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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/98833 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/98833 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/98833 98838 1 303533 document 98838 indexcodes.txt text/x-c++ b8f307227d2efece7895d5476bf8f7f1 MD5 11288 2022-09-13 09:56:21 https://pure.iiasa.ac.at/id/eprint/18213/6/indexcodes.txt 18213 6 6 text/x-c++ other Generate index codes conversion from text to indexcodes en staffonly

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/98833 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/98833 http://eprints.org/relation/isIndexCodesVersionOf https://pure.iiasa.ac.at/id/document/98833 archive 353 disk0/00/01/82/13 2022-09-12 08:01:57 2024-09-10 03:00:02 2022-09-12 08:01:57 article show Bonucchi M. Catalano M. 2355 pub ASA EM Financial instability; Joint probability; Macroprudential; Multiple simultaneous equation models; Stress tests Measures of the severity of macroeconomic scenarios have been widely used in the literature, but a consistent methodology for their calculation has not been developed yet. Against this background, we provide a general method for calculating the joint probability of observing a macroeconomic scenario, which can be applied to various structural models. By doing so, we can attach probabilities to scenarios produced with multidimensional economic models to compare their severity and plausibility. We apply our methodology to the 2016 and 2018 EBA stress test scenarios and also provide reverse stress test applications. Our results show that for the Italian economy, the 2016 and 2018 EBA scenarios are unlikely, especially the 2016 one. The reverse stress tests allow us to identify the key variables that affect our probabilities. 2022-12 published Elsevier doi:10.1016/j.jimonfin.2022.102735 3405 public Journal of International Money and Finance 129 e102735 TRUE 0261-5606 no info:eu-repo/semantics/article