This paper evaluates the inflation density forecasts published by the Swedish central bank, the Sveriges Riksbank. Realized inflation outcomes are mapped to their forecasted percentiles, which are then transformed to be standard normal under the null that the forecasting model is good. Results...

This paper presents a new approach to the evaluation of FOMC macroeconomic forecasts. Its distinctive feature is the interpretation, under reasonable conditions, of the minimum and maximum forecasts reported in FOMC meetings as indicative of probability density forecasts for these variables....

This paper suggests how the price level could be stabilized by the Bank of England adopting a rule to peg the price of a new financial instrument. This new instrument would be similar but not identical to a price-index futures contract. The paper explains how the scheme would work, assesses...

We present simulation results for the likely pension outcomes for different defined-contribution (DC) pension plan members distinguished by occupation and gender. While our results suggest that key differences between outcomes depend on the strategic asset allocation strategy chosen (and hence...

This paper outlines a model in which costly state verification leads to the emergence of a bank-like financial intermediary that issues both debt and equity liabilities. Shareholders incur verification costs when projects in the bank's asset portfolio fail, and depositors incur verification...

This paper investigates the structure of optimal financial contracts and the main factors that influence it--verification and monitoring costs, moral hazard, agents' wealth limitations, and their attitudes to risk. It suggests that the optimality of debt contracts with costly bankruptcy is more...

This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, the Value‐at‐Risk and Expected Shortfall. The SRMs are...