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central peak and the wide fat-tailed component. The calibration algorithm for the model is developed and investigated using …
Persistent link: https://www.econbiz.de/10010489795
central peak and the wide fat-tailed component. Calibration algorithm for the model is developed and investigated using the …
Persistent link: https://www.econbiz.de/10011109257
Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to unlisted firms. Standard methodologies adopt convenient, but not necessarily properly specified parametric distributions or simply ignore the effects of macroeconomic shocks on...
Persistent link: https://www.econbiz.de/10005263920
Persistent link: https://www.econbiz.de/10012301885
Persistent link: https://www.econbiz.de/10009508857
In this paper we extend the BEER (Behavioral Equilibrium Exchange Rate) approach which identifies an estimated equilibrium relationship between the real exchange rate and economic fundamentals. Here the economic fundamentals are decomposed using Johansen cointegration methods into transitory and...
Persistent link: https://www.econbiz.de/10005769018
This paper studies stylized business cycle properties of household production in four industrialized countries (Canada, the United States, Germany, and Japan). We employ a dynamic small open economy business cycle model that incorporates a household production sector. We use the model to...
Persistent link: https://www.econbiz.de/10005825641
The existing literature suggests a number of alternative methods to test for the presence of contagion during financial market crises. This paper reviews those methods and shows how they are related in a unified framework. A number of extensions are also suggested that allow for multivariate...
Persistent link: https://www.econbiz.de/10005825971
We compare the performance of a currency board, inflation targeting, and dollarization in a small, open developing economy with a liberalized capital account. We focus on the transmission of shocks to currency and country risk premia and on the role of fluctuations in premia in the propagation...
Persistent link: https://www.econbiz.de/10005826178
Emerging market financial crises are abrupt and dramatic, usually occurring after a period of high output growth, massive capital flows, and a boom in asset markets. This paper develops an equilibrium asset-pricing model with informational frictions in which vulnerability and the crisis itself...
Persistent link: https://www.econbiz.de/10005826240