Jaromir Benes, International Monetary Fund
In the aftermath of the global financial crisis, many central banks and financial regulators are considering new macroprudential policies to deal with so-called tail-risk events, the unlikely episodes of high financial distress with devastating impact on the economy. Such events have traditionally been outside the domain of mainstream macroeconomic research. To support the new policies, an entirely different family of models and modeling techniques need to be developed. In this presentation, we discuss some of the progress made in the International Monetary Fund and design simulation experiments that use MATLAB to illustrate the main issues.
Recorded: 20 January 2014