Estimating and pricing correlation of credit deterioration is difficult, but can be handled with standard notions of correlation. The same however is not true for default events. The notion of correlation that one needs to use in dealing with credit default is fundamentally different from the...

Understanding the performance of banks is of the utmost importance due to the impact the sector may have on economic growth and financial stability. Residential mortgage loans constitute a large proportion of the portfolio of many banks and are one of the key assets in the determination of their...

This paper uses a regime switching approach to determine whether prices in the stock, direct real estate and indirect real estate markets are driven by the presence of speculative bubbles. The results show significant evidence of the existence of periodically partially collapsing speculative...

In this paper we combine an analysis of all labour market stocks and flows to assess gender gaps during periods of economic recessions and booms in oth the US and the UK. Starting from an improved understanding of the relationship between gender and the business cycle, we analyse three important...

This paper explores the normative aspects of the institution design for macroeconomic policymaking when a society legislates specific objectives and sequencing of decisions for the involved authorities. We develop a general theoretical framework that adds fiscal policy to the...

This paper investigates the impact of exposure to a serious, unusual, and unforeseen malaria epidemic in North East Brazil in 1938-1940 on subsequent human capital attainment. Arguing the event was exogenous, it exploits cohort- and regional-heterogeneity in exposure to identify effects. Given...

We examine the impact of board diversity on both the corporate value and equity risk of British companies since the financial crisis. We find that the inclusion of overseas directors on boards improves market value and reduces equity risk. When the number of female directors included on the...

Different theoretical and numerical methods for calculating the fair-value of a variance swap give rise to systematic biases that are most pronounced during volatile periods. For instance, differences of 10-20 percentage points would have been observed on fair-value index variance swap rates...

We consider a number of ways of testing whether macroeconomic forecasters herd or anti-herd, i.e., whether they shade their forecasts towards those of others or purpose- fully exaggerate their differences. When applied to survey respondents expectations of inflation and output growth the tests...