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Fire Sales and the Financial Accelerator

Fire Sales and the Financial Accelerator »

Volume/Issue: 2010/141

Series: IMF Working Papers

Author(s): Woon Choi , and David Cook

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2010

DOI: http://dx.doi.org/10.5089/9781455201242.001

ISBN: 9781455201242

Keywords: fire sales, financial accelerator, endogenous recovery rate, financial shock, liquidity spiral, collateral, inflation, monetary policy, inflation targeting, real interest rates

During periods of financial turmoil, increases in risk lead to higher default, foreclosure, and fire sales. This paper introduces a costly liquidation process for foreclosed collateral and endogenous recovery rates...

Monetary Policy and Risk-Premium Shocks in Hungary
			: Results from a Large Bayesian VAR

Monetary Policy and Risk-Premium Shocks in Hungary : Results from a Large Bayesian VAR »

Volume/Issue: 2011/259

Series: IMF Working Papers

Author(s): Adina Popescu , and Alina Carare

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2011

DOI: http://dx.doi.org/10.5089/9781463923983.001

ISBN: 9781463923983

Keywords: Risk premium shocks, Transmission mechanism, Large Bayesian VAR, inflation, central bank, financial stability, foreign currency, General Aggregative Models: Forecasting and Simulation, Money and Interest Rates: Forecasting and Simulation, Bayesian Analysis

We document the transmission of monetary policy and risk-premium shocks in Hungary, by applying recent advances in the Bayesian estimation of large VAR models. The method allows extracting information from over 100...