Implications of risk premium shocks in a small and open economy
Author
Abstract
Suggested Citation
DOI: 10.17533/udea.le.n92a05
Download full text from publisher
References listed on IDEAS
- Eraker, Bjørn & Wang, Jiakou, 2015. "A non-linear dynamic model of the variance risk premium," Journal of Econometrics, Elsevier, vol. 187(2), pages 547-556.
- Drago Bergholt, 2015.
"Foreign Shocks,"
Working Papers
No 11/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Drago Bergholt, 2015. "Foreign shocks," Working Paper 2015/15, Norges Bank.
- Martha R. López & Juan D. Prada & Norberto Rodríguez N., 2008.
"Financial Accelerator Mechanism in a Small Open Economy,"
Borradores de Economia
525, Banco de la Republica de Colombia.
- Martha R. López & Juan D. Prada & Norberto Rodríguez Niño, 2008. "Financial Accelerator Mechanism in a Small Open Economy," Borradores de Economia 4992, Banco de la Republica.
- Drago Bergholt, 2014. "Foreign shocks in an estimated multi-sector model," Working Papers No 4/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Gelain, Paolo, 2010. "The external finance premium in the euro area A useful indicator for monetary policy?," Working Paper Series 1171, European Central Bank.
- Papantonis, Ioannis, 2016. "Volatility risk premium implications of GARCH option pricing models," Economic Modelling, Elsevier, vol. 58(C), pages 104-115.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Georgiadis, Georgios & Jančoková, Martina, 2020.
"Financial globalisation, monetary policy spillovers and macro-modelling: Tales from 1001 shocks,"
Journal of Economic Dynamics and Control, Elsevier, vol. 121(C).
- Georgiadis, Georgios & Jančoková, Martina, 2017. "Financial globalisation, monetary policy spillovers and macro-modelling: tales from 1001 shocks," Working Paper Series 2082, European Central Bank.
- Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," GRU Working Paper Series GRU_2017_008, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Georgios Georgiadis & Martina Jancokova, 2017. "Financial Globalisation, Monetary Policy Spillovers and Macro-modelling: Tales from 1001 Shocks," Globalization Institute Working Papers 314, Federal Reserve Bank of Dallas.
- Ramiro Rodríguez Revilla, 2011. "Modelos de equilibrio general dinámicos y estocásticos para Colombia 1995-2011," Revista Ecos de Economía, Universidad EAFIT, December.
- Merola, Rossana, 2015.
"The role of financial frictions during the crisis: An estimated DSGE model,"
Economic Modelling, Elsevier, vol. 48(C), pages 70-82.
- Rossana Merola, 2013. "The role of financial frictions during the crisis: An estimated DSGE model," Working Paper Research 249, National Bank of Belgium.
- Merola, Rossana, 2014. "The role of financial frictions during the crisis: an estimated DSGE model," Dynare Working Papers 33, CEPREMAP.
- Yue-Jun Zhang & Shu-Hui Li, 2019. "The impact of investor sentiment on crude oil market risks: evidence from the wavelet approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1357-1371, August.
- Granda, Catalina & Hamann, Franz & Tamayo, Cesar E., 2019.
"Credit and saving constraints in general equilibrium: A quantitative exploration,"
Journal of Development Economics, Elsevier, vol. 140(C), pages 302-319.
- Catalina Granda & Franz Hamann & Cesar E. Tamayo, 2017. "Credit and Saving Constraints in General Equilibrium: Evidence from Survey Data," Borradores de Economia 1002, Banco de la Republica de Colombia.
- Granda-Carvajal, Catalina & Hamann, Franz & Tamayo, Cesar E., 2022. "Credit and Saving Constraints in General Equilibrium: A Quantitative Exploration," Working papers 92, Red Investigadores de Economía.
- Granda, Catalina & Hamann, Franz & Rud, Juan Pablo, 2017. "Credit and Saving Constraints in General Equilibrium: Evidence from Survey Data," IDB Publications (Working Papers) 8283, Inter-American Development Bank.
- Corbo, Vesna & Strid, Ingvar, 2020. "MAJA: A two-region DSGE model for Sweden and its main trading partners," Working Paper Series 391, Sveriges Riksbank (Central Bank of Sweden).
- Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021.
"Diffusion copulas: Identification and estimation,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
- William D. Craighead, 2020.
"Intermediate Goods and Exchange Rate Disconnect,"
Open Economies Review, Springer, vol. 31(1), pages 113-129, February.
- Craighead, William, 2017. "Intermediate Goods and Exchange Rate Disconnect," MPRA Paper 83075, University Library of Munich, Germany.
- Bollerslev, Tim & Todorov, Viktor & Xu, Lai, 2015.
"Tail risk premia and return predictability,"
Journal of Financial Economics, Elsevier, vol. 118(1), pages 113-134.
- Tim Bollerslev & Viktor Todorov & Lai Xu, 2014. "Tail Risk Premia and Return Predictability," CREATES Research Papers 2014-49, Department of Economics and Business Economics, Aarhus University.
- Fernando Tenjo & Martha López, 2010.
"Early Warning Indicators for Latin America,"
Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 28(63), pages 232-259, December.
- Jaime Tenjo & Martha López, 2010. "Early Warning Indicators for Latin America," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 28(63), pages 232-259, December.
- Fernando Tenjo & Martha López, 2010. "Early Warning Indicators for Latin America," Borradores de Economia 608, Banco de la Republica de Colombia.
- Fernando Tenjo & Martha López, 2010. "Early Warning Indicators for Latin America""," Borradores de Economia 7073, Banco de la Republica.
- Villa, Stefania, 2016.
"Financial Frictions In The Euro Area And The United States: A Bayesian Assessment,"
Macroeconomic Dynamics, Cambridge University Press, vol. 20(5), pages 1313-1340, July.
- Stefania Villa, 2014. "Financial frictions in the Euro Area and the United States: a Bayesian assessment," BCAM Working Papers 1407, Birkbeck Centre for Applied Macroeconomics.
- Drago Bergholt & Tommy Sveen, 2014.
"Sectoral interdependence and business cycle synchronization in small open economies,"
Working Paper
2014/04, Norges Bank.
- Drago Bergholt & Tommy Sveen, 2014. "Sectoral Interdependence and Business Cycle Synchronization in Small Open Economies," Working Papers No 2/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Pápai Adam, 2017. "A DSGE Model of Slovakia with Frictional Labor Market and Monetary Regime Switch," Review of Economic Perspectives, Sciendo, vol. 17(3), pages 287-313, September.
- Bergholt, Drago & Larsen, Vegard H. & Seneca, Martin, 2019.
"Business cycles in an oil economy,"
Journal of International Money and Finance, Elsevier, vol. 96(C), pages 283-303.
- Drago Bergholt & Vegard H Larsen & Martin Seneca, 2017. "Business cycles in an oil economy," BIS Working Papers 618, Bank for International Settlements.
- Drago Bergholt, 2014. "Monetary Policy in Oil Exporting Economies," Working Papers No 5/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Georgiadis, Georgios & Gräb, Johannes & Khalil, Makram, 2019.
"Global value chain participation and exchange rate pass-through,"
Working Paper Series
2327, European Central Bank.
- Georgiadis, Georgios & Gräb, Johannes & Khalil, Makram, 2020. "Global value chain participation and exchange rate pass-through," Discussion Papers 67/2020, Deutsche Bundesbank.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020.
"A multifactor transformed diffusion model with applications to VIX and VIX futures,"
Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018. "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers 20183, University of Liverpool, Department of Economics.
- Villa, Stefania, 2013. "Financial frictions in the euro area: a Bayesian assessment," Working Paper Series 1521, European Central Bank.
- Smets, Frank & Villa, Stefania, 2016.
"Slow recoveries: Any role for corporate leverage?,"
Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 54-85.
- Frank Smets & Stefania Villa, 2016. "Slow recoveries: any role for corporate leverage?," BCAM Working Papers 1602, Birkbeck Centre for Applied Macroeconomics.
- Bu, Ruijun & Jawadi, Fredj & Li, Yuyi, 2017. "An empirical comparison of transformed diffusion models for VIX and VIX futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 116-127.
More about this item
Keywords
DSGE models; risk premium; interest rate; exchange rate.;All these keywords.
JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C68 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computable General Equilibrium Models
- E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:lde:journl:y:2020:i:92:p:133-172. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Carlos Andrés Vasco Correa (email available below). General contact details of provider: https://edirc.repec.org/data/deantco.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.