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Over the past few years, the Value at Risk indicator (VaR) has evolved, without doubt, into the most frequently used comprehensive tool for assessment of potential losses caused by adverse changes in market rates. However, the common models used for VaR assessment are based only on mid prices...
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Learning process is a new approach of filling the gap between adaptive expectations and rational expectations. Private agents are learning new information and adjust their expectation about the inflation and output gap. Central bank transparency is one of the key factors of learning by private...
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Our study contains application of Latent Semantic Indexing on financial crises prediction. Hypothesis to test was that equity markets are able to predict even sharp changes in monetary policy during a quarter ahead of such a change (which was searched during two quarters that followed). This...
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The author of this paper criticizes the broad, cash-flow based concepts of seignorage that were introduced and emphasized by the economic literature of the 1990s (i.e., fiscal seignorage, total seignorage, etc.), which the author argues are ill justified and confusing. On the other hand, the two...
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