ラベル International Macroeconomics の投稿を表示しています。 すべての投稿を表示
ラベル International Macroeconomics の投稿を表示しています。 すべての投稿を表示
2014年6月19日木曜日
2014年6月9日月曜日
Market size and BKK model
http://www.aeaweb.org/annual_mtg_papers/2007/0107_1015_1103.pdf
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with complete asset markets, country size does not affect the equilibrium allocation independently of export shares
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with complete asset markets, country size does not affect the equilibrium allocation independently of export shares
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business cycle volatility and welfare
Furceri, D. and G. Karras. 2007. "Country Size and Business Cycle Volatility: Scale Really Matters." Journal of the Japanese and International Economies, 21(4), 424-34.
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Is business-cycle volatility worthy to be considered as an indicator of economic performance, along such other established measures as economic growth and income per capita? While in the highly influential monograph Models of Business Cycles Robert Lucas (1987) famously argued that the costs associated with business cycles are virtually nonexistent, more recent research has challenged Lucas’s conclusions. For example, Mendoza (2000), Jones (1999), Matheron and Maury (2000), Epaulard and Pommeret (2003) showed that business cycle volatility reduces welfare, not least because of its negative effect on growth. Krusell and Smith (1999), and Storesletten et al. (2001) showed that in a model with heterogeneous agents the benefits from eliminating business cycle fluctuations are sizeable. More recently, Barlevy (2004) argues that economic fluctuations remarkably decrease welfare by affecting the growth rate of consumption. At the same time, a growing empirical literature starting with Ramey and Ramey (1995) has showed that cyclical volatility negatively affects growth and investment.We conclude that business-cycle volatility matters. Thus, if country size can be shown to have a significant effect on volatility, it follows that country size matters too.
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Is business-cycle volatility worthy to be considered as an indicator of economic performance, along such other established measures as economic growth and income per capita? While in the highly influential monograph Models of Business Cycles Robert Lucas (1987) famously argued that the costs associated with business cycles are virtually nonexistent, more recent research has challenged Lucas’s conclusions. For example, Mendoza (2000), Jones (1999), Matheron and Maury (2000), Epaulard and Pommeret (2003) showed that business cycle volatility reduces welfare, not least because of its negative effect on growth. Krusell and Smith (1999), and Storesletten et al. (2001) showed that in a model with heterogeneous agents the benefits from eliminating business cycle fluctuations are sizeable. More recently, Barlevy (2004) argues that economic fluctuations remarkably decrease welfare by affecting the growth rate of consumption. At the same time, a growing empirical literature starting with Ramey and Ramey (1995) has showed that cyclical volatility negatively affects growth and investment.We conclude that business-cycle volatility matters. Thus, if country size can be shown to have a significant effect on volatility, it follows that country size matters too.
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2014年4月4日金曜日
2014年3月26日水曜日
IRBC x EZ
International Risk Cycles
http://www.bankofcanada.ca/wp-content/uploads/2010/11/Verdelhan_Adrien.pdf
http://www.bankofcanada.ca/wp-content/uploads/2010/11/Verdelhan_Adrien.pdf
2014年2月9日日曜日
Timing of receiving information
Christiano, L. J.; R. Motto and M. Rostagno. 2014. "Risk Shocks." American Economic Review, 104(1), 27-65.
<quote>
We now discuss the timing assumptions that govern when agents learn aboutshocks. A standard assumption in estimated equilibrium models is that a shock’s statisticalinnovation (i.e., the one-step-ahead error in forecasting the shock based onthe history of its past realizations) becomes known to agents only at the time that theinnovation is realized. Recent research casts doubt on this assumption. For example, Alexopoulos (2011) and Ramey (2011) use US data to document that people receive information about the period t statistical innovation in technology and governmentspending, respectively, before the innovation is realized.
<unquote>
<quote>
We now discuss the timing assumptions that govern when agents learn aboutshocks. A standard assumption in estimated equilibrium models is that a shock’s statisticalinnovation (i.e., the one-step-ahead error in forecasting the shock based onthe history of its past realizations) becomes known to agents only at the time that theinnovation is realized. Recent research casts doubt on this assumption. For example, Alexopoulos (2011) and Ramey (2011) use US data to document that people receive information about the period t statistical innovation in technology and governmentspending, respectively, before the innovation is realized.
<unquote>
2014年1月19日日曜日
Notes to the Economic Outlook Annex Tables (OECD)
http://www.oecd.org/economy/outlook/notestotheeconomicoutlookannextables.htm
Active population
Economically active population comprises all persons of either sex who furnish the supply of labour for the production of economic goods and services as defined by the United Nations System of National Accounts during a specified time-reference period.
http://stats.oecd.org/glossary/detail.asp?ID=730
Labor force = Employment + Unemployment
Participation rates = Labor force / Working-age population (15-64)
http://www.oecd.org/economy/outlook/eosources-notestostatisticalannextables11-19wagescostsunemploymentandinflation.htm#t_13
Active population
Economically active population comprises all persons of either sex who furnish the supply of labour for the production of economic goods and services as defined by the United Nations System of National Accounts during a specified time-reference period.
http://stats.oecd.org/glossary/detail.asp?ID=730
Labor force = Employment + Unemployment
Participation rates = Labor force / Working-age population (15-64)
http://www.oecd.org/economy/outlook/eosources-notestostatisticalannextables11-19wagescostsunemploymentandinflation.htm#t_13
Hours worked for OECD countries
Ohanian, L. E. and A. Raffo. 2012. "Aggregate Hours Worked in Oecd Countries: New Measurement and Implications for Business Cycles." Journal of Monetary Economics, 59(1), 40-56.
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Specifically, we show that employment is a poor proxy for labor input in many OECD countries, as changes in hours per worker are about as large as changes in employment. We also find that employment-based labor wedges are much too large in Europe, given high European firing costs, while hours-based labor wedges are comparatively too small. Finally, we find that the Great Recession is a substantial puzzle in Europe, as both employment-based and hours-based labor wedges are nearly zero in many European countries. This stands in sharp contrast to labor wedges in the U.S. during the Great Recession, or labor wedges in other European recessions, both of which are an order of magnitude larger.
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Specifically, we show that employment is a poor proxy for labor input in many OECD countries, as changes in hours per worker are about as large as changes in employment. We also find that employment-based labor wedges are much too large in Europe, given high European firing costs, while hours-based labor wedges are comparatively too small. Finally, we find that the Great Recession is a substantial puzzle in Europe, as both employment-based and hours-based labor wedges are nearly zero in many European countries. This stands in sharp contrast to labor wedges in the U.S. during the Great Recession, or labor wedges in other European recessions, both of which are an order of magnitude larger.
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2014年1月13日月曜日
Small open economies
Baxter, M. and M. J. Crucini. 1995. "Business Cycles and the Asset Structure of Foreign-Trade." International Economic Review
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A second strand of literature studies business cycles in small open economies. These studies typically restrict access to international risk sharing in ways that seem, empirically, to be more reasonable than the assumption of complete markets. But these analyses are necessarily silent on the factors affecting world interest rates and asset prices.
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A second strand of literature studies business cycles in small open economies. These studies typically restrict access to international risk sharing in ways that seem, empirically, to be more reasonable than the assumption of complete markets. But these analyses are necessarily silent on the factors affecting world interest rates and asset prices.
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Complete vs. Incomplete Market (2)
Baxter, M. and M. J. Crucini. 1995. "Business Cycles and the Asset Structure of Foreign-Trade." International Economic Review
International correlation puzzles for consumption and output
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As discussed by Backus, Kehoe, and Kydland (1992) and Baxter and Crucini (1993), the complete markets economy does reasonably well in matching thewithin-country stylized facts concerning volatility and persistence of macro aggregates. Much more problematic are the complete markets model's implications for cross-country correlations of output, consumption, investment, and labor input. Specifically, this model has difficulty generating positive output comovement (and correspondingly positive comovement of investments and labor inputs across countries). Further, the model predicts a level of cross-country consumption correlationthat is much too high relative to the data.
Because individuals are subject to idiosyncratic (nation-specific) risk in the bond economy, in equilibrium this economy will display nation-specific fluctuations in consumption. Thus we expect that the international correlation between consumptionsshould be lower in the bond economy, and it is-but not much lower.
Similarly, we expect the absence of insurance against labor income risk in the bond economy to alter the response of labor input to productivity shocks. In the complete markets economy, the response to a positive productivity shock in one country generates an increase in labor input in the productive country, and a tendency for a decline in labor input in the relatively unproductive country. Because of the optimal insurance character of the complete markets equilibrium, workers in the productive country agree to "share" some of the additional output generated by the increase in productivity and labor input, in exchange for similar "sharing"when the other country receives a positive productivity shock. In the bond economy, individuals can only smooth consumption across time (by buying or selling bonds); they cannot smooth consumption across different "states of nature" because of the absence of contingent securities. This reduces the tendency for labor input to decline in the temporarily unproductive location.
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International correlation puzzles for consumption and output
---<quote>---
As discussed by Backus, Kehoe, and Kydland (1992) and Baxter and Crucini (1993), the complete markets economy does reasonably well in matching thewithin-country stylized facts concerning volatility and persistence of macro aggregates. Much more problematic are the complete markets model's implications for cross-country correlations of output, consumption, investment, and labor input. Specifically, this model has difficulty generating positive output comovement (and correspondingly positive comovement of investments and labor inputs across countries). Further, the model predicts a level of cross-country consumption correlationthat is much too high relative to the data.
Because individuals are subject to idiosyncratic (nation-specific) risk in the bond economy, in equilibrium this economy will display nation-specific fluctuations in consumption. Thus we expect that the international correlation between consumptionsshould be lower in the bond economy, and it is-but not much lower.
Similarly, we expect the absence of insurance against labor income risk in the bond economy to alter the response of labor input to productivity shocks. In the complete markets economy, the response to a positive productivity shock in one country generates an increase in labor input in the productive country, and a tendency for a decline in labor input in the relatively unproductive country. Because of the optimal insurance character of the complete markets equilibrium, workers in the productive country agree to "share" some of the additional output generated by the increase in productivity and labor input, in exchange for similar "sharing"when the other country receives a positive productivity shock. In the bond economy, individuals can only smooth consumption across time (by buying or selling bonds); they cannot smooth consumption across different "states of nature" because of the absence of contingent securities. This reduces the tendency for labor input to decline in the temporarily unproductive location.
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2013年11月27日水曜日
Trading Costs in IRBC
Backus, D. K.; P. J. Kehoe and F. E. Kydland. 1992. "International Real Business Cycles." Journal of Political Economy
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A surprising feature of these two experiments is that a small trading cost produces most of the properties of autarky. A possible explanation comes from Cole and Obstfeld (1991): if the gains from trade are small, then a small cost may have a large effect on the quantity of trade in goods and assets. To investigate this for our model, we measure the gains from trade by comparing equilibria in the benchmark (free-trade) economy to those in the autarky economy. We express the welfare gain as the percentage increase in the consumption path under autarky necessary to reach the same level of welfare attained with free access to international markets. Welfare in each case is estimated as the mean value of discounted utility over the 50 replications of 100 periods each. We find that consumption in autarky must be increased only 0.3 percent to make consumers as well off as they are when international markets are open. The welfare gains from trade in our theoretical economies stem solely from trade across states and dates. As in similar calculations by Cole and Obstfeld, the gains are remarkably small, which may help to account for the large effect of a small trading cost on the model's equilibria.
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---<quote>---
A surprising feature of these two experiments is that a small trading cost produces most of the properties of autarky. A possible explanation comes from Cole and Obstfeld (1991): if the gains from trade are small, then a small cost may have a large effect on the quantity of trade in goods and assets. To investigate this for our model, we measure the gains from trade by comparing equilibria in the benchmark (free-trade) economy to those in the autarky economy. We express the welfare gain as the percentage increase in the consumption path under autarky necessary to reach the same level of welfare attained with free access to international markets. Welfare in each case is estimated as the mean value of discounted utility over the 50 replications of 100 periods each. We find that consumption in autarky must be increased only 0.3 percent to make consumers as well off as they are when international markets are open. The welfare gains from trade in our theoretical economies stem solely from trade across states and dates. As in similar calculations by Cole and Obstfeld, the gains are remarkably small, which may help to account for the large effect of a small trading cost on the model's equilibria.
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2013年11月26日火曜日
Complete vs. Incomplete Market (1)
Baxter, M. and M. J. Crucini. 1995. "Business Cycles and the Asset Structure of Foreign-Trade." International Economic Review
---<quote>----
The within-country correlation between saving and investment is slightly lower in the bond economy compared with the complete markets economy. This might seem surprising, since one's intuition is that closing asset markets, thus forcing individualsto bear more country-specificrisk, would act to increase within-country saving-investment correlations. However, this "basic saving measure" (defined as output minus consumption) need not be a good measure of true saving in an open economy, as discussed by Obstfeld (1986) and Stockman and Svensson (1987).
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---<quote>----
The within-country correlation between saving and investment is slightly lower in the bond economy compared with the complete markets economy. This might seem surprising, since one's intuition is that closing asset markets, thus forcing individualsto bear more country-specificrisk, would act to increase within-country saving-investment correlations. However, this "basic saving measure" (defined as output minus consumption) need not be a good measure of true saving in an open economy, as discussed by Obstfeld (1986) and Stockman and Svensson (1987).
---<unquote>----
2013年10月15日火曜日
外為特会の歴史
須田美矢子「外国為替資金特別会計と外国為替政策」
http://www.gakushuin.ac.jp/univ/eco/gakkai/pdf_files/keizai_ronsyuu/contents/3602/3602-33suda.pdf
渡瀬義男「外国為替資金特別会計の現状と課題」
"財務省側に次のような大前提があったことから生じたと思われる｡ すなわち､ 第一に､ 外為特会の外貨は将来の円買い介入の原資であり､ その外貨は輸出入に圧倒的比重を占めるドル建て以外にないこと､ 第二に､ ドルが暴落するような事態は当面考えられず､ 懸念される評価損が実現する事態も想定しがたいこと､ 第三に､ 貯蓄超過の日本の方が構造的に米国より金利が低いから､ 金利差逆転などは考えられないこと､ の三点である｡"
http://www.ndl.go.jp/jp/data/publication/refer/200612_671/067103.pdf
http://www.gakushuin.ac.jp/univ/eco/gakkai/pdf_files/keizai_ronsyuu/contents/3602/3602-33suda.pdf
渡瀬義男「外国為替資金特別会計の現状と課題」
"財務省側に次のような大前提があったことから生じたと思われる｡ すなわち､ 第一に､ 外為特会の外貨は将来の円買い介入の原資であり､ その外貨は輸出入に圧倒的比重を占めるドル建て以外にないこと､ 第二に､ ドルが暴落するような事態は当面考えられず､ 懸念される評価損が実現する事態も想定しがたいこと､ 第三に､ 貯蓄超過の日本の方が構造的に米国より金利が低いから､ 金利差逆転などは考えられないこと､ の三点である｡"
http://www.ndl.go.jp/jp/data/publication/refer/200612_671/067103.pdf
2013年9月26日木曜日
Basic Small Country IRBC Model
Mendoza(1991)AER
- They use Canadian data.
- Basic model has no adjustment costs of capital stock.
- Trade Balance is not negatively correlated with output in case relative risk aversion is high (GAMMA = 2). In case of GAMMA = 1.001, the correlation becomes negative, but the number is small. Further, if including capital adjustment costs, the correlation of them can be close to the actual data.
- Savings is not highly correlated with investments, but if including capital adjustment costs, the correlation of them can be close to the actual data.
Benchmark Model
<quote>
In general, the benchmark model is capable of mimicking the ranking of variability of the actual aggregates, and it is also consistent with some of the coefficients of autocorrelation and correlation with domestic output. Of special interest is the fact that the model mimics the absence of comovement between GDP and foreign interest payments or the trade-balance:output ratio (TB/ Y). This contrasts with the less favorable results obtained in previous empirical studies of intertemporal-equilibrium models of the current account (e.g., Ahmed, 1986; Hercowitz, 1986b).
The low correlation between S and I in the benchmark model is not related to the degree of international capital mobility. Instead, it follows from the low degree of serial autocorrelation of the shocks used to calibrate the model. With RHO = 0.36, the productivity shocks are not persistent enough to cause sufficient divergence between the expected marginal productivity of capital and the world's real interest rate to produce a stronger correlation between S and I. If, for instance, RHO is increased to 0.99, the degree of correlation between savings and investment reaches 0.8. Thus, although the benchmark model cannot mimic simultaneously the stylized facts of GDP and the correlation between savings and investment, it does support the argument presented by Obstfeld (1986) and Finn (1990), claiming that the intensity of the comovement between S and I in economies with perfect capital mobility depends on the degree of persistence of the underlying technological disturbances.
<unquote>
Adjustment Cost Model
<quote>
Perhaps the most significant result produced by these simulations is that the adjustment-cost model is capable of mimicking the two striking empirical regularities of open economies mentioned in the Introduction. Regardless of the value assigned to GAMMA, this model mimics the variability and GDP-correlation of the ratio of the trade balance to output, as well as the correlation between savings and investment. In fact, the comovement between S and I is slightly higher in both artificial economies than in the data, and this occurs without affecting the perfect international mobility of financial capital.
The introduction of moderate adjustment costs increases the persistence of the disturbances needed to calibrate the model, and with more permanent shocks investment tends to move closer together with savings, as Obstfeld (1986) suggested. Moreover, in line with the findings of Dooley et al. (1987), the perfect mobility of financial capital proves to be consistent not only with the correlation between S and I, but also with adjustment costs that prevent fast changes in physical capital.
The model mimics the variability and GDP correlation of TB/ Y because, in the presence of adjustment costs, the shocks that enable the model to mimic the stylized facts are expected to last long enough for the pro-borrowing effect, caused by an expected expansion of future output, to compensate for the pro-saving effect induced by a raise in contemporaneous output. These simulations suggest, therefore, that the intertemporal-equilibrium approach to the current account can be consistent with the empirical regularities of the business cycle.
The simulations also shed some light on a problem confronted by some empirical models of adjustment costs. As pointed out by Sargent (1978), these models generally produce reduced-form autoregressions in which highly persistent shocks cannot be distinguished from significant adjustment costs. Similarly, in the model studied here the variability of investment can be reduced by increasing the serial autocorrelation of the shocks, RHO, instead of introducing the adjustment costs. An increase in RHO reduces the probability of moving to the opposite state of productivity and lessens the chances of adjusting the capital stock, thereby reducing the variability of investment. However, the resulting persistence of the disturbances is too high and causes the model to exaggerate the actual moments. For instance, with GAMMA = 2 and PHI = 0, if RHO is set to 0.9 the variability of I falls to 5.4 percent, but the variability of GDP rises to 5 percent, and its serial autocorrelation is almost perfect. Thus, the simulations establish the relevance of adjustment costs relative to highly persistent shocks by showing that the latter are not consistent with the business cycle.
<unquote>
Appendix
<quote>
The model studied here also differs from the standard real-business-cycle prototypein its use of an endogenous rate of time preference to determine a well-defined stationary equilibrium for the holdings of foreignassets. This approach was introduced by Obstfeld (1981), following the principles formulated by Hirofumi Uzawa (1968), to analyze current-account dynamics in a deterministic model of a small open economy.
<unquote>
- They use Canadian data.
- Basic model has no adjustment costs of capital stock.
- Trade Balance is not negatively correlated with output in case relative risk aversion is high (GAMMA = 2). In case of GAMMA = 1.001, the correlation becomes negative, but the number is small. Further, if including capital adjustment costs, the correlation of them can be close to the actual data.
- Savings is not highly correlated with investments, but if including capital adjustment costs, the correlation of them can be close to the actual data.
Benchmark Model
<quote>
In general, the benchmark model is capable of mimicking the ranking of variability of the actual aggregates, and it is also consistent with some of the coefficients of autocorrelation and correlation with domestic output. Of special interest is the fact that the model mimics the absence of comovement between GDP and foreign interest payments or the trade-balance:output ratio (TB/ Y). This contrasts with the less favorable results obtained in previous empirical studies of intertemporal-equilibrium models of the current account (e.g., Ahmed, 1986; Hercowitz, 1986b).
The low correlation between S and I in the benchmark model is not related to the degree of international capital mobility. Instead, it follows from the low degree of serial autocorrelation of the shocks used to calibrate the model. With RHO = 0.36, the productivity shocks are not persistent enough to cause sufficient divergence between the expected marginal productivity of capital and the world's real interest rate to produce a stronger correlation between S and I. If, for instance, RHO is increased to 0.99, the degree of correlation between savings and investment reaches 0.8. Thus, although the benchmark model cannot mimic simultaneously the stylized facts of GDP and the correlation between savings and investment, it does support the argument presented by Obstfeld (1986) and Finn (1990), claiming that the intensity of the comovement between S and I in economies with perfect capital mobility depends on the degree of persistence of the underlying technological disturbances.
<unquote>
Adjustment Cost Model
<quote>
Perhaps the most significant result produced by these simulations is that the adjustment-cost model is capable of mimicking the two striking empirical regularities of open economies mentioned in the Introduction. Regardless of the value assigned to GAMMA, this model mimics the variability and GDP-correlation of the ratio of the trade balance to output, as well as the correlation between savings and investment. In fact, the comovement between S and I is slightly higher in both artificial economies than in the data, and this occurs without affecting the perfect international mobility of financial capital.
The introduction of moderate adjustment costs increases the persistence of the disturbances needed to calibrate the model, and with more permanent shocks investment tends to move closer together with savings, as Obstfeld (1986) suggested. Moreover, in line with the findings of Dooley et al. (1987), the perfect mobility of financial capital proves to be consistent not only with the correlation between S and I, but also with adjustment costs that prevent fast changes in physical capital.
The model mimics the variability and GDP correlation of TB/ Y because, in the presence of adjustment costs, the shocks that enable the model to mimic the stylized facts are expected to last long enough for the pro-borrowing effect, caused by an expected expansion of future output, to compensate for the pro-saving effect induced by a raise in contemporaneous output. These simulations suggest, therefore, that the intertemporal-equilibrium approach to the current account can be consistent with the empirical regularities of the business cycle.
The simulations also shed some light on a problem confronted by some empirical models of adjustment costs. As pointed out by Sargent (1978), these models generally produce reduced-form autoregressions in which highly persistent shocks cannot be distinguished from significant adjustment costs. Similarly, in the model studied here the variability of investment can be reduced by increasing the serial autocorrelation of the shocks, RHO, instead of introducing the adjustment costs. An increase in RHO reduces the probability of moving to the opposite state of productivity and lessens the chances of adjusting the capital stock, thereby reducing the variability of investment. However, the resulting persistence of the disturbances is too high and causes the model to exaggerate the actual moments. For instance, with GAMMA = 2 and PHI = 0, if RHO is set to 0.9 the variability of I falls to 5.4 percent, but the variability of GDP rises to 5 percent, and its serial autocorrelation is almost perfect. Thus, the simulations establish the relevance of adjustment costs relative to highly persistent shocks by showing that the latter are not consistent with the business cycle.
<unquote>
Appendix
<quote>
The model studied here also differs from the standard real-business-cycle prototypein its use of an endogenous rate of time preference to determine a well-defined stationary equilibrium for the holdings of foreignassets. This approach was introduced by Obstfeld (1981), following the principles formulated by Hirofumi Uzawa (1968), to analyze current-account dynamics in a deterministic model of a small open economy.
<unquote>
2013年8月6日火曜日
Elasticity of intertemporal substitution
Elasticity of intertemporal substitution (or intertemporal elasticity of substitution) is a measure of responsiveness of the growth rate of consumption to the real interest rate.
http://en.wikipedia.org/wiki/Elasticity_of_intertemporal_substitution
http://en.wikipedia.org/wiki/Elasticity_of_intertemporal_substitution
2013年7月4日木曜日
Feldstein-Horioka Pazzle
The national saving rate is highly correlated with its domestic investment rate, which is not supported by the standard economic theory assuming open international financial economy.
Baxter and Crucini (1993) "Explaining Saving Investment Correlations"
"Saving-investment correlations are higher for larger countries."
COUNTRY SIZE AND SAVING-INVESTMENT CORRELATIONS
Country GNP(1985 U.S. $) S-I correlation
United States 3,994 0.86
Japan 1,365 0.80
Germany 667 0.68
France 527 0.31
Italy 372 0.39
Canada 347 0.61
Australia 171 0.54
Switzerland 106 0.65
Baxter and Crucini (1993) "Explaining Saving Investment Correlations"
"Saving-investment correlations are higher for larger countries."
COUNTRY SIZE AND SAVING-INVESTMENT CORRELATIONS
Country GNP(1985 U.S. $) S-I correlation
United States 3,994 0.86
Japan 1,365 0.80
Germany 667 0.68
France 527 0.31
Italy 372 0.39
Canada 347 0.61
Australia 171 0.54
Switzerland 106 0.65
2013年5月26日日曜日
Exchange Rates during Financial Crises
Marion Kohler (2010) "Exchange Rates during Financial Crises"
http://www.bis.org/publ/qtrpdf/r_qt1003f.pdf
http://www.bis.org/publ/qtrpdf/r_qt1003f.pdf
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