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Incomplete Markets and Households' Exposure to Interest Rate and Inflation Risk : Implications for the Monetary Policy Maker
Pescatori, Andrea - 2007
The present paper studies optimal monetary policy when the representative agent assumption is abandoned and financial wealth heterogeneity across households is introduced. Incomplete markets make households incapable of perfectly insuring against interest rate and inflation risk, creating a...
Persistent link: https://www.econbiz.de/10012728849
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GJR-Copula-CVaR Model for Portfolio Optimization : Evidence for Emerging Stock Markets
Nikusokhan, Moien - 2018
This paper empirically examines the impact of dependence structure between the assets on the portfolio optimization, composed of Tehran Stock Exchange Price Index and Borsa Istanbul 100 Index. In this regard, the method of the Copula family functions is proposed as powerful and flexible tool to...
Persistent link: https://www.econbiz.de/10012909312
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Economic cycles and their synchronization : a survey of spectral properties
Sella, L.; Vivaldo, G.; Groth, A.; Ghil, Michael - 2013
The present work applies several advanced spectral methods to the analysis of macroeconomic fluctuations in three countries of the European Union: Italy, The Netherlands, and the United Kingdom. We focus here in particular on singular-spectrum analysis (SSA), which provides valuable spatial and...
Persistent link: https://www.econbiz.de/10010225969
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On Return Rate Implied by Behavioural Present Value
Piasecki, Krzysztof Maciej - 2015
The future value of a security is described as a random variable. Distribution of this random variable is the formal image of risk uncertainty. On the other side, any present value is defined as a value equivalent to the given future value. This equivalence relationship is a subjective. Thus...
Persistent link: https://www.econbiz.de/10013031830
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Optimal Order Exposure and the Market Impact of Limit Orders
Cebiroglu, Gökhan - 2017
In limit order book markets, traders face the problem whether to display or hide their orders. While hiding reduces exposure impact, exposing can increase execution priority. Based on order flow dynamics, we develop a structural model that captures this trade-off. A central aspect of this work...
Persistent link: https://www.econbiz.de/10012975472
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The Determinants of Inflation
Kinlaw, William B.; Kritzman, Mark; Metcalfe, Michael; … - 2022
The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis enables policymakers to focus on the most...
Persistent link: https://www.econbiz.de/10014030604
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Price-Induced Technical Progress in 80 Years of Us Agriculture
Paris, Quirino - 2015
This paper presents a theory of technical progress that interprets the price-induced conjecture of Hicks. It provides … theory. A crucial assumption is that entrepreneurs make decisions about techniques on the basis of expected information about … portion of input quantities that have been determined by the conjecture of price-induced technical progress (PITP). The theory …
Persistent link: https://www.econbiz.de/10014062257
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An Atemporal Microeconomic Theory and an Empirical Test of Price-Induced Technical Progress
Caputo, Michael R.; Paris, Quirino - 2015
implications of the price-induced technical progress theory using both classical and Bayesian statistical procedures. We find that … the data are fully consistent with the atemporal, costminimizing, price-induced microeconomic theory of technical progress …
Persistent link: https://www.econbiz.de/10014068818
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Discriminatory Power and Predictions of Defaults of Structural Credit Risk Models
Wong, T. C. - 2010
This paper studies the discriminatory power and calibration quality of the structural credit risk models under the 'exogenous default boundary' approach including those proposed by Longstaff and Schwartz (1995) and Collin-Dufresne and Goldstein (2001), and 'endogenous default boundary' approach...
Persistent link: https://www.econbiz.de/10013150869
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Estimating output mix effectiveness : a scenario approach
Hanson, Torbjørn - 2016
The ability of public sector policy makers to prioritize has a huge impact on the effectiveness of public service provision. Public services can take the form of final outputs demanded by consumers or of intermediate outputs contributing to a process of realizing the higher goals of society. In...
Persistent link: https://www.econbiz.de/10011585156