Unanticipated shocks could lead to instability, which is reflected in statistically significant changes in distributions of random variables. Changes in the conditional moments of stationary variables are predictable. We provide a framework based on a statistic for the Sample Generalized Variance, which is useful for interrogating real time data and to predicting statistically significant sudden and large shifts in the conditional variance of a vector of correlated macroeconomic and financial variables. It is a test for a market-wide instability. Central banks can incorporate the framework in the policymaking process.
|Date of creation:||07 Nov 2012|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John B. Taylor & John C. Williams, 2008.
"A Black Swan in the Money Market,"
NBER Working Papers
13943, National Bureau of Economic Research, Inc.
- John B. Taylor & John C. Williams, 2009. "A black swan in the money market," Proceedings, Federal Reserve Bank of San Francisco, issue Jan.
- John C. Williams & John B. Taylor, 2009. "A Black Swan in the Money Market," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 58-83, January.
- Malik, Farooq, 2003. "Sudden changes in variance and volatility persistence in foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 217-230, July.
- John B. Taylor, 2009. "The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong," NBER Working Papers 14631, National Bureau of Economic Research, Inc.
- Fernandez, Viviana, 2006. "The impact of major global events on volatility shifts: Evidence from the Asian crisis and 9/11," Economic Systems, Elsevier, vol. 30(1), pages 79-97, March.
- Kaminsky, Graciela & Lizondo, Saul & Reinhart, Carmen M., 1997.
"Leading indicators of currency crises,"
Policy Research Working Paper Series
1852, The World Bank.
- Melvin, Michael & Taylor, Mark P., 2009.
"The crisis in the foreign exchange market,"
Journal of International Money and Finance,
Elsevier, vol. 28(8), pages 1317-1330, December.
- Meese, Richard A. & Rogoff, Kenneth, 1983. "Empirical exchange rate models of the seventies : Do they fit out of sample?," Journal of International Economics, Elsevier, vol. 14(1-2), pages 3-24, February.
- Reinhart, Carmen M. & Rogoff, Kenneth S., 2008.
"Is the 2007 US Sub-Prime Financial Crisis So Different? An International Historical Comparison,"
11129156, Harvard University Department of Economics.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison," Panoeconomicus, Savez ekonomista Vojvodine, Novi Sad, Serbia, vol. 56(3), pages 291-299, September.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "Is the 2007 US Sub-prime Financial Crisis So Different? An International Historical Comparison," American Economic Review, American Economic Association, vol. 98(2), pages 339-344, May.
- Reinhart, Carmen & Rogoff, Kenneth, 2008.
"¿Es tan diferente la crisis financiera de sub-prime en EEUU? Una comparacion historica internacional
[“Is The 2007 U.S. Subprime Crisis So Different? An International Historical Comparison,”]," MPRA Paper 13656, University Library of Munich, Germany.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2008. "Is the 2007 U.S. Sub-Prime Financial Crisis So Different? An International Historical Comparison," NBER Working Papers 13761, National Bureau of Economic Research, Inc.
- Razzak, W. A., 1991. "Target zone exchange rate," Economics Letters, Elsevier, vol. 35(1), pages 63-70, January.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:52463. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.