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Financial imbalances and macroeconomic tail risks: A structural regime-switching investigation

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  • Yasin Mimir
  • Lorenzo Ricci

Abstract

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Suggested Citation

  • Yasin Mimir & Lorenzo Ricci, 2024. "Financial imbalances and macroeconomic tail risks: A structural regime-switching investigation," Working Papers 64, European Stability Mechanism, revised 15 Nov 2024.
    • Handle: RePEc:stm:wpaper:64
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    File URL: https://www.esm.europa.eu/system/files/document/2024-11/ESM%20WP%2064.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Regime-switching models; financial imbalances; macroprudential policy; financial stability;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E12 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Keynes; Keynesian; Post-Keynesian; Modern Monetary Theory
    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • E30 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - General (includes Measurement and Data)
    • G01 - Financial Economics - - General - - - Financial Crises

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