Search Results

Showing results 1 to 2 of approximately 2.

(refine search)
Keywords:oil shocks OR Oil shocks 

Working Paper
Binary Conditional Forecasts

While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge elements from the literature on the construction and implementation of conditional forecasts with the literature on forecasting binary variables. We use the Qual-VAR [Dueker (2005)], whose joint VAR-probit structure allows us to form conditional forecasts of the latent variable which can then be used to form probabilistic forecasts of the binary variable. We apply ...
Working Papers , Paper 2019-29

Working Paper
Branching Networks and Geographic Contagion of Commodity Price Shocks

This paper studies the role of banks' branching networks in propagating the oil shocks. Banks that were exposed to the oil shocks through their operations in oil-concentrated counties experienced a liquidity drainage in the form of a declining amount of demand deposit inflow as well as an increasing percentage of troubled loans. Banks were forced to sell liquid assets, and contracted lending to small businesses and mortgage borrowers in counties that were not directly affected by the oil shocks. The effect is magnified when banks do not have strong community ties, but is mitigated if banks' ...
Finance and Economics Discussion Series , Paper 2020-034


FILTER BY Content Type

FILTER BY Jel Classification

C22 1 items

C52 1 items

C53 1 items

G20 1 items

G21 1 items

G30 1 items

show more (1)

FILTER BY Keywords

Oil shocks 2 items

Bank competition 1 items

Out-of-market lending 1 items

Qual-VAR 1 items

SME lending 1 items

Transmission of shocks 1 items

show more (4)