ABSTRACT This paper offers an empirical explanation behind the dynamics of the overall volatility of exchange rates and its high‐frequency, most economically destabilizing components. Spectral methodology is employed to isolate the portion of volatility attributable to high‐frequency...

Economics classes claim to develop students' "analytical" abilities and "problem-solving" skills. Assessment of such claims is rather difficult, since it requires measurement of advanced thinking processes. Aptitude tests, such as the SAT, ACT (standardised tests for college admissions in the...

We study the effects of a conventional monetary expansion, quantitative easing, and operation twist on corporate bond yields and spreads. These policies are simulated as shocks to the Treasury yield curve, and the impulse response functions of corporate yields and spreads to shocks are computed...

We report systematic, out-of-sample evidence on the benefits to an already well diversified investor that may derive from further diversification into various hedge fund strategies. We investigate dynamic strategic asset allocation decisions that take into account investors' preferences as well...

The purpose of the paper is two-fold: (i) to construct and analyze a novel endogenous growth model, in which unbounded growth is possible without the need to assume increasing returns to scale, and (ii) to use the model to estimate the long-run (or dynamic) costs of recessions. In our model,...

Using regulatory data on transactions and positions, we provide a comprehensive overview of the activity in the foreign exchange (FX) derivatives markets, including futures, swaps, and options, covering both exchange-traded and over-the-counter (OTC) products. We analyze the behavior of dealers,...

Using CFTC's regulatory data that includes identities of all market participants, we study the dynamics of single-name and index credit default swaps (CDS) leading up to, during, and in the aftermath of the COVID-related financial markets turmoil of 2020. The paper reports volume and...