scholarly journals Macroeconomic and Financial Risks: A Tale of Mean and Volatility

2021 ◽  
Vol 2021 (1326) ◽  
pp. 1-56
Author(s):  
Dario Caldara ◽  
◽  
Chiara Scotti ◽  
Molin Zhong ◽  
◽  
...  
Keyword(s):  
Business Cycle ◽  
Stochastic Volatility ◽  
Conditional Distribution ◽  
Nonlinear Models ◽  
Credit Spreads ◽  
Gdp Growth ◽  
Financial Risks ◽  
Conditional Distributions ◽  
Corporate Credit ◽  
Tail Events

We study the joint conditional distribution of GDP growth and corporate credit spreads using a stochastic volatility VAR. Our estimates display significant cyclical co-movement in uncertainty (the volatility implied by the conditional distributions), and risk (the probability of tail events) between the two variables. We also find that the interaction between two shocks--a main business cycle shock as in Angeletos et al. (2020) and a main financial shock--is crucial to account for the variation in uncertainty and risk, especially around crises. Our results highlight the importance of using multivariate nonlinear models to understand the determinants of uncertainty and risk.

Sarbanes-Oxley Act and Corporate Credit Spreads

2009 ◽  
Author(s):  
Ali Nejadmalayeri ◽  
Takeshi Nishikawa ◽  
Ramesh P. Rao
Keyword(s):  
Credit Spreads ◽  
Corporate Credit ◽  
Sarbanes Oxley

Monetary Policy Surprises and Corporate Credit Spreads

2020 ◽  
Author(s):  
Difang Huang ◽  
Xinjie Wang ◽  
Zhaodong Zhong
Keyword(s):  
Monetary Policy ◽  
Credit Spreads ◽  
Corporate Credit

Solutions for Sustainable Banking and Enhancing Banking Competitiveness – Vietinbank Case in Vietnam

2021 ◽  
Vol 11 (2) ◽  
pp. 327-334
Author(s):  
Nguyen Van Dat ◽  
Dinh Tran Ngoc Huy
Keyword(s):  
Stock Price ◽  
Industry 4.0 ◽  
Financial Accounting ◽  
Gdp Growth ◽  
Financial Risks ◽  
Management Implications ◽  
Sustainability Strategies ◽  
Lending Rate ◽  
Risk Free Rate ◽  
Free Rate

During and after China-USA commerce ward, financial accounting transparency will become hot issues as it will help to attract more FDIs capitals flows into the country and stock market. Financial accounting transparency policy will prove enough data for firms and esp., banks in evaluating business risks and financial risks. For economic development during industry 4.0, enhancing banking sustainability in emerging markets such as Vietnam is becoming necessary. The results show us that CPI, GDP growth and risk free rate (Rf) has higher effects on beta CAPM and stock price of Vietinbank (CTG). Risk free rate and lending rate have positive correlation with these 2 variables. Then, this study can enable to propose management implications and risk management to enhance banking sustainability strategies.

Solving the Dynamic Stochastic General Equilibrium Model with Stochastic Volatility: An Application in China

2015 ◽  
Vol 19 (4) ◽  
pp. 508-513
Author(s):  
Shangfeng Zhang ◽  
◽  
Yuying Wang ◽  
Bing Xu ◽  
Keyword(s):  
Business Cycle ◽  
Stochastic Volatility ◽  
Equilibrium Model ◽  
Order Approximation ◽  
New Keynesian ◽  
Cycle Model ◽  
Negative Effects ◽  
Positive Effects ◽  
Dynamic Stochastic ◽  
Business Cycle Model

A first-order approximation technique is not suited to handle issues such as welfare comparison, time-varying variance. Following Schmitt-Grohe and Uribe [1], in this paper, we derive a second-order approximation to estimate the dynamic stochastic equilibrium model with stochastic volatility, to capture the different impacts of the level shocks and the volatility shocks. Furthermore, the paper presents an application of standard quantitative New Keynesian business cycle model, and the results shows the negative effects of stochastic volatility shocks. Furthermore, the paper presents an application of standard quantitative New Keynesian business cycle model, and the empirical results find that the level shocks have positive effects on consumption, investment and output, while the volatility shocks have negative effects on consumption, investment and output.

Some Aspects of Business Cycle Theory

2019 ◽  
pp. 16-24
Author(s):  
A. V. Golubev ◽  
E. V. Ivanova
Keyword(s):  
Economic Policy ◽  
Business Cycles ◽  
Business Cycle ◽  
The State ◽  
Modern World ◽  
Gdp Growth ◽  
Business Cycle Theory ◽  
Medium Term ◽  
Russian Economy ◽  
Low Efficiency

The presented study examines the economic nature of cycles and its key component — crisis — the initial phase of a business cycle.Aim. The study aims to determine the effect of business cycles and their alternation on the Russian economy.Tasks. The authors examine models that explain the functioning of medium-term business cycles; identify the major causes of financial and economic crises at the turn of the cycle; determine the consequences of modern business cycles for Russia in terms of its macroeconomic indicators.Methods. This study uses general scientific methods of cognition to examine the concept of business cycles and determine the causes and consequences of modern crises for the country’s economy.Results. Among the existing types of business cycles there are medium-term cycles, a global turn in which over the last three decades is caused primarily by the problems in the financial sector of the US economy. A comparative analysis of the current medium-term cycle and the previous one makes it possible to determine their quantitative and qualitative implications for the Russian economy. The 2008–2009 turn in business cycles pointed at the low efficiency of the Russian economic policy at the time, which had achieved great results during the previous cycle. The average gross domestic product (GDP) growth rate in Russia decreased not only in comparison between the two business cycles, but also in comparison with the global GDP growth rates. The modern world is currently in the final phase of the business cycle after a sustained growth, while the state of the Russian economy has long been characterized by stagnation in many industries, which poses a threat to the economic stability of the state on the verge of a new crisis.Conclusions. Examination of the concepts of business cycles as recurring periods of fluctuating business activity makes it possible not only to identify external and internal causes of economic instability during a cycle and at the turn of a cycle, but also to analyze the state of the economy in different phases of a cycle to improve the efficiency of the national economic policy.

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