arXiv subjects

Katalin Varga

Publications and source records attributed to Katalin Varga.

6 recordsLinked to original sources

arXiv2026

Macroprudential Policy and Downside Risk: Regime-Dependent Effects of Capital Regulation

This paper employs a Threshold Bayesian Vector Autoregression (TBVAR) to estimate the regime-dependent macroeconomic effects of capital regulation in Hungary. Using the Factor-based Index of Systemic Stress (FISS) as the threshold variable, the model identifies normal and stress regimes consistent with the occasionally binding constraints literature. The TBVAR offers a practical multivariate alternative to Growth-at-Risk for data-constrained economies. Generalised impulse responses reveal a pronounced asymmetry: releasing regulatory capital during stress raises GDP growth at the peak, with effects persisting for roughly twenty months, while the cost of accumulating capital in the normal regime is economically negligible. These findings are robust to alternative Cholesky orderings, sample periods, and credit variable definitions, providing direct empirical support for the countercyclical operation of the capital buffer.

econ.EM↗

arXiv2026

A Roof Over Risk: A House Price-at-Risk Framework for Hungary

This paper develops a House Price-at-Risk framework to examine how housing subsidies, credit conditions, and supply factors influence the distribution of house price growth in Hungary. Using quantile regression with adaptive LASSO variable selection, we identify variables driving downside versus upside risks across multiple horizons. Financial stress dominates the lower tail at short horizons, while unemployment and affordability constraints become the primary drivers of downside risk at longer horizons. Housing subsidies exhibit pro-cyclical characteristics, concentrating significant positive effects on the upper quantiles while leaving the lower tail largely unaffected. Supply-side variables display horizon-dependent sign reversals, with construction permits exerting upward pressure on prices in the short run but moderating them as supply materialises. Uncertainty decomposition reveals persistent left-tail dominance across all horizons. These findings suggest that macroprudential frameworks should account for the distributional effects of housing subsidies, particularly their pro-cyclical influence on house price growth.

econ.EM↗

arXiv2024

Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK

Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One way to do this is by the creation of indices that act as a signal for the policy maker. While factor modelling in finance and economics has a rich history, most of the applications tend to focus on stationary factors. Nevertheless, financial stress (and in particular tail events) can exhibit a high degree of inertia. This paper advocates moving away from the stationary paradigm and instead proposes non-stationary factor models as measures of financial stress. Key advantage of a non-stationary factor model is that while some popular measures of financial stress describe the variance-covariance structure of the financial stress indicators, the new index can capture the tails of the distribution. To showcase this, we use the obtained factors as variables in a growth-at-risk exercise. This paper offers an overview of how to construct non-stationary dynamic factors of financial stress using the UK financial market as an example.

q-fin.ST↗

arXiv2018

An extension of the Plancherel measure

Given a distribution in the unite square and having iid sample from it the first question what a statistician might do to test the hypothesis that the sample is iid. For this purpose an extension of the Plancherel measure is introduced. Recent literature on asymptotic behavior of Plancherel measure is discussed with extension to the new set up. Models for random permutations are described and the power of different tests is compared.

math.ST↗

arXiv2013

Biophysical modelling of the effects of inhaled radon progeny on the bronchial epithelium for the estimation of the relationships applied in the two stage clonal expansion model of carcinogenesis

There is a considerable debate between research groups applying the two stage clonal expansion model for lung cancer risk estimation, whether radon exposure affects initiation and transformation or promotion. The objective of the present study is to quantify the effects of radon progeny on these stages with biophysical models. For this purpose, numerical models of mutation induction and clonal growth were applied in order to estimate how initiation, transformation and promotion rates depend on tissue dose rate. It was found that rates of initiation and transformation increase monotonically with dose rate, while effective promotion rate decreases with time, but increases in a supralinear fashion with dose rate. Despite the uncertainty of the results due to the lack of experimental data, present study suggests that effects of radon exposure on both mutational events and clonal growth are significant, and should be considered in epidemiological analyses applying mathematical models of carcinogenesis.

q-bio.TO↗

arXiv2007

Poisson limit of an inhomogeneous nearly critical INAR(1) model

An inhomogeneous first--order integer--valued autoregressive (INAR(1)) process is investigated, where the autoregressive type coefficient slowly converges to one. It is shown that the process converges weakly to a Poisson or a compound Poisson distribution.

math.PR↗