This paper investigates the impacts and responses of macroeconomic shocks in some domestic economies in Sub-Saharan Africa over the period 1961-99; more specifically, it seeks to answer the question of whether there are any systematic differences in the responses of the CFA franc zones and the non-CFA franc zone countries to macroeconomic shocks. Based on the Blanchard-Quah methodology, we iden...

This chapter develops a unified framework for the study of how network interactions can function as a mechanism for propagation and amplification of microeconomic shocks. The framework nests various classes of games over networks, models of macroeconomic risk originating from microeconomic shocks, and models of financial interactions. Under the assumption that shocks are small, we provide a fai...

Using a structural VAR with block exogeneity, diagonality and identifying restrictions, this paper analyzes: first, the macroeconomic linkages among the oil price, U.S. output, interest rate, money supply, general price level and exchange rate and second, the relationships of the macroeconomic variables with the price indices of ten international nonfuel commodity groups. By assuming the block ...

This paper develops a framework for stress-testing the credit risk of Chinese commercial banks to macroeconomic shocks. Using data over the period 1985-2008, this study establishes a vector auto-regression (VAR) model to describe the links between default rate and macroeconomic factors, and then designs three stress scenarios to implement the stress testing by Monte Carlo simulation. As a resul...

Adopting an asset-market view of international risk sharing, we identify various sources of macroeconomic risk faced by international investors using a structural Vector Autoregression model. We find that most of the risk of exogenous financial market shocks are shared by international investors through the existing asset markets. However, other macroeconomic risks such as those associated with...

In this article, we collect consumer delinquency data from several economic shocks in order to study the creation of stress test models. We leverage the Dual-time Dynamics modeling technique to better isolate macroeconomic impacts whenever vintage-level performance data is available. The stress test models follow a framework described here of focusing on consumer-centric macroeconomic variables...

1. To estimate a small quarterly macroeconomic model of the UK, based on a VAR model of a number of ‘core’ macroeconomic variables, and employing recently developed econometric techniques to test and impose restrictions on the long run relationships of the model. Also, to analyse the short run dynamic properties of the model and to investigate the role of exogenous variables, all with a view to...