Similar Search Results

Density-conditional forecasts in dynamic multivariate models

Andersson, Michael K.; Palmqvist, Stefan Ulf; Waggoner, … - 2010

When generating conditional forecasts in dynamic models it is common to impose the conditions as restrictions on future structural shocks. However, these conditional forecasts often ignore that there may be uncertainty about the future development of the restricted variables. Our paper therefore...

Persistent link: https://www.econbiz.de/10009792830

Threshold endogeneity in threshold VARs : an application to monetary state dependence

Christopulos, Dēmētrēs K.; McAdam, Peter; Tzavalis, Elias - 2023

Persistent link: https://www.econbiz.de/10014317517

Probability models and robust policy rules

Levine, Paul; McAdam, Peter; Pearlman, Joseph - In: European economic review : EER 56 (2012) 2, pp. 246-262

Persistent link: https://www.econbiz.de/10009521685

Quantifying financial stability trade-offs for monetary policy : a quantile VAR approach

Chavleishvili, Sulkhan; Kremer, Manfred; Lund-Thomsen, … - 2023

euro area covering the real economy, monetary policy and measures of ex ante and ex post systemic risk representing … take a risk management perspective, One exercise considers the intertemporal financial stability trade-off in the context …

Persistent link: https://www.econbiz.de/10014343148

Explpring the use of the Kelly criterion for Basel capital requirement : an optimal and countercyclical appoach

Wong, Max C. Y. - In: Journal of risk management in financial institutions 8 (2015) 1, pp. 45-61

Persistent link: https://www.econbiz.de/10010526458

Monetary policy uncertainty

Husted, Lucas; Rogers, John H.; Sun, Bo - 2017

We construct new measures of uncertainty about Federal Reserve policy actions and their consequences - monetary policy uncertainty (MPU) indexes. We show that, under a variety of VAR identification schemes, positive shocks to uncertainty about monetary policy robustly raise credit spreads and...

Persistent link: https://www.econbiz.de/10011780289

Risk endogeneity at the lender/investor-of-last-resort

Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019

We address the question to what extent a central bank can de-risk its balance sheet by unconventional monetary policy … operations. To this end, we propose a novel risk measurement framework to empirically study the time-variation in central bank … generated beneficial risk spill-overs across monetary policy operations, causing overall risk to be nonlinear in exposures. Some …

Persistent link: https://www.econbiz.de/10011959298

Risk endogeneity at the lender/investor-of-last-resort

Caballero, Diego; Lucas, André; Schwaab, Bernd; Zhang, Xin - 2019

Persistent link: https://www.econbiz.de/10011981369

Financial disruptions and heightened uncertainty : a case for timely policy action

Nalban, Valeriu; Smadu, Andra - 2020

Persistent link: https://www.econbiz.de/10012231025

Monetary risk measures for stochastic processes via Orlicz duality

Kountzakis, Christos E.; Rossello, Damiano - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 35-56

Persistent link: https://www.econbiz.de/10013380529