We examine the role of macroeconomic ‡uctuations, asset market liquidity, and network structure in determining contagion and aggregate losses in a …nancial system. Systemic instability is explored in a …nancial network comprising three distinct, but interconnected, sets of agents – domestic banks, international …nancial institutions, and …rms. Calibrating the model to advanced country banking s...

The literature on structural breaks focuses on ex post identification of break points that may have occurred in the past. While this question is important, a more challenging problem facing econometricians is to provide forecasts when the data generating process is unstable. The purpose of this paper is to provide a general methodology for forecasting in the presence of model instability. We ma...

At the modern stage of the agrarian reforms the establishing of the appropriate institutes seems to be the most important task in Russia. In order to describe the level of market institutes development in agriculture the sampled survey in three regions of Russia were implemented. In survey two groups of transactions on the farm level were addressed: transactions of production factors (land, lab...

This paper investigates possible explanations for the increases in inequality observed in Brazil during the 1980s. While the static decomposition of inequality by household characteristics reveal that education and race of the household head, as well as geographic locations, can account for a substantial proportion of inequality levels, a dynamic decomposition suggests that changes in inequalit...

In this paper we investigate the link between optimal level of leverage and macroeconomic uncertainty. Using the model of firm’s value maximization, we show that as macroeconomic uncertainty increases, captured by an increase in the variability of industrial production or inflation, firms decrease their optimal levels of borrowing. We test this prediction on a panel of non–financial US firms dr...

Initial announcements of macroeconomic indicators are based on imprecise and incomplete information. Government statistical agencies routinely restate the initial estimates over the course of several subsequent years as more information becomes available. We find that simple accounting-based aggregates, such as earnings dispersion, can predict future restatements in macroeconomic estimates, inc...

It is perhaps stating the obvious to say that an important part of the macroeconomic environment is monetary policy. The actions of central banks have material effects on financial markets and can shape macroeconomic outcomes. Indeed, over recent decades it became widely accepted that monetary policy was the primary macroeconomic stabilisation tool and that monetary policy could effectively man...