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Estimating the Value-at-Risk from High-frequency Data
Data augmentation Gibbs sampler Quadratic variation Time changed Brownian motion
2016/1/27
We present two alternative approaches for estimating VaR. Both approaches are based on the observation that each trading day is very diverse and we can observe K different phases of the trading day. W...
The article deals with the liquidity risk in the banks in the context of the financial crisis. At first, the balance sheet and market liquidity are defined and the main principles of the methods for m...
MONETARY POLICY EFFECTS ON FINANCIAL RISK PREMIA
financial risk premia monetary policy equilibrium model central bank
2011/8/21
The effect of monetary policy on financial risk premia is analysed in a simple general equilibrium model with sticky wages and an optimizing central bank. Analytical results show that equity risk prem...
DEBT AND SYSTEMIC RISK: THE CONTRIBUTION OF FISCAL AND MONETARY POLICY
fiscal and monetary policy inherent risk real estate market
2011/8/21
This article discusses the contribution of fiscal and monetary policy to the accumulation of excessive debt and its inherent risk. According to economists Carmen Reinhart and Ken Rogoff, excessive deb...
The Macroeconomics of Financial Crises: How Risk Premiums and Liquidity Traps Affect Policy Options
Financial crisis Credit crunch Liquidity trap Risk premiums Policy options Fiscal policy Monetary policy
2011/8/21
The paper offers an overview of what structural models of the IS-LM and Mundell-Fleming variety can tell about the macroeconomics of economic crises. In addition to demonstrating how the emergence of ...
Uninsured Countercyclical Risk: An Aggregation Result and Application to Optimal Monetary Policy
uninsured risk sticky prices optimal monetary policy
2011/8/21
We consider an incomplete-markets economy with capital accumulation and endogenous labor supply. Individuals face countercyclical idiosyncratic labor and asset risk. We derive conditions under which t...