Transmission of macroeconomic shocks to risk parameters: Their uses in stress testing
Sign Up to like & getrecommendations! Published in 2019 at "Applied Stochastic Models in Business and Industry"
DOI: 10.1002/asmb.2493
Abstract: In this paper, we are interested in evaluating the resilience of financial portfolios under extreme economic conditions. Therefore, we use empirical measures to characterize the transmission process of macroeconomic shocks to risk parameters. We propose… read more here.
Keywords: shocks risk; risk; transmission macroeconomic; transmission ... See more keywords
Time-varying role of macroeconomic shocks on house prices in the US and UK: evidence from over 150 years of data
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DOI: 10.1007/s00181-018-1581-x
Abstract: In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the US and the UK housing market, we employ time-varying vector autoregression models using Bayesian methods covering… read more here.
Keywords: time varying; house prices; macroeconomic shocks; shocks house ... See more keywords
Macroeconomic shocks and stock market returns: the case of Korea
Sign Up to like & getrecommendations! Published in 2018 at "Applied Economics"
DOI: 10.1080/00036846.2017.1340574
Abstract: ABSTRACT This study examines the effects of macroeconomic shocks on key macro variables, including stock market returns in Korea, using the structural vector autoregression (SVAR) model. We suggest a three-variable SVAR model incorporating inflation, output… read more here.
Keywords: shocks stock; market; stock market; market returns ... See more keywords