Similar Search Results

Heckman, James J. - 2013

Haavelmo's seminal 1943 paper is the first rigorous treatment of causality. In it, he distinguished the definition of causal parameters from their identification. He showed that causal parameters are defined using hypothetical models that assign variation to some of the inputs determining...

Persistent link: https://www.econbiz.de/10013075626

Tractable and Consistent Random Graph Models

Chandrasekhar, Arun G. - 2014

We define a general class of network formation models, Statistical Exponential Random Graph Models (SERGMs), that nest standard exponential random graph models (ERGMs) as a special case. We provide the first general results on when these models' (including ERGMs) parameters estimated from the...

Persistent link: https://www.econbiz.de/10013051307

Random Directed Graph Distributions in the Triad Census in Social Networks

Wasserman, Stanley S. - 2021

This paper uses the concept of the triad census first introduced by Holland and Leinhardt, and describes several distributions on directed graphs. Methods are presented for calculating the mean and the covariance matrix of the triad census for the uniform distribution that conditions on the...

Persistent link: https://www.econbiz.de/10013231609

Currency Matters : Analyzing International Bond Portfolios

Burger, John D. - 2017

Currency denomination is a prominent feature in the analysis of the structure of international bond markets, but is … bond holdings—indirectly because the global holdings dataset does not differentiate by currency denomination—and then more …

Persistent link: https://www.econbiz.de/10012962726

Sovereign Bond Prices, Haircuts and Maturity

Asonuma, Tamon - 2017

perceived default risk, bond prices, and haircuts by maturity …

Persistent link: https://www.econbiz.de/10012946502

The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign and Corporate Bond Markets

Burger, John D. - 2017

We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by … focusing on two dimensions: the evolution of the structure (size and currency composition) of the bond markets and their … allocations within the bond portfolios of US investors. Global factors, particularly the level of long-term US Treasury yields …

Persistent link: https://www.econbiz.de/10012950839

The Shifting Drivers of Global Liquidity

Avdjiev, Stefan - 2017

The sensitivity of the main global liquidity components, international loan and bond flows, to global factors varied …

Persistent link: https://www.econbiz.de/10012952502

Robust Bond Risk Premia

Bauer, Michael D. - 2017

predict bond returns. This paper shows that the statistical tests underlying this evidence are subject to serious small …

Persistent link: https://www.econbiz.de/10012954916

Self-Fulfilling Debt Dilution : Maturity and Multiplicity in Debt Models

Aguiar, Mark - 2018

We establish that creditor beliefs regarding future borrowing can be self-fulfilling, leading to multiple equilibria with markedly different debt accumulation patterns. We characterize such indeterminacy in the Eaton-Gersovitz sovereign debt model augmented with long maturity bonds. Two...

Persistent link: https://www.econbiz.de/10012916901

Floating Rate Money? The Stability Premium in Treasury Floating Rate Notes

Fleckenstein, Matthias - 2018

We identify a significant premium in the prices of Treasury floating rate notes (FRNs) relative to both Treasury bills and notes. This premium is directly related to the near-constant nature of FRN prices and differs from the liquidity and on-the-run premia in Treasury security prices previously...

Persistent link: https://www.econbiz.de/10012908475