Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...

The ongoing financial turmoil has triggered a lively debate on ways of containing systemic risk and lessening the likelihood of boom-and-bust episodes in credit markets. Particularly, it has been argued that banking regulation might attenuate procyclicality in lending standards by affecting the...

Amid increased size and complexity of the banking industry, operational risk has a greater potential to transpire in more harmful ways than many other sources of risk. This paper provides a succinct overview of the current regulatory framework of operational risk under the New Basel Capital...

Mathematics has been extremely effective in physics, but not in economics beyond finance. To establish economics as science we should follow the Galilean method and try to deduce mathematical models of markets from empirical data, as has been done for financial markets. Financial markets are...

In this paper, we establish some new central limit theorems for generalized U-statistics of dependent processes under some mild conditions. Such central limit theorems complement existing existing results available from both the econometrics literature and statistics literature. We then look at...

The usual derivation of the Fokker-Planck partial differential eqn. (pde) assumes the Chapman-Kolmogorov equation for a Markov process [1,2]. Starting instead with an Ito stochastic differential equation (sde), we argue that finitely many states of memory are allowed in Kolmogorov’s two pdes,...

I study the properties of optimal long-term contracts in an environment in which the agents type evolves stochastically over time. The model stylizes a buyer-seller relationship but the results apply quite naturally to many contractual situations including regulation and optimal income-taxation....

Using data from Argentina, Australia, Colombia, El Salvador, Peru, and the United States, we identify three types of threshold effects when assessing the impact of economic activity on nonperforming loans (NPLs). For advanced financial systems showing low NPLs, there is an embedded...

We analyze the effect of IMF programs on economic agents' expectations about the economy in transitional countries using survey data from the Central and Eastern Eurobarometer poll, an annual general public survey monitoring the evolution of public opinion from 1990 to 1997. Previous studies, in...

The net worth approach to fiscal analysis is cast in a simple model able to capture the dynamics and steady-state equilibria of public sector's debt, nonfinancial and financial assets, and net worth under alternative fiscal rules, including the golden rule and the golden rule cum debt...