Modeling Banking, Sovereign, and Macro Risk in a CCA Global VAR /

The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk mo...

وصف كامل

التفاصيل البيبلوغرافية
المؤلف الرئيسي: Gray, Dale
التنسيق: دورية
اللغة:English
منشور في: Washington, D.C. : International Monetary Fund, 2013.
سلاسل:IMF Working Papers; Working Paper ; No. 2013/218
الوصول للمادة أونلاين:Full text available on IMF