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  1. The impact of financial shocks on the forecast distribution of output and inflation
    Author: Forni, Mario; Gambetti, Luca; Maffei-Faccioli, Nicolò; Sala, Luca
    Published: [2023]
    Publisher:  Norges Bank, Oslo

    Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Financial shocks represent a major driver of fluctuations in tail risk, defined as the 5th percentile of the forecast distributions of output and inflation. Since the variance and the asymmetry of the forecast distributions are largely driven by the left tail, financial shocks turn out to play a prominent role for distribution dynamics. Monetary policy shocks also play a role in shaping risk, although its effects are smaller than those of financial shocks. These findings are obtained using a novel econometric approach which combines quantile regressions and Structural VARs.

     
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    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9788283792645
    Other identifier:
    hdl: 11250/3058242
    Series: Working paper / Norges Bank ; 2023, 3
    Subjects: Tail Risk; Uncertainty; Skewness; Forecast Distribution; SVAR; Financial shocks; Monetary Policy Shocks; Quantile Regressions
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  2. The price of macroeconomic uncertainty
    evidence from daily options
    Author: Londono, Juan M.; Samadi, Mehrdad
    Published: [2023]
    Publisher:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Edition: This version: June 2023
    Series: International finance discussion papers ; number 1376 (June 2023)
    Subjects: Variance Risk; Uncertainty; Risk Premium; Macroeconomic Releases; FOMC; Inflation; Tail Risk
    Scope: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  3. Mind your language
    market responses to central bank speeches
    Author: Ahrens, Maximilian; Erdemlioglu, Deniz; McMahon, Michael; Neely, Christopher J.; Yang, Xiye
    Published: 02 June 2023
    Publisher:  Centre for Economic Policy Research, London

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    Location:
    Universitätsbibliothek Mannheim
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP18191
    Subjects: Central Bank Communication; Multimodal Machine Learning; Natural Language Pro-cessing; Speech Analysis; High-Frequency Data; Volatility; Tail Risk
    Scope: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  4. Essays in derivatives markets
    Author: Mörke, Mathis
    Published: 2023

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    hdl: 20.500.14171/107736
    5301
    Subjects: Optionsmarkt; Optionspreistheorie; Rohstoffmarkt; Aktienmarkt; Rohstoffe; Vorhersagbarkeit von Optionsrenditen; Machine Learning; Künstliche Intelligenz; Option Return Predictability; Tail Risk; Gamma Squeeze; Commodities
    Scope: 1 Online-Ressource (circa 335 Seiten), Illustrationen
    Notes:

    Dissertation, University of St.Gallen, 2022