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Macroeconomics Framework Considered Risk Factors: Based on Default Distance

Author

Listed:
  • Yonggang Ye

    (School of Economics and Management, Wuhan University, China.)

  • Jiaqi Yang

    (School of Economics and Management, Wuhan University, China)

  • Lingfeng Song

    (School of Economics and Management, Wuhan University, China)

  • Pei ZHang

    (School of Economics and Management, Wuhan University, China)

Abstract

This paper adopts the macro-financial engineering method, taking risk factors into account to build a new framework for macroeconomic research in the IS-LM-BP model. Based on the balance of commodity markets, currency markets and the international balance of payments, the framework studies the balance of the level of risk, and analyzes a series of changes of the BP curve under given risk factors. Meanwhile, this paper also conducts empirical study using Chinese data from years 2007-2010.

Suggested Citation

  • Yonggang Ye & Jiaqi Yang & Lingfeng Song & Pei ZHang, 2013. "Macroeconomics Framework Considered Risk Factors: Based on Default Distance," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 124-133, December.
    • Handle: RePEc:rjr:romjef:v::y:2013:i:4:p:124-133
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    References listed on IDEAS

    as
    1. Gunnar Bårdsen & Kjersti-Gro Lindquist & Dimitrios P. Tsomocos, 2012. "Evaluation of Macroeconomic Models for Financial Stability Analysis," Chapters, in: The Challenge of Financial Stability, chapter 3, pages 32-58, Edward Elgar Publishing.
    2. Dale F. Gray, 2009. "Modeling Financial Crises and Sovereign Risks," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 117-144, November.
    3. Andreas Jobst & Mr. Dale F Gray, 2013. "Systemic Contingent Claims Analysis: Estimating Market-Implied Systemic Risk," IMF Working Papers 2013/054, International Monetary Fund.
    Full references (including those not matched with items on IDEAS)

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    Keywords

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    JEL classification:

    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • E19 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Other

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