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Macroprudential policymakers assess medium-term downside risks to the real economy arising from financial imbalances and implement policies aimed at managing those risks. In doing so, they face an inherent intertemporal trade-off between the expected
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::d65319982e360e6bc42f6cff28f1e61a
https://hdl.handle.net/10419/237695
https://hdl.handle.net/10419/237695
Autor:
Chavleishvili, Sulkhan, Engle, Robert F., Fahr, Stephan, Kremer, Manfred, Manganelli, Simone, Schwaab, Bernd
Macro-prudential authorities need to assess medium-term downside risks to the real economy, caused by severe financial shocks. Before activating policy measures, they also need to consider their short-term negative impact. This gives rise to a risk m
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::880f46b0c9b1b13f894bd69fcc4161e3
https://hdl.handle.net/10419/237704
https://hdl.handle.net/10419/237704
We introduce a structural quantile vector autoregressive (VAR) model. Unlike standard VAR which models only the average interaction of the endogenous variables, quantile VAR models their interaction at any quantile. We show how to estimate and foreca
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::e110b3af3065010810a9ddd5a5e07547
https://hdl.handle.net/10419/208364
https://hdl.handle.net/10419/208364