Essays about: "TVAR"

Found 2 essays containing the word TVAR.

  1. 1. An Analysis of Financial Stress in the Chinese Economy: A TVAR Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Oskar Landgren; Jack Crooks; [2018]
    Keywords : Financial Stress; TVAR; Nonlinearities; China; Business and Economics;

    Abstract : In this paper, we look to develop understanding of the nature and potential impact of financial stress and fiscal shocks in the Chinese economy, examining how such stress spreads through the economy and how monetary policy can exaggerate or mitigate the resultant effects. In order to do so, we construct a TVAR model on Chinese quarterly data. READ MORE

  2. 2. A Swedish Financial Stress Index

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sören Haefcke; Anders Skarholt; [2012]
    Keywords : Financial stress index; Financial crises; Systemic risk; Financial stability; Financial system;

    Abstract : In this thesis we develop a daily index that aims to reflect the functionality of the Swedish financial system. We extend previous research about systemic financial stress by introducing the Swedish Financial Stress Index (SFSI), a market data based measure consisting of 14 indicators aggregated into five subindices that reflect different parts of the financial system. READ MORE