Haku
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Why does risk matter more in recessions than in expansions?
(05.10.2021)
Bank of Finland Research Discussion Papers 13/2021
Bank of Finland Research Discussion Papers 13/2021
This paper uses a nonlinear vector autoregression and a non-recursive identification strategy to show that an equal-sized uncertainty shock generates a larger contraction in real activity when growth is low (as in recessions) ...
When uncertainty decouples expected and unexpected losses
(26.01.2022)
Bank of Finland Research Discussion Papers 4/2022
Bank of Finland Research Discussion Papers 4/2022
A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact – abrupt switches between high- and low-loss phases– from a risk-management perspective. As uncertainty about ...