G1 - General Financial Markets
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A New Linear Estimator for Gaussian Dynamic Term Structure Models
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. -
An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. -
Countercyclical Bank Capital Requirement and Optimized Monetary Policy Rules
Using BoC-GEM-Fin, a large-scale DSGE model with real, nominal and financial frictions featuring a banking sector, we explore the macroeconomic implications of various types of countercyclical bank capital regulations. Results suggest that countercyclical capital requirements have a significant stabilizing effect on key macroeconomic variables, but mostly after financial shocks. -
To Link or Not To Link? Netting and Exposures Between Central Counterparties
This paper provides a framework to compare linked and unlinked CCP configurations in terms of total netting achieved by market participants and the total system default exposures that exist between participants and CCPs.
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