Browsing Department of Economics (ECO) by Author "GRUSS, Bertrand"

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Browsing Department of Economics (ECO) by Author "GRUSS, Bertrand"

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    Title: Financial Factors, Rare Disasters and Macroeconomic Fluctuations  Author(s): GRUSS, Bertrand Date: 2010 Type of Publication: Thesis Series/Report no.: EUI PhD theses Abstract: This thesis attempts to shed light on the role of financial factors and vulnerabilities in shaping macroeconomic fluctuations. It contributes to the literature that integrates financial factors into the real business cycle ...
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    Title: The Volatility Costs of Procyclical Lending Standards: An Assessment Using a DSGE Model  Author(s): GRUSS, Bertrand; SGHERRI, Silvia Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of future boom-and-bust episodes in credit markets. Particularly, it has been argued that banking ...
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    Title: Regime Switching Interest Rates and Fluctuations in Emerging Markets  Author(s): GRUSS, Bertrand; MERTENS, Karel Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We estimate regime switching models for emerging market interest rates and embed the obtained nonlinear dynamics in a small open economy model with a financial friction. We show that the presence of an infrequent regime ...