Essays about: "Impulse response functions"

Showing result 21 - 25 of 55 essays containing the words Impulse response functions.

  1. 21. Stress-testing of the Russian Banking Sector: Contingent Claims Analysis Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Anna Kulakova; [2019]
    Keywords : credit risk; stress-testing; contingent claims analysis; Merton model; vector autoregression; Business and Economics;

    Abstract : This study aims to perform stress-testing of the Russian banking sector with a focus on credit risk measures derived by using contingent claims analysis, an extension of Black-Scholes and Merton option pricing theory. Risk exposure indicators are linked to a number of macroeconomic variables that describe global and domestic economic and financial development. READ MORE

  3. 22. The effect of Housing in the Monetary Transmission Mechanism of Consumption in Euro Countries

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Rasmus Löfström; [2019]
    Keywords : Housing; Consumption; Monetary transmission mechanism; Business and Economics;

    Abstract : This paper examines the indirect effect housing plays in the monetary transmission mechanism (MTM) of consumption. This is done by following the method of Giuliodori (2005) and estimating structural vector autoregressive models (SVAR) for 16 developed countries, from the first quarter of 1970 to the last quarter of 2018. READ MORE

  4. 23. Linkages between the Chinese stock market and the macroeconomic climate in the U.S. and EU

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Gabriel Ekman; Petter Månsby; [2018]
    Keywords : VECM; Impulse Responses; Variance Decomposition; Chinese stock market; macroeconomic linkages; finacial integration; Business and Economics;

    Abstract : The purpose of this paper is to examine the relationship between investments in the Chinese stock market and shocks to the macroeconomic climate in the U.S. and in the EU. READ MORE

  5. 24. To each his own: the weighting schemes of monetary policy. A DSGE scenario analysis of the Euro Area and its Members

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Alberto Venturin; [2018]
    Keywords : New Keynesian DSGE; Taylor Rule; open economy; policy weights; currency union;

    Abstract : In this thesis, the role of different weighting schemes applied by a central bank to the members of a currency union in the conduction of monetary policy is analyzed. The analysis is conducted by embedding the coefficients of a Taylor rule, estimated by GMM on Euro Area data, in the two-country, open economy DSGE model developed in Erceg and Lindé (2013). READ MORE

  6. 25. ECB and Riksbank quantitative easing effect on the Swedish economy

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sekou Soumaoro; Philip Sandgren; [2018]
    Keywords : Riksbank; ECB; Quantitative easing; capital controls; Bayesian Vector Autoregression.; Business and Economics;

    Abstract : The unconventional monetary policy has become standard practice by major central banks as a response to the global recession. However, the practice has continuously been used by central bank amongst the developed economy. READ MORE