| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12637 |
| 来源ID | Working Paper 12637 |
| A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy | |
| Dale F. Gray; Robert C. Merton; Zvi Bodie | |
| 发表日期 | 2006-10-24 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | The high cost of international economic and financial crises highlights the need for a comprehensive framework to assess the robustness of national economic and financial systems. This paper proposes a new comprehensive approach to measure, analyze, and manage macroeconomic risk based on the theory and practice of modern contingent claims analysis (CCA). We illustrate how to use the CCA approach to model and measure sectoral and national risk exposures, and analyze policies to offset their potentially harmful effects. This new framework provides economic balance sheets for inter-linked sectors and a risk accounting framework for an economy. CCA provides a natural framework for analysis of mismatches between an entity's assets and liabilities, such as currency and maturity mismatches on balance sheets. Policies or actions that reduce these mismatches will help reduce risk and vulnerability. It also provides a new framework for sovereign capital structure analysis. It is useful for assessing vulnerability, policy analysis, risk management, investment analysis, and design of risk control strategies. Both public and private sector participants can benefit from pursuing ways to facilitate more efficient macro risk accounting, improve price and volatility discovery, and expand international risk intermediation activities. |
| 主题 | Macroeconomics ; Monetary Policy ; Fiscal Policy ; Financial Economics ; Financial Institutions ; Public Economics |
| URL | https://www.nber.org/papers/w12637 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/570299 |
| 推荐引用方式 GB/T 7714 | Dale F. Gray,Robert C. Merton,Zvi Bodie. A New Framework for Analyzing and Managing Macrofinancial Risks of an Economy. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12637.pdf（202KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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