The Internal Rating Based (IRB) approach is a regulatory approach that allows the banks to estimate the Probability of Default (PD) using own model. The estimated PD is then used in the calculation of the regulatory capital, thus the bank's capital is affected by any uncertainties found in the...

We develop a novel measure of volatility pass-through to assess international propagation of output volatility shocks to macroeconomic aggregates, equity prices, and currencies. An increase in country's output volatility is associated with a decrease in its output, consumption, and net exports....

In this paper, we evaluate the marginal predictive content of a variety of new business conditions and economic uncertainty indexes. Our indexes are defined as latent factors extracted from a high dimensional macroeconomic dataset (business conditions indexes) and as functions of predictive...