This paper studies housing markets with price posting, directed search, and heterogeneity. One contribution is theoretical: in a novel model, we provide sharp results on existence, uniqueness and comparative statics. Another is empirical: we explore a new dataset from Vancouver. Then we confront...

The purpose of this paper is to test if there exists an eviction of the private tourism investment by the level of land tax (patent tax and urban tax), linked to investment. The consideration of land tax variable and that of public infrastructure expenditure in the private investment equation...

We adopt a family of nonparametric Cressie-Read estimators to price options based on relative pricing using the underlying asset returns. We use option models with stochastic volatility and jumps to investigate the ability of each member in this family to price options with different moneynesses...

This paper proposes a simple and crude way of approximating the XVA sensitivities. In short, the idea is simply to recycle the existing base simulated portfolio values for the bumped ones. This is done by re-simulating the risk factors for the bumped market and finding out which other base state...

A model/hedging performance is relatively poorly covered in the literature. This is particularly valid for general portfolios including both vanilla and exotic instruments. Practitioners generally use so called \pnl explain which measures whether portfolio price movements can be explained by...

We study 30 vintages of FRB/US, the principal macro model used by the Federal Reserve Board staff for forecasting and policy analysis. To do this, we exploit archives of the model code, coefficients, baseline databases and stochastic shock sets stored after each FOMC meeting from the model's...

This paper proposes a new and direct approach to Kilian--Lewis counterfactual analysis in structural VAR models. The proposed approach is easy to implement, and the process of model construction is more transparent. Practitioners conducting Kilian--Lewis counterfactual analysis should find the...

In this paper, I present an empirical model of learning under ambiguity in the context of clinical trials. Patients are concern with learning the treatment effect of the experimental drug, but face the ambiguity of random group assignment. A two dimensional Bayesian model of learning is proposed...

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of commonly applied, simple monetary policy rules. I...

I study 46 vintages of FRB/US, the principal macro model used by Federal Reserve Board staff for forecasting and policy analysis, as measures of real-time model uncertainty. I also study the implications of model uncertainty for the robustness of commonly applied, simple monetary policy rules. I...