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3. Conditional Systemic Risk with Penalized Copula. (2015). Trueck, Stefan ; Sheen, Jeffrey ; Ristig, Alexander ; Okhrin, Ostap ; Truck, Stefan.
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4. Impact of Macroprudential Policy Measures on Economic Dynamics: Simulation Using a Financial Macro-econometric Model. (2013). Teranishi, Yuki ; Kurachi, Yoshiyuki ; Nakamura, Koji ; Kawata, Hiroshi.
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5. Effects of the Loss and Correction of a Reference Rate on Japans Economy and Financial System: Analysis Using the Financial Macro-econometric Model. (2012). Teranishi, Yuki ; Kitamura, Tomiyuki ; Tsuchiya, Saiki ; Nakamura, Koji ; Kawata, Hiroshi.
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2. (22)HouseholdExpenditure(NPREXPSA) Year‐on‐yeargrowthrateofhouseholdexpenditure =0.59×year‐on‐yeargrowthrateofcompensationofemployees<0.00> +0.02×year‐on‐yeargrowthrateofstockprice<0.01> +0.14×year‐on‐yeargrowthrateofhouseholdlendingvolume<0.00> –0.24×year‐on‐yearchangeinlendinginterestrate<0.30> +3.81×Consumptiontax(1997)dummy<0.00> Note:Sample=1981Q1through2011Q1;adjustedR2=0.78 When employee compensation rises, so does disposal income, allowing household expenditure to increase. When stock prices rise, the asset effect pushes up household expenditures. When borrowing constraints are eased, the lending volume of households increases, permitting households greater expenditure. When lending interest rates rise, householdexpendituresdecrease,duetohigherinterestratecosts.
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1. A Liquidity Risk Stress-Testing Framework with Basel Liquidity Standards. (2020). Rusnák, Marek ; Komarkova, Zlatuse ; Hejlova, Hana.
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2. The market rank indicator to detect financial distress. (2020). Figini, Silvia ; Uberti, Pierpaolo ; Maggi, Mario.
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3. Simulating fire sales in a system of banks and asset managers. (2020). Żochowski, Dawid ; Halaj, Grzegorz ; Calimani, Susanna ; Haaj, Grzegorz.
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4. Bank funding costs and solvency. (2020). Pancaro, Cosimo ; Żochowski, Dawid ; Arnould, Guillaume.
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5. The golden rule of banking: funding cost risks of bank business models. (2019). Scholz, Peter ; Grossmann, David.
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6. Integrating Solvency and Liquidity Stress Tests: The Use of Markov Regime-Switching Models. (2019). Han, Fei ; Leika, Mindaugas.
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7. Measuring Systemic Risk on Indonesia’s Banking System. (2018). Mansur, Alfan.
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8. Macro stress testing in the banking system of China. (2018). Wu, Zhongmin ; Philp, Bruce ; Jiang, BO.
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9. Sensitivity of credit risk stress test results: Modelling issues with an application to Belgium. (2018). Van Roy, Patrick ; Ferrari, Stijn ; Vespro, Cristina.
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10. System-wide implications of funding risk. (2018). Halaj, Grzegorz ; Haaj, Grzegorz.
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11. A framework for simulating systemic risk and its application to the South African banking sector. (2018). van den Heever, Rolf ; Walters, Nadine M ; van Zyl, Gusti ; Beyers, Conrad.
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12. A severity function approach to scenario selection. (2017). Mokinski, Frieder.
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13. Capturing information contagion in a stress-testing framework. (2016). Anand, Kartik ; Gai, Prasanna S ; Souissi, Moez ; Gauthier, Celine .
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14. Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests. (2016). Koliai, Lyes .
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15. Calibrating limits for large interbank exposures from a system-wide perspective. (2016). Bátiz-Zuk, Enrique ; Martinez-Jaramillo, Serafin ; Solorzano-Margain, Juan Pablo ; Lopez-Gallo, Fabrizio ; Batiz-Zuk, Enrique.
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16. Capital requirements, liquidity and financial stability: The case of Brazil. (2016). Stancato, Sergio Rubens.
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17. Integrating stress tests within the Basel III capital framework: a macroprudentially coherent approach. (2016). Segura, Anatoli ; Bologna, Pierluigi.
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18. Comparing different early warning systems: Results from a horse race competition among members of the Macro-prudential Research Network. (2015). Zigraiova, Diana ; van Tilburg, Ruben ; Vašíček, Bořek ; Stremmel, Hanno ; Sigmund, Michael ; Rodrigues, Paulo ; Peltonen, Tuomas ; Matějů, Jakub ; Kauko, Karlo ; Joy, Mark ; Havranek, Tomas ; Frost, Jon ; Detken, Carsten ; Bush, Oliver ; Bonfim, Diana ; Babecký, Jan ; Antunes, António ; Alessi, Lucia ; Monteiro, Nuno ; Guimaraes, Rodrigo ; Behn, Markus ; Neudorfer, Benjamin ; Rusnak, Marek ; Smidkova, Katerina ; Schudel, Willem ; Babecky, Jan ; Baltussen, Simon ; Mateju, Jakub.
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19. How to Capture Macro-Financial Spillover Effects in Stress Tests?. (2014). Schmieder, Christian ; Hesse, Heiko ; Salman, Ferhan.
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20. Bank risk within and across equilibria. (2014). Agur, Itai.
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21. Assessing the contribution of banks, insurance and other financial services to systemic risk. (2014). Gnabo, Jean-Yves ; Bernal, Oscar ; Guilmin, Gregory .
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22. Measuring systemic risk-adjusted liquidity (SRL)—A model approach. (2014). Jobst, Andreas.
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23. What do we know about the effects of macroprudential policy?. (2014). Moessner, Richhild ; Galati, Gabriele.
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24. Systemic risk and the solvency-liquidity nexus of banks. (2014). Pierret, Diane.
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25. AN ANALYSIS OF THE FACTORS AFFECTING BANKS` CASH DEMAND: A CASE STUDY OF REFAH BANK. (2014). Mohammad, ZADEH Amir ; Alireza, BAHRAMI ; Ebrahim, ABBASI .
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26. Systemic risk and the solvency-liquidity nexus of banks. (2014). Pierret, Diane.
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27. COMMODITIES AS A TOOL OF RISK DIVERSIFICATION. (2013). Skapa, Stanislav .
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28. Stress Tests to Promote Financial Stability: Assessing Progress and Looking to the Future. (2013). Flood, Mark ; Glasserman, Paul ; Cetina, Jill ; Feldberg, Greg ; Bookstaber, Rick.
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30. A network model of financial system resilience. (2013). Willison, Matthew ; Kapadia, Sujit ; Anand, Kartik ; Brennan, Simon ; Gai, Prasanna.
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31. Banks’ responses to funding liquidity shocks: Lending adjustment, liquidity hoarding and fire sales. (2013). de Haan, Leo ; End, Jan Willem ; van den End, Jan Willem.
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32. Systemic liquidity shortages and interbank network structures. (2013). Lee, Seung Hwan.
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33. Measuring Systemic Risk in a Post-Crisis World. (2013). DE BANDT, OLIVIER ; Tavolaro, S. ; J.-C. Heam, ; Labonne, C..
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36. When liquidity risk becomes a systemic issue: Empirical evidence of bank behaviour. (2012). End, Jan Willem ; Tabbae, Mostafa ; van den End, Jan Willem.
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37. Introduction to the Financial Macro-econometric Model. (2012). Teranishi, Yuki ; Kurachi, Yoshiyuki ; Kamada, Koichiro ; Nasu, Kentaro ; Ishikawa, Atsushi .
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38. Measuring systemic funding liquidity risk in the Russian banking system. (2012). Andrievskaya, Irina.
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39. Financial Stability Paper No 17: RAMSI: a top-down stress-testing model. (2012). Burrows, Oliver ; McKeown, Jack ; Learmonth, David.
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40. An Empirical Study of the Mexican Banking Systems Network and its Implications for Systemic Risk. (2012). Martinez-Jaramillo, Serafin ; Solorzano-Margain, Juan Pablo ; Alexandrova-Kabadjova, Biliana ; Bravo-Benitez, Bernardo .
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41. In the quest of macroprudential policy tools. (2011). Samano, Daniel.
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42. Stress testing credit risk: modelling issues. (2011). Vespro, Cristina ; Van Roy, Patrick ; Ferrari, Stijn.
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43. In the Quest of Macroprudential Policy Tools. (2011). Samano, Daniel.
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44. What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions?. (2011). Liu, Xuezhi ; Gravelle, Toni ; Souissi, Moez ; Gauthier, Celine .
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45. Determinants of Households’ Overdue Loans in Romania. (2011). Moinescu, Bogdan-Gabriel ; Codirlau, Adrian .
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46. How resilient is the German banking system to macroeconomic shocks?. (2010). Dovern, Jonas ; Vilsmeier, Johannes.
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47. Macro-Prudential Policy: An Assessment. (2010). Milne, Alistair.
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48. An economic capital model integrating credit and interest rate risk in the banking book. (2010). Drehmann, Mathias ; Alessandri, Piergiorgio.
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49. Estabilidad financiera: conceptos básicos. (2010). PONCE, Jorge ; Tubio, Magdalena .
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50. A LIQUIDITY RISK STRESS-TESTING FRAMEWORK WITH BASEL LIQUIDITY STANDARDS. (). Komarkova, Zlatue ; Rusnak, Marek ; Hejlova, Hana.
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