June 27 talk SofiE

$$Y_z=(z_t^{\prime },h_t^{\prime },x_t^{\prime }{)}^{\prime }$$

$$A_0{Y}_t=a+\sum _{l=1}$$

$$A_0^{-1}=chol(\hat{\sum })\ast Q$$

$$IRFs$$

$$AUT,BEL,FRA,GER,ITA,NLD,PRT,SPN$$

$$VARXmodels$$

$$7GDP$$

• GDP

• VARX models for each countries

  • Endogenous
    • 7 country specic variables

• macroeconomic variables

• Asset purchase schock

• Asset purchase shock

• CB information shock

  • Governemnt bond
  • Stock prices
  • Value groth
  • Corporate debt
  • Sovereign stress index

Bond market

• Stock market
• MSCI
• Value growth

$$F_{t,T}(S)=S_t{e}^{r(T-t)}=S_t{e}^{r(T-t)}-F{V}_{t,T}(Dividends)=S_t{e}^{(r-\delta )(T-t)}$$

$$F_{t,T}(S)=S_t{e}^{r(T-t)}=S_t{e}^{T-t}-F{V}_{t,T}(Dividends)$$

$$S_t{e}^{-\delta (T-t)}$$

$$c(S_t,K,t,T)-p(S_t,K,t,T)=F_{t,T}^P(S)-K{e}^{-r(T-t)}$$

$$0\le c(K_1)-c(K_2)\le (K_2-K_1)e^{-rT}$$

$$0\le p(K_2)-p(K_1)\le (K_2-K_1)e^{-rT}$$

$$\frac{c(K_1)-c(K_2)}{K_2-k_1}\ge \frac{c(K_2)-c(K_3)}{K_3-k_2}$$

$$K_2=\lambda K_1+(1-\lambda )K_3$$

$$\lambda =\frac{K_3-K_2}{K_3-K_1}$$

$$PLL{F}_{\lambda }=LLF-\lambda \sum _{j=1}^j(\widehat{w_j}|{\theta }_j|)$$

G I C λ = 1 N { 2 [ L L F ( ^ } GIC_\lambda = \frac{1}{N}\{2[LLF(\hat{} \} GICλ​=N1​{2[LLF(^}

$$\varphi$$