Papers & Reviews

  • 24 Julio 2017
M-PRESS-CreditRisk: A holistic micro and macroprudential approach to capital requirements

Keywords: Systemic Credit Risk, Tail Risk, Stress Testing, Microprudential Capital Requirements, Systemic Risk Buffer, O-SII Buffer, Hierarchical Archimedean Copula.

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  • 21 Julio 2017
Mortgage default in an estimated model of the U.S. housing market

Keywords: Housing; Mortgage Default; DSGE model; Bayesian Estimation.

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  • 19 Julio 2017
The real effects of bank capital requirements

Keywords: Bank capital ratios, Bank regulation, Credit supply.

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  • 17 Julio 2017
Portfolio selection by households: an empirical analysis using dynamic panel data models

Keywords: portfolio selection; household survey; dynamic GMM; portfolio selection mechanism; relative risk aversion; financial literacy.

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  • 28 Junio 2017
Volatility risk and economic welfare

An endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs.

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