Author/Editor: Martín Saldías.

Release Date:August, 2017

This paper analyzes the nonlinear relationship between monetary policy and financial stress and its effects on the transmission of shocks to output. Results from a Bayesian Threshold more...

Author/Editor: Francesco Grigoli, Mario Mansilla, Martín Saldías.

Release Date:December, 2016

We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects non-performing loans (NPL) on more...

Author/Editor: Ben Craig, Martín Saldías.

Release Date:September, 2016

This paper computes data-driven correlation networks based on the stock returns of international banks and conducts a comprehensive analysis of their topological properties. We first apply more...