| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13607 |
| 来源ID | Working Paper 13607 |
| New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability | |
| Dale F. Gray; Robert C. Merton; Zvi Bodie | |
| 发表日期 | 2007-11-26 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | This paper proposes a new approach to improve the way central banks can analyze and manage the financial risks of a national economy. It is based on the modern theory and practice of contingent claims analysis (CCA), which is successfully used today at the level of individual banks by managers, investors, and regulators. The basic analytical tool is the risk-adjusted balance sheet, which shows the sensitivity of the enterprise's assets and liabilities to external "shocks." At the national level, the sectors of an economy are viewed as interconnected portfolios of assets, liabilities, and guarantees -- some explicit and others implicit. Traditional approaches have difficulty analyzing how risks can accumulate gradually and then suddenly erupt in a full-blown crisis. The CCA approach is well-suited to capturing such "non-linearities" and to quantifying the effects of asset-liability mismatches within and across institutions. Risk-adjusted CCA balance sheets facilitate simulations and stress testing to evaluate the potential impact of policies to manage systemic risk. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics |
| URL | https://www.nber.org/papers/w13607 |
| 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/571290 |
| 推荐引用方式 GB/T 7714 | Dale F. Gray,Robert C. Merton,Zvi Bodie. New Framework for Measuring and Managing Macrofinancial Risk and Financial Stability. 2007. |
| 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 | ||
| w13607.pdf（226KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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