Central Bank Research Hub - JEL classification C15: Simulation Methods
http://www.bis.org/cbhub/list/jel_classification/jel_C15/index.rss
Latest research hub papers with the JEL classification:C15en09Mar/Stress Testing the Australian Household Sector Using the HILDA Survey
http://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-01.pdf
Reserve Bank of Australia Research Discussion Papers by Tom BilstonStress Testing the Australian Household Sector Using the HILDA Survey2015-03-09T06:17:00ZIn Australia, the banking sector's substantial exposure to the household sector gives reason to continuously assess the financial resilience of households. In this paper, we further explore the simulation-based household stress-testing model presented in Bilston and Rodgers (2013). This model uses data from the Household, Income and Labour Dynamics in Australia (HILDA) Survey to quantify the household sector's financial resilience to macroeconomic shocks. The model suggests that through the 2000s the household sector remained resilient to scenarios involving asset price, interest rate and unemployment rate shocks, and the associated increases in household loan losses under these scenarios were limited. Indeed, the results suggest that, despite rising levels of household indebtedness in aggregate, the distribution of household debt has remained concentrated among households that are well placed to service it. In turn, this suggests that aggregate measures of household indebtedness may be misleading indicators of the household sector's financial fragility. The results also highlight the potential for expansionary monetary policy to offset the effects of increases in unemployment and decreases in asset prices on household loan losses.Stress Testing the Australian Household Sector Using the HILDA Survey2015-03-09T06:17:00ZFull texthttp://www.rba.gov.au/publications/rdp/2015/pdf/rdp2015-01.pdfTom BilstonTom Bilston2015-03Reserve Bank of Australia Research Discussion PapersC15D3127Nov/Self-Employment and Health Care Reform: Evidence from Massachusetts
http://www.kansascityfed.org/publicat/reswkpap/pdf/rwp14-16.pdf
Kansas City Fed Working Papers by Thealexa Becker and Didem TüzemenSelf-Employment and Health Care Reform: Evidence from Massachusetts2014-11-27T06:17:59ZWe study the effect of the Massachusetts health care reform on the uninsured rate and the self-employment rate in the state. The reform required all individuals to obtain health insurance, required most employers to offer health insurance to their employees,
formed a private marketplace that offered subsidized health insurance options and expanded public insurance. We examine data from the Current Population Survey (CPS) for 1994-2012 and its Annual Social and Economic (ASEC) Supplement for 1996-2013.
We show that the reform led to a dramatic reduction in the state's uninsured rate due to increased enrollment in both public and private health insurance. Estimation results from difference-in-differences models and the synthetic control method indicate that
the aggregate self-employment rate was higher in the state after the implementation of the reform. We conclude that easier access to health insurance encouraged self-employment in Massachusetts. There are many similarities between the Massachusetts
health care reform and the national health care reform, the Patient Protection and Affordable Care Act (PPACA). Based on Massachusetts' experience, the PPACA will lower the national uninsured rate and may lead to a higher self-employment rate in the nation.Self-Employment and Health Care Reform: Evidence from Massachusetts2014-11-27T06:17:59ZFull texthttp://www.kansascityfed.org/publicat/reswkpap/pdf/rwp14-16.pdfDidem TüzemenThealexa BeckerThealexa Becker and Didem Tüzemen2014-11Kansas City Fed Working PapersC10C15E24I13I18I38L2611Nov/Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach
http://www.clevelandfed.org/research/workpaper/2014/wp1427.pdf
Cleveland Fed Working papers by Mark J Bognanni and Edward HerbstEstimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach2014-11-11T06:21:59ZVector autoregressions with Markov-switching parameters (MS-VARs) offer dramatically better data fit than their constant-parameter predecessors. However, computational complications, as well as negative results about the importance of switching in parameters other than shock variances, have caused MS-VARs to see only sparse usage. For our first contribution, we document the effectiveness of Sequential Monte Carlo (SMC) algorithms at estimating MSVAR posteriors. Relative to multi-step, model-specific MCMC routines, SMC has the advantages of being simpler to implement, readily parallelizable, and unconstrained by reliance on convenient relationships between prior and likelihood. For our second contribution, we exploit SMC?s flexibility to demonstrate that the use of priors with superior data fit alters inference about the presence of time variation in macroeconomic dynamics. Using the same data as Sims, Waggoner, and Zha (2008), we provide evidence of recurrent episodes characterized by a flat Phillips Curve.Estimating (Markov-Switching) VAR Models without Gibbs Sampling: A Sequential Monte Carlo Approach2014-11-11T06:21:59ZFull texthttp://www.clevelandfed.org/research/workpaper/2014/wp1427.pdfEdward HerbstMark J BognanniMark J Bognanni and Edward Herbst2014-11Cleveland Fed Working papersC11C15C32C52E3E4E504Nov/Carry Trade Activities: A Multivariate Threshold Model Analysis
http://www.snb.ch/n/mmr/reference/working_paper_2014_06/source/working_paper_2014_06.n.pdf
Swiss National Bank Working Papers by Matthias GublerCarry Trade Activities: A Multivariate Threshold Model Analysis2014-11-04T12:31:59ZIn this empirical study, we analyze the relationship between carry trade positions and some key financial as well as macroeconomic variables using a multivariate threshold model. It is often stated that the Swiss franc serves as a funding currency. We therefore focus on carry trades based on the USD/CHF and EUR/CHF currency pairs over the period from 1995 to mid-2008. We conclude that carry trades are driven to a large extent by changes in investors' risk sentiment, movements in stock market prices and exchange rate fluctuations. The adjustments of carry trade positions to unexpected movements in these variables vary between periods of high and low interest-rate differentials (IRD). While a positive shock to the IRD is followed by a rise in carry trade positions during a period of low IRD, it will trigger a decline in these positions during a period of high IRD. These results suggest that the shock to the IRD itself is not enough to compensate investors for the increased foreign exchange risk. Moreover, a positive stock market price shock is associated with a rise in carry trade positions, since investors may use stock portfolios as collateral for liquidity. A sudden unwinding of carry trades leads to significant Swiss franc appreciation. Furthermore, carry trade activities 'Granger-cause' the nominal exchange rate in periods of low IRD. The Granger causality test results further indicate feedback trading.Carry Trade Activities: A Multivariate Threshold Model Analysis2014-11-04T12:31:59ZFull texthttp://www.snb.ch/n/mmr/reference/working_paper_2014_06/source/working_paper_2014_06.n.pdfMatthias GublerMatthias Gubler2014-11-04Swiss National Bank Working PapersC15C32E4410Sep/Credit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech Republic
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1730.pdf
European Central Bank Working papers by Tomá Konený and Oxana Babecká KucharukováCredit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech Republic2014-09-10T12:33:00ZVarious approaches have been employed to explore the possibility of non-linear feedback between the real and financial sector. The present study focuses on the impact of real shocks on selected financial sector indicators, and the responses of the real economy to impulses emanating from the financial sector. We estimate the threshold Bayesian VAR with block restrictions and the credit spread as a threshold variable using the example of the Czech Republic. We find that while there is no evidence of asymmetric effects across positive and negative shocks, the responses of the financial sector to real shocks tend to differ in low and high credit spread regimes. Responses in the opposite direction (i.e. from the financial sector to the real economy) are procyclical and similar irrespective of regime. A positive shock to credit and a negative shock to the NPL increase industrial production over the entire time horizon. The direct impact of foreign factors on lending seems to be rather limited.Credit spreads and the links between the financial and real sectors in a small open economy: the case of the Czech Republic2014-09-10T12:33:00ZECBAbstracthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1730.pdfFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1730.pdfOxana Babecká KucharukováTomá KonenýTomá Konený and Oxana Babecká Kucharuková2014-09-10European Central Bank Working papersC15C32E5128Sep/A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics
http://www.frbatlanta.org/documents/pubs/wp/wp1308.pdf
Atlanta Fed Working papers by Hirbod Assa, Amal Dabbous, and Nikolay GospodinovA Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics2013-09-28T06:41:59ZThis paper embeds a staggered price feature into the standard speculative storage model of Deaton and Laroque (1996). Intermediate goods inventory speculators are added as an additional source of intertemporal linkage, which helps us to replicate the stylized facts of the observed commodity price dynamics. Incorporating this type of friction into the model is motivated by its ability to increase price stickiness which, gives rise to a higher degree of persistence in the first two conditional moments of commodity prices. The structural parameters of our model are estimated by the simulated method of moments using actual prices for four agricultural commodities. Simulated data are then employed to assess the effects of our staggered price approach on the time series properties of commodity prices. Our results lend empirical support to the possibility of staggered prices.A Staggered Pricing Approach to Modeling Speculative Storage: Implications for Commodity Price Dynamics2013-09-28T06:41:59ZAbstracthttp://www.frbatlanta.org//pubs/wp/13_08.cfmFull texthttp://www.frbatlanta.org/documents/pubs/wp/wp1308.pdfHirbod AssaAmal DabbousNikolay GospodinovHirbod Assa, Amal Dabbous, and Nikolay Gospodinov2013-09-20Atlanta Fed Working papersC15E21G12O13Q1128Sep/A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains
http://www.frbatlanta.org/documents/pubs/wp/wp1305.pdf
Atlanta Fed Working papers by Nikolay Gospodinov and Damba LkhagvasurenA Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains2013-09-28T06:41:59ZThis paper proposes a moment-matching method for approximating vector autoregressions by finite-state Markov chains. The Markov chain is constructed by targeting the conditional moments of the underlying continuous process. The proposed method is more robust to the number of discrete values and tends to outperform the existing methods for approximating multivariate processes over a wide range of the parameter space, especially for highly persistent vector autoregressions with roots near the unit circle.A Moment-Matching Method for Approximating Vector Autoregressive Processes by Finite-State Markov Chains2013-09-28T06:41:59ZAbstracthttp://www.frbatlanta.org//pubs/wp/13_05.cfmFull texthttp://www.frbatlanta.org/documents/pubs/wp/wp1305.pdfNikolay GospodinovDamba LkhagvasurenNikolay Gospodinov and Damba Lkhagvasuren2013-09-20Atlanta Fed Working papersC15C32C60E13E32E6227Aug/The optimal size of the European Stability Mechanism: A cost-benefit analysis
http://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb277032.jsp
Netherlands Bank DNB Working Papers by Daniel KappThe optimal size of the European Stability Mechanism: A cost-benefit analysis2012-08-27T18:23:00ZThis study presents a core-periphery model to determine the optimal size of the European Stability Mechanism (ESM), building on Jeanne and Ranciere (2011). While the periphery is subject to a probability of losing access to external credit, the core's incentive for setting up an ESM stems exclusively from the spillover effects present in the case of periphery default.
The model develops regional best response functions, determining a set of feasible ranges for the total ESM size, given optimal regional contributions. The model is then calibrated to the European Economic and Monetary Union.
If costs from default are reasonably high, the probability of the periphery not having access to external credit is sufficiently large, and spillover effects to the core are present, both the core and the periphery have an interest in contributing to the ESM. Calibration and sensitivity analysis suggest that the optimal ESM size is between the current and twice the size of the agreed-upon ESM.The optimal size of the European Stability Mechanism: A cost-benefit analysis2012-08-27T18:23:00ZAbstracthttp://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb277032.jspFull texthttp://www.dnb.nl/en/binaries/Working%20Paper%20349_tcm47-277028.pdfDaniel KappDaniel Kapp2012-08-21Netherlands Bank DNB Working PapersC15G01G17G22G3214Aug/Financial Stability in Brazil
http://www.bcb.gov.br/pec/wps/ingl/wps289.pdf
Central Bank of Brazil Working Papers by Luiz A. Pereira da Silva, Adriana Soares Sales and Wagner Piazza GaglianoneFinancial Stability in Brazil2012-08-14T16:12:00ZThis paper proposes a working definition for "financial stability" related to systemic risk. Systemic risk is then measured as the probability of disruption of financial services taking into account its time and cross-sectional dimensions and several risk factors. The paper discusses the implications of this definition for Brazil in the aftermath of the recent global financial crisis. A comparison with the United States and the Euro zone is provided. In addition, systemic risk in the Brazilian credit market is investigated given its crucial role as main financial stability driver. Finally, synthetic indicators of systemic risk are used to monitor financial stability. The link between systemic risk and synthetic indicators and/or well-correlated proxies (e.g., a credit-to-GDP gap) allows the calculation of the probability of disruption of the financial system across its time dimension. Therefore, if a Financial Stability Committee and/or the prudential regulator define its tolerance level for "financial stability" as a threshold measured by this probability of disruption, it might have the capability of determining the precise moment when it should strengthen its set of adequate macroprudential responses and policies.Financial Stability in Brazil2012-08-14T16:12:00ZAbstracthttp://www.bcb.gov.br/pec/wps/port/wp289.asp?idiom=IFull texthttp://www.bcb.gov.br/pec/wps/ingl/wps289.pdfAdriana Soares SalesWagner P. GaglianoneLuiz A. Pereira da SilvaLuiz A. Pereira da Silva, Adriana Soares Sales and Wagner Piazza Gaglianone2012-08Central Bank of Brazil Working PapersC15E44E58G01G18G20G2829May/Stress testing German banks against a global cost-of-capital shock
http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_03_07_dkp_04.pdf?__blob=publicationFile
Deutsche Bundesbank Discussion Papers by Klaus Duellmann, Thomas KickStress testing German banks against a global cost-of-capital shock2012-05-29T12:35:00ZStress testing German banks against a global cost-of-capital shock2012-05-29T12:35:00ZFull texthttp://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_03_07_dkp_04.pdf?__blob=publicationFileKlaus DüllmannThomas KickKlaus Duellmann, Thomas Kick2012-03-07Deutsche Bundesbank Discussion PapersC13C15G21G3324May/The Real Output Costs of Financial Crisis: A Loss Distribution Approach
http://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-13-2012.pdf
Central Reserve Bank of Peru Working Papers by Daniel Kapp and Marco VegaThe Real Output Costs of Financial Crisis: A Loss Distribution Approach2012-05-24T06:21:59ZWe study cross-country GDP losses due to financial crises in terms of frequency (number of loss events per period) and severity (loss per occurrence). We perform the Loss Distribution Approach (LDA) to estimate a multi-country aggregate GDP loss probability density function and the percentiles associated to extreme events due to financial crises. We find that output losses arising from financial crises are strongly heterogeneous and that currency crises lead to smaller output losses than debt and banking crises. Extreme global financial crises episodes, occurring with a one percent probability every five years, lead to losses between 2.95% and 4.54% of world GDP.The Real Output Costs of Financial Crisis: A Loss Distribution Approach2012-05-24T06:21:59ZFull texthttp://www.bcrp.gob.pe/docs/Publicaciones/Documentos-de-Trabajo/2012/documento-de-trabajo-13-2012.pdfMarco VegaDaniel KappDaniel Kapp and Marco Vega2012-05Central Reserve Bank of Peru Working PapersC15G01G17G22G3211May/Italian real estate investment funds: market structure and risk measurement
http://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_120/QEF_120.pdf
Bank of Italy Occasional Papers by Michele Leonardo Bianchi and Agostino ChiabreraItalian real estate investment funds: market structure and risk measurement2012-05-11T17:38:00ZThis paper describes the Italian real estate investment funds industry, providing an overview of the distinctive features and risk factors of this sector. By using accounting and supervisory data, we: (1) compute the returns of the real estate assets in the portfolio of these funds; (2) construct a price index and a total return index of the real estate assets held by the Italian funds; (3) define a risk assessment process based on three different aspects - their financial profile, income structure and property price behaviour. This analysis allows us to select funds with a weak financial structure, poor returns, and a high probability that in a three-year interval their property portfolio will fall below their net liabilities (defined as the difference between debt and liquid assets). The proposed risk assessment can be seen as the first step towards a more intensive supervisory analysis and can also be useful for investment purposes.Italian real estate investment funds: market structure and risk measurement2012-05-11T17:38:00ZAbstracthttp://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_120Full texthttp://www.bancaditalia.it/pubblicazioni/econo/quest_ecofin_2/QF_120/QEF_120.pdfAgostino ChiabreraMichele Leonardo BianchiMichele Leonardo Bianchi and Agostino Chiabrera2012-04Bank of Italy Occasional PapersC15G1025Apr/Modelling the liquidity ratio as macroprudential instrument
http://www.dnb.nl/en/binaries/working%20Paper%20342_tcm47-270750.pdf
Netherlands Bank DNB Working Papers by Jan Willem van den End and Mark KruidhofModelling the liquidity ratio as macroprudential instrument2012-04-25T12:37:59ZThe Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress-testing model, which takes into account the impact of bank reactions on second round feedback effects. We show that a flexible approach of the LCR, in particular one which recognises less liquid assets in the buffer, is a useful macroprudential instrument to mitigate its adverse side-effects during times of stress. At extreme stress levels the instrument becomes ineffective and the lender of last resort has to underpin the stability of the system.Modelling the liquidity ratio as macroprudential instrument2012-04-25T12:37:59ZAbstracthttp://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb271808.jspMark KruidhofJan Willem van den EndJan Willem van den End and Mark Kruidhof2012-04-25Netherlands Bank DNB Working PapersC15E44G21G28G3225Apr/Modelling the liquidity ratio as macroprudential instrument
http://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb271808.jsp
Netherlands Bank DNB Working Papers by Jan Willem van den End and Mark KruidhofModelling the liquidity ratio as macroprudential instrument2012-04-25T12:37:59ZThe Basel 3 Liquidity Coverage Ratio (LCR) is a micro prudential instrument to strengthen the liquidity position of banks. However if in extreme scenarios the LCR becomes a binding constraint, the interaction of bank behaviour with the regulatory rule can have negative externalities. We simulate the systemic implications of the LCR by a liquidity stress-testing model, which takes into account the impact of bank reactions on second round feedback effects. We show that a flexible approach of the LCR, in particular one which recognises less liquid assets in the buffer, is a useful macroprudential instrument to mitigate its adverse side-effects during times of stress. At extreme stress levels the instrument becomes ineffective and the lender of last resort has to underpin the stability of the system.Modelling the liquidity ratio as macroprudential instrument2012-04-25T12:37:59ZAbstracthttp://www.dnb.nl/en/publications/dnb-publications/dnb-working-papers-series/dnb-working-papers/working-papers-2012/dnb271808.jspFull texthttp://www.dnb.nl/en/binaries/working%20Paper%20342_tcm47-270750.pdfMark KruidhofJan Willem van den EndJan Willem van den End and Mark Kruidhof2012-04-25Netherlands Bank DNB Working PapersC15E44G21G28G3210Apr/Combination schemes for turning point predictions
http://www.norges-bank.no/en/about/published/publications/working-papers/2012/4/
Central Bank of Norway (Norges Bank) Working Papers by Monica BillioCombination schemes for turning point predictions2012-04-10T17:36:59ZWe propose new forecast combination schemes for predicting turning points of business cycles. The combination schemes deal with the forecasting performance of a given set of models and possibly providing better turning point predictions. We consider turning point predictions generated by autoregressive (AR) and Markov-Switching AR models, which are commonly used for business cycle analysis. In order to account for parameter uncertainty we consider a Bayesian approach to both estimation and prediction and compare, in terms of statistical accuracy, the individual models and the combined turning point predictions for the United States and Euro area business cycles.Combination schemes for turning point predictions2012-04-10T17:36:59ZAbstracthttp://www.norges-bank.no/en/about/published/publications/working-papers/2012/4/Monica BillioMonica Billio2012-04-10Central Bank of Norway (Norges Bank) Working PapersC11C15C53E3707Mar/Stress testing German banks against a global cost-of-capital shock
http://www.bundesbank.de/download/volkswirtschaft/dkp/2012/201204dkp.pdf
Deutsche Bundesbank Discussion Papers by Klaus Duellmann, Thomas KickStress testing German banks against a global cost-of-capital shock2012-03-07T12:35:59ZStress testing German banks against a global cost-of-capital shock2012-03-07T12:35:59ZFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2012/201204dkp.pdfKlaus DüllmannThomas KickKlaus Duellmann, Thomas Kick2012-03-07Deutsche Bundesbank Discussion PapersC13C15G21G3308Sep/The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
http://www.federalreserve.gov/pubs/feds/2010/201045/201045pap.pdf
Board of Governors of the Federal Reserve System FEDS series by Dobrislav P. Dobrev and Pawel J. SzerszenThe Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk2010-09-08T10:14:59ZDobrislav P. Dobrev and Pawel J. Szerszen. We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few months ahead when taking also into account parameter uncertainty. As a practical rule of thumb, we find that two years of high frequency data often suffice to obtain the same level of precision as twenty years of daily data, thereby making our approach particularly useful in finance applications where only short data samples are available or economically meaningful to use. Moreover, we find that compared to model inference without high-frequency data, our approach largely eliminates underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR forecast accuracy on simulated data and provide an empirical illustration on stock returns during the financial crisis of 2007-2008.The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk2010-09-08T10:14:59ZAbstracthttp://www.federalreserve.gov/pubs/feds/2010/201045/201045abs.htmlFull texthttp://www.federalreserve.gov/pubs/feds/2010/201045/201045pap.pdfPawel J. SzerszenDobrislav DobrevDobrislav P. Dobrev and Pawel J. Szerszen2010-09-01Board of Governors of the Federal Reserve System FEDS seriesC11C13C14C15C22C53C80G1705Aug/Jump-Robust Volatility Estimation using Nearest Neighbor Truncation
http://www.newyorkfed.org/research/staff_reports/sr465.pdf
New York Fed Staff reports by Torben G. Andersen, Dobrislav Dobrev, and Ernst SchaumburgJump-Robust Volatility Estimation using Nearest Neighbor Truncation2010-08-05T06:27:00ZJump-Robust Volatility Estimation using Nearest Neighbor Truncation2010-08-05T06:27:00ZAbstracthttp://www.newyorkfed.org/research/staff_reports/sr465.htmlFull texthttp://www.newyorkfed.org/research/staff_reports/sr465.pdfTorben G. AndersenErnst SchaumburgDobrislav DobrevTorben G. Andersen, Dobrislav Dobrev, and Ernst Schaumburg2010-08New York Fed Staff reportsC14C15C22C80G1006Jul/The Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models
http://www.banque-france.fr/gb/publications/telechar/ner/ner285.pdf
Bank of France Working Papers by Matthieu Lemoine and Christophe MouginThe Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models2010-07-06T17:40:00ZThe Growth-Volatility Relationship: New Evidence Based on Stochastic Volatility in Mean Models2010-07-06T17:40:00ZAbstracthttp://www.banque-france.fr/gb/publications/ner/1-285.htmFull texthttp://www.banque-france.fr/gb/publications/telechar/ner/ner285.pdfChristophe MouginMatthieu LemoineMatthieu Lemoine and Christophe Mougin2010-07Bank of France Working PapersC15E32O4025Jun/Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?,
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1205.pdf
European Central Bank Working papers by Ken Nyholm, Rositsa Vidova-KolevaNelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?,2010-06-25T12:43:59ZIn this paper we compare the in-sample fit and out-of-sample forecasting performance of no-arbitrage quadratic and essentially affine term structure models, as well as the dynamic Nelson-Siegel model. In total eleven model variants are evaluated, comprising five quadratic, four affine and two Nelson-Siegel models. Recursive re-estimation and out-of-sample one-, six- and twelve-months ahead forecasts are generated and evaluated using monthly US data for yields observed at maturities of 1, 6, 12, 24, 60 and 120 months. Our results indicate that quadratic models provide the best in-sample fit, while the best out-of-sample performance is generated by three-factor affine models and the dynamic Nelson-Siegel model variants. However, statistical tests fail to identify one single-best forecasting model class.Nelson-Siegel, affine and quadratic yield curve specifications: which one is better at forecasting?,2010-06-25T12:43:59ZECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1205.pdfKen NyholmRositsa Vidova-KolevaKen Nyholm, Rositsa Vidova-Koleva2010-06-08European Central Bank Working papersC14C15G1223Jun/The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance
http://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201011.pdf
Bank of Portugal Working papers by Paulo M.M. Rodrigues; Antonio RubiaThe Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance2010-06-23T06:29:59ZThis paper discusses the asymptotic and finite-sample properties of CUSUM-based tests for detecting structural breaks in volatility in the presence of stochastic contamination, such as additive outliers or measurement errors. This analysis is particularly relevant for financial data, on which these tests are commonly used to detect variance breaks. In particular, we focus on the tests by Inclán and Tiao [IT] (1994) and Kokoszka and Leipus [KL] (1998, 2000), which have been intensively used in the applied literature. Our results are extensible to related procedures. We show that the asymptotic distribution of the IT test can largely be affected by sample contamination, whereas the distribution of the KL test remains invariant. Furthermore, the break-point estimator of the KL test renders consistent estimates. In spite of the good large-sample properties of this test, large additive outliers tend to generate power distortions or wrong break-date estimates in small samples.The Effects of Additive Outliers and Measurement Errors when Testing for Structural Breaks in Variance2010-06-23T06:29:59ZAbstracthttp://www.bportugal.pt/en-US/EstudosEconomicos/Publicacoes/Pages/BdPPublicationsResearchDetail.aspx?PublicationId=498Full texthttp://www.bportugal.pt/en-US/BdP%20Publications%20Research/wp201011.pdfPaulo M.M. RodriguesAntonio RubiaPaulo M.M. Rodrigues; Antonio Rubia2010-06Bank of Portugal Working papersC12C15C5218Jun/A systematic approach to multi-period stress testing of portfolio credit risk
http://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/10/Fic/dt1018e.pdf
Bank of Spain Working Papers by Thomas Breuer, Martin Jandacka, Javier Menc?a and Martin SummerA systematic approach to multi-period stress testing of portfolio credit risk2010-06-18T17:44:00ZA systematic approach to multi-period stress testing of portfolio credit risk2010-06-18T17:44:00ZAbstracthttp://www.bde.es/informes/be/docs/abs2010e.htm#abs1018eFull texthttp://www.bde.es/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosTrabajo/10/Fic/dt1018e.pdfMartin SummerMartin JandackaThomas BreuerJavier MencíaThomas Breuer, Martin Jandacka, Javier Menc?a and Martin Summer2010-06Bank of Spain Working PapersC15G20G28G3217May/Attributing systemic risk to individual institutions, May 2010
http://www.bis.org/publ/work308.pdf
Bank for International Settlements Working papers by Nikola Tarashev, Claudio Borio and Kostas TsatsaronisAttributing systemic risk to individual institutions, May 20102010-05-17T12:46:59ZAn operational macroprudential approach to financial stability requires tools that attribute system-wide risk to individual institutions. Making use of constructs from game theory, we propose an attribution methodology that has a number of appealing features: it can be used in conjunction with popular risk measures, it provides measures of institutions’ systemic importance that add up exactly to the measure of system-wide risk and it easily accommodates uncertainty about the validity of the risk model. We apply this methodology to a number of constructed examples and illustrate the interactions between drivers of systemic importance: size, the institution’s risk profile and strength of exposures to common risk factors. We also demonstrate how the methodology can be used for the calibration of macroprudential capital rules.Attributing systemic risk to individual institutions, May 20102010-05-17T12:46:59ZBISAbstracthttp://www.bis.org/publ/work308.htmFull texthttp://www.bis.org/publ/work308.pdfKostas TsatsaronisClaudio BorioNikola A. TarashevNikola Tarashev, Claudio Borio and Kostas Tsatsaronis2010-05Bank for International Settlements Working papersC15C71G20G2821Apr/In dubio pro CES - Supply estimation with mis-specified technical change,
http://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1175.pdf
European Central Bank Working papers by Miguel A. León-Ledesma, Peter McAdam, Alpo Willman,In dubio pro CES - Supply estimation with mis-specified technical change,2010-04-21T17:40:59Z(JEL: C15, C32, E23, O33, O51) Capital-labor substitution and total factor productivity (TFP) estimates are essential features of growth and income distribution models. In the context of a Monte Carlo exercise embodying balanced and near balanced growth, we demonstrate that the estimation of the substitution elasticity can be substantially biased if the form of technical progress is misspecified. For some parameter values, when factor shares are relatively constant, there could be an inherent bias towards Cobb-Douglas. The implied estimates of TFP growth also yield substantially different results depending on the specification of technical progress. A Constant Elasticity of Substitution production function is then estimated within a “normalized” system approach for the US economy over 1960:1–2004:4. Results show that the estimated substitution elasticity tends to be significantly lower using a factor augmenting specification (well below one). We are able to reject Hicks-, Harrod- and Solow-neutral specifications in favor of general factor augmentation with a non-negligible capital-augmenting component. Finally, we draw some important lessons for production and supply-side estimation.In dubio pro CES - Supply estimation with mis-specified technical change,2010-04-21T17:40:59ZECBFull texthttp://www.ecb.europa.eu/pub/pdf/scpwps/ecbwp1175.pdfAlpo WillmanPeter McAdamMiguel A. León-LedesmaMiguel A. León-Ledesma, Peter McAdam, Alpo Willman,2010-04-21European Central Bank Working papersC15C32E23O33O5106Nov/A solution to the problem of too many instruments in dynamic panel data GMM
http://www.bundesbank.de/download/volkswirtschaft/dkp/2009/200931dkp.pdf
Deutsche Bundesbank Discussion Papers by Jens MehrhoffA solution to the problem of too many instruments in dynamic panel data GMM2009-11-06T12:39:00ZA solution to the problem of too many instruments in dynamic panel data GMM2009-11-06T12:39:00ZFull texthttp://www.bundesbank.de/download/volkswirtschaft/dkp/2009/200931dkp.pdfJens MehrhoffJens Mehrhoff2009-11-06Deutsche Bundesbank Discussion PapersC13C15C23C81