On the interaction between market and credit risk: a factor-augmented vector autoregressive (FAVAR) approach
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References listed on IDEAS
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More about this item
KeywordsFAVAR approach; credit risk; market risk; factor model;
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-11-20 (All new papers)
- NEP-BAN-2010-11-20 (Banking)
- NEP-MIC-2010-11-20 (Microeconomics)
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