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  • 1
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    Munich: Center for Economic Studies and Ifo Institute (CESifo)
    Publication Date: 2018-11-19
    Description: This paper investigates the impact of international shocks - interest rate, commodity price and industrial production shocks - on key macroeconomic variables in ten Central and Eastern European (CEE) countries by using near-VAR models and monthly data from the early 1990s to 2009. In contrast to previous work, the empirical analysis takes explicit account of the possibility of (multiple) structural breaks in the underlying time series. We establish strong evidence of structural breaks, particularly along the years 2007 and 2008, suggesting the very relevant impact of the recent global crisis on CEE economies. Moreover, our results suggest that the way how countries react to world commodity price shocks is related to the underlying economic structure and the credibility of the monetary policy. We also find that some countries like Slovakia and Slovenia - already euro area members - react stronger to foreign industrial production shocks than other countries and that the responses to such shocks are strongly correlated for selected CEE countries. Nevertheless, our results also shed light on substantial differences in responses to foreign interest rate shocks that originate from the US or the euro area.
    Keywords: E43 ; E50 ; E52 ; C22 ; O52 ; ddc:330 ; monetary policy ; foreign shocks ; multiple structural breaks ; near-VAR model ; CEE economies ; Schock ; Zins ; International ; Weltkonjunktur ; Makroökonomischer Einfluss ; VAR-Modell ; Schätzung ; Ostmitteleuropa
    Language: English
    Type: doc-type:workingPaper
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  • 2
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of these models are used to determine capital requirements and associated capital costs of ADIs, depending in part on the number of previous violations, whereby realised losses exceed the estimated VaR. In this paper we define risk management in terms of choosing from a variety of risk models, and discuss the selection of optimal risk models. A new approach to model selection for predicting VaR is proposed, consisting of combining alternative risk models, and we compare conservative and aggressive strategies for choosing between VaR models. We then examine how different risk management strategies performed during the 2008-09 global financial crisis. These issues are illustrated using Standard and Poor’s 500 Composite Index.
    Keywords: G32 ; G11 ; G17 ; C53 ; C22 ; ddc:330 ; Value-at-Risk (VaR) ; daily capital charges ; violation penalties ; optimizing strategy ; risk forecasts ; aggressive or conservative risk management strategies ; Basel Accord ; global financial crisis ; Basler Akkord ; Einlagengeschäft ; Risikomaß ; Unternehmenspublizität ; Finanzkrise ; Welt
    Language: English
    Type: doc-type:workingPaper
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  • 3
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    Amsterdam and Rotterdam: Tinbergen Institute
    Publication Date: 2013-11-13
    Description: In this paper we provide further evidence on the suitability of the median of the point VaR forecasts of a set of models as a GFC-robust strategy by using an additional set of new extreme value forecasting models and by extending the sample period for comparison. These extreme value models include DPOT and Conditional EVT. Such models might be expected to be useful in explaining financial data, especially in the presence of extreme shocks that arise during a GFC. Our empirical results confirm that the median remains GFC-robust even in the presence of these new extreme value models. This is illustrated by using the S&P500 index before, during and after the 2008-09 GFC. We investigate the performance of a variety of single and combined VaR forecasts in terms of daily capital requirements and violation penalties under the Basel II Accord, as well as other criteria, including several tests for independence of the violations. The strategy based on the median, or more generally, on combined forecasts of single models, is straightforward to incorporate into existing computer software packages that are used by banks and other financial institutions.
    Keywords: G32 ; G11 ; G17 ; C53 ; C22 ; ddc:330 ; Value-at-Risk (VaR) ; DPOT ; daily capital charges ; robust forecasts ; violation penalties ; optimizing strategy ; aggressive risk management ; conservative risk management ; Basel ; global financial crisis ; Finanzkrise ; Basler Akkord ; Portfolio-Management ; Risikomaß ; Prognoseverfahren ; Extremwerttheorie ; Welt
    Language: English
    Type: doc-type:workingPaper
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  • 4
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    Bonn: Institute for the Study of Labor (IZA)
    Publication Date: 2018-11-15
    Description: In this paper, we describe a series of laboratory experiments that implement specific examples of a more general network structure and we examine equilibrium selection. Specifically, actions are either strategic substitutes or strategic complements, and participants have either complete or incomplete information about the structure of a random network. Since economic environments typically have a considerable degree of complementarity or substitutability, this framework applies to a wide variety of settings. The degree of equilibrium play is striking, in particular with incomplete information. Behavior closely resembles the theoretical equilibrium whenever this is unique; when there are multiple equilibria, general features of networks, such as connectivity, clustering, and the degree of the players, help to predict informed behavior in the lab. People appear to be strongly attracted to maximizing aggregate payoffs (social efficiency), but there are forces that moderate this attraction: 1) people seem content with (in the aggregate) capturing only the lion's share of the efficient profits in exchange for reduced exposure to loss, and 2) uncertainty about the network structure makes it considerably more difficult to coordinate on a demanding, but efficient, equilibrium that is typically implemented with complete information.
    Keywords: C71 ; C91 ; D03 ; D85 ; ddc:330 ; random networks ; incomplete information ; connectivity ; clustering ; strategic substitutes ; strategic complements ; experiment
    Language: English
    Type: doc-type:workingPaper
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  • 5
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    Innsbruck: University of Innsbruck, Research Platform Empirical and Experimental Economics (eeecon)
    Publication Date: 2018-11-23
    Description: In this paper, we describe a series of laboratory experiments that implement specific examples of a more general network structure and we examine equilibrium selection. Specifically, actions are either strategic substitutes or strategic complements, and participants have either complete or incomplete information about the structure of a random network. Since economic environments typically have a considerable degree of complementarity or substitutability, this framework applies to a wide variety of settings. The degree of equilibrium play is striking, in particular with incomplete information. Behavior closely resembles the theoretical equilibrium whenever this is unique; when there are multiple equilibria, general features of networks, such as connectivity, clustering, and the degree of the players, help to predict informed behavior in the lab. People appear to be strongly attracted to maximizing aggregate payoffs (social efficiency), but there are forces that moderate this attraction: 1) people seem content with (in the aggregate) capturing only the lion’s share of the efficient profits in exchange for reduced exposure to loss, and 2) uncertainty about the network structure makes it considerably more difficult to coordinate on a demanding, but efficient, equilibrium that is typically implemented with complete information.
    Keywords: C71 ; C91 ; D03 ; D85 ; ddc:330 ; Random networks ; Incomplete information ; Connectivity ; Clustering ; Strategic substitutes ; Strategic complements ; Experiment
    Language: English
    Type: doc-type:workingPaper
    Location Call Number Limitation Availability
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