz.de/10012906892
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Risk-Adjusted Linearizations of Dynamic Equilibrium Models
Lopez, Pierlauro - 2018
We propose a simple risk-adjusted linear approximation to solve a large class of dynamic models with time-varying and … non-Gaussian risk. Our approach generalizes lognormal affine approximations commonly used in the macro-finance literature … risk-adjusted linearizations. We provide a formal foundation for approximation methods that remained so far heuristic, and …
Persistent link: https://www.econbiz.de/10012937173
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Stochastic Gradient Versus Recursive Least Squares Learning
Slobodyan, Sergey - 2008
In this paper, we perform an in - depth investigation of relative merits of two adaptive learning algorithms with constant gain, Recursive Least Squares (RLS) and Stochastic Gradient (SG), using the Phelps model of monetary policy as a testing ground. The behavior of the two learning algorithms...
Persistent link: https://www.econbiz.de/10012724434
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Fiscal policies and credit regimes : a TVAR approach
Ferraresi, Tommaso; Roventini, Andrea; Fagiolo, Giorgio - 2013
In the present work we investigate how the state of credit markets non-linearly affects the impact of fiscal policies. We estimate a Threshold Vector Autoregression (TVAR) model on U.S quarterly data for the period 1984-2010. We employ the spread between BAA-rated corporate bond yield and...
Persistent link: https://www.econbiz.de/10009702294
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On the Effectiveness of Loan-to-Value Regulation in a Multiconstraint Framework
Grodecka-Messi, Anna - 2018
Models in the infinite horizon macro-housing literature often assume that borrowers are constrained exclusively by the loan-to-value (LTV) ratio. Motivated by the Swedish micro-data, I explore an alternative arrangement where borrowers are constrained by the feasibility of repayment, but choose...
Persistent link: https://www.econbiz.de/10012928711
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On the Effectiveness of Loan-to-Value Regulation in a Multiconstraint Framework
Grodecka-Messi, Anna - 2018
Models in the infinite horizon macro-housing literature often assume that borrowers are constrained exclusively by the loan-to-value (LTV) ratio. Motivated by the Swedish micro-data, I explore an alternative arrangement where borrowers are constrained by the feasibility of repayment, but choose...
Persistent link: https://www.econbiz.de/10012931045
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Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks
Castrén, Olli; Fitzpatrick, Trevor; Sydow, Matthias - 2009
In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a … credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a … sample of large and complex banking groups (LCBGs) in the EU. The results indicate varying credit risk profiles across these …
Persistent link: https://www.econbiz.de/10003831692
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Imported inputs in an optimising model of a small open economy
Butlin, M. W. - In: Journal of international economics 18 (1985) 1/2, pp. 101-121
Persistent link: https://www.econbiz.de/10001969733
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Optimale Geldpolitik in kleinen offenen Volkswirtschaften : ein Modell
Knedlik, Tobias; Burger, Philippe - 2003
Persistent link: https://www.econbiz.de/10013402679
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Multi-Period Integer Portfolio Optimization Using a Quantum Annealer
Lopez de Prado, Marcos - 2016
For large portfolio managers, a sequence of single-period optimal positions is rarely multi-period optimal. In particular, transaction costs can prevent large portfolio managers from monetizing most of their forecasting power. The solution is to compute the trading trajectory that comes...
Persistent link: https://www.econbiz.de/10013003321