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Value at risk : proposals on a generalization

Schröder, Michael - 1996

The Value at Risk approach (VaR) is more and more used as a tool for risk measurement. The approach however has … shortcomings both from a theoretical and a practical point of view. VaR can be classified within existing concepts of risk … measurement: it is particularly interpretable as a special measure of shortfall risk. From that point of view VaR will be extended …

Persistent link: https://www.econbiz.de/10011622673

The financial market effects of the ECB's asset purchase programs

Lewis, Vivien; Roth, Markus - 2017

The European Central Bank's asset purchase programs, while intended to stabilize the economy, may have unintended side effects on financial stability. This paper aims at gauging the effects on financial markets, the banking sector, and lending to non-financial firms. Using a structural vector...

Persistent link: https://www.econbiz.de/10011712553

Economic theories and macroeconomic reality

Loria, Francesca; Matthes, Christian; Wang, Mu-Chun - 2021

Economic theories are often encoded in equilibrium models that cannot be directly estimated because they lack features that, while inessential to the theoretical mechanism that is central to the specific theory, would be essential to fit the data well. We propose an econometric approach that...

Persistent link: https://www.econbiz.de/10012792815

Growth expectations, undue optimism, and short-run fluctuations

Enders, Zeno; Kleemann, Michael; Müller, Gernot J. - 2017

VAR model. It is based on nowcast errors regarding current output growth, that is, the difference between actual growth …

Persistent link: https://www.econbiz.de/10011649164

Time-varying credibility, anchoring and the Fed's inflation target

Diegel, Max - 2022

This paper analyzes the time-varying credibility of the Fed's inflation target in an empirical macro model with asymmetric information, where the public has to learn about the actual inflation target from the Fed's interest rate policy. To capture the evolving communication strategy of the Fed,...

Persistent link: https://www.econbiz.de/10013472154

Value at risk - proposals on a generalization

Schröder, Michael - 1996

Persistent link: https://www.econbiz.de/10013428053