 | To Demand or Not to Demand: On Quantifying the Future Appetite for CBDC Author/Editor: Marco Gross, Elisa Letizia. Release Date:January, 2023 We set up a model of banks, the central bank, the payment system, and the surrounding private sector economic environment. It is a structural, choice-theoretic model which is deeply rooted in data. more...
| Price: $20.00
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 | The Global Bank Stress Test Author/Editor: Xiaodan Ding, Marco Gross, Ivo Krznar, Dimitrios Laliotis, Fabian Lipinsky, Pavel Lukyantsau, Thierry Tressel. Release Date:April, 2022 This paper presents the framework underlying the Global Bank Stress Test (GST) and applies it to recent data and global scenarios to illustrate the usefulness of the framework in assessing the more...
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| What Drives Mortgage Default Risk in Europe and the U.S.? Author/Editor: Marco Gross, Thierry Tressel, Xiaodan Ding, Eugen Tereanu. Release Date:April, 2022 We present an analysis of the sensitivity of household mortgage probabilities of default (PDs) and loss given default (LGDs) on unemployment rates, house price growth, interest rates, and other more...
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| Beautiful Cycles: A Theory and a Model Implying a Curious Role for Interest Author/Editor: Marco Gross. Release Date:March, 2021 Where do economic cycles come from? This paper contemplates an utmost minimalistic model and underlying theory that rest on two assumptions for letting them emerge endogenously: (1) the presence of more...
| Price: $18.00
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| The Effectiveness of Borrower-Based Macroprudential Measures: A Quantitative Analysis for Slovakia Author/Editor: Pavol JurÄŤa, Ján Klacso, Eugen Tereanu, Marco Forletta, Marco Gross. Release Date:July, 2020 We develop a semi-structural quantitative framework that combines micro and macroeconomic data to assess the effectiveness of combinations of borrower-based macroprudential measures in Slovakia. We more...
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| Expected Credit Loss Modeling from a Top-Down Stress Testing Perspective Author/Editor: Marco Gross, Dimitrios Laliotis, Mindaugas Leika, Pavel Lukyantsau. Release Date:July, 2020 The objective of this paper is to present an integrated tool suite for IFRS 9- and CECL-compatible estimation in top-down solvency stress tests. The tool suite serves as an illustration for more...
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| Money Creation in Fiat and Digital Currency Systems Author/Editor: Marco Gross, Christoph Siebenbrunner. Release Date:December, 2019 To support the understanding that banks’ debt issuance means money creation, while centralized nonbank financial institutions’ and decentralized bond market intermediary lending does not, the more...
| Price: $18.00
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