Are monetary policy regimes state-dependent? To answer the question this paper estimates New Keynesian general equilibrium models that allow the state of the economy to influence the monetary authority's stance on inflation. I take advantage of recent developments in solving rational...

The recent price coupling of many European electricity markets has triggered a fundamental change in the interaction of day-ahead prices, challenging additionally the modeling of the joint behavior of prices in interconnected markets. In this paper we propose a regime-switching AR-GARCH copula...

Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long-term rates than with short-term rates in those economies. We augment a standard small open-economy model with imperfectly substitutable government bonds and time-varying term...

The analysis and measurement of poverty is a crucial and unsolved issue in the field of social science. This work aims to measure poverty as a multidimensional notion using a new composite indicator. However, subjective choices as different weighting schemes on the indicator's construction could...

Many aspects of social welfare are intrinsically multidimensional. Composite indices at-tempting to reduce this complexity to a unique measure abound in many areas of economics and public policy. Comparisons based on such measures depend, sometimes critically, on how the different dimensions of...

The purpose of this paper is twofold. First, we evaluate the responses to the questions on inflation expectations in the World Economic Survey for sixteen inflation targeting countries. Second, we compare inflation expectation forecasts across countries by using a two-step approach that selects...

The paper focuses on the option price subdiffusive model under the unusual behavior of the market, when the price may not be changed for some time which is quite a common situation in the modern financial markets or during global crises. In the model, the risk-free bond motion and classical GBM...

Promoting social information reporting and disclosure can promote sustainable banking. The paper aims to measure banking social sustainability by constructing a new interval-based composite indicator using the Thomson Reuters database. In this work, we propose an approach to constructing...