ECB paper offers model for timely response to financial risks
A working paper published by the European Central Bank offers a new model aimed at helping policy-makers respond “in a timely manner” to rising risks to financial stability.
In Financial conditions, business cycle fluctuations and growth at risk, Andrea Falconio and Simone Manganelli use a quantile vector autoregression of the US economy. They model industrial production and excess bond premium as endogenous variables.
The authors measure economic risk as the interquantile range. “Worsening
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