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The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...
Persistent link: https://www.econbiz.de/10011663432
The analysis of the financial cycle and its interaction with the macroeconomy has become a central issue for the design of macroprudential policy since the 2007-08 financial crisis. This paper proposes the construction of financial cycle measures for the US based on a large data set of...
Persistent link: https://www.econbiz.de/10011710012
This study proposes a simple theoretical framework that allows for assessing financial distress up to five years in advance. We jointly model financial distress by using two of its key driving factors: declining cash-generating ability and insufficient liquidity reserves. The model is based on...
Persistent link: https://www.econbiz.de/10012974529
This paper argues that the widely applied practice of using OLS regression to predict “but-for” prices for cartel damage estimation is outdated. By replicating the dataset from a prominent Vitamins antitrust case of price-fixing, I show that a supervised machine learning algorithm is...
Persistent link: https://www.econbiz.de/10012865403
In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting information associated with financial market contagion. These measures are based on the decomposition (using high-frequency financial data) of the quadratic covariation between two assets...
Persistent link: https://www.econbiz.de/10014256827
Persistent link: https://www.econbiz.de/10012031002
We develop a sovereign default risk index using natural language processing techniques and 10 million news articles covering over 100 countries. The index is a highfrequency measure of countries' default risk, particularly for those lacking marketbased measures: it correlates with sovereign CDS...
Persistent link: https://www.econbiz.de/10013190704
This paper provides a comprehensive early warning system (EWS) that balances the classical signaling approach with the best-realized machine learning (ML) model for predicting fiscal stress episodes. Using accumulated local effects (ALE), we compute a set of thresholds for the most informative...
Persistent link: https://www.econbiz.de/10014494272
Pollution is a common byproduct of economic activity. Although policymakers should account for both the benefits and the negative externalities of polluting activities, it is difficult to identify those who are harmed and those who benefit from them. To overcome this challenge, our paper uses a...
Persistent link: https://www.econbiz.de/10011457393
Pollution is a common byproduct of economic activity. Although policymakers should account for both the benefits and the negative externalities of polluting activities, it is difficult to identify those who are harmed and those who benefit from them. To overcome this challenge, our paper uses a...
Persistent link: https://www.econbiz.de/10012993937