Papers & Reviews

  • 14 Agosto 2017
Systemic financial sector and sovereign risks

Keywords: financial stability; sovereign risk; macro-prudential policy; banking sector; investment funds; default probability; non-linearities; generalized dynamic factor model; dynamic copulas.

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  • 10 Abril 2017
Commodity price risk management and fiscal policy in a sovereign default model

Analyze a dynamic stochastic small-open-economy model of sovereign default, featuring endogenous fiscal policy and stochastic commodity revenues.

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