In this paper we propose the use of an asymmetric binary link function to extend the proportional hazard model for predicting loan default. The rationale behind this approach is that the symmetry assumption, that has been widely used in the literature, could be considered as quite restrictive,...

This paper analyzes and quantifies ex ante components of bond yields - real rate of returns and risk premia - from observed prices of nominal and indexed bonds in the United Kingdom from 1983 to 2000. The estimation uses an asset pricing framework based on a habit consumption model together with...

This paper suggests an empirically attractive Gaussian dynamic term structure model to retrieve estimates of real interest rates and in flation expectations from the nominal term structure of interest rates which are net of in flation risk premium effects. The paper shows that this model is...

Real, total consumption growth deviations from normal stock market wealth effects lead economic growth in advanced economies in the Americas, in Europe and in AustralAsia, as shown by Breeden (2013). Consumers' expenditures reflect their information about employment opportunities and future real...

This papers provides clear cut evidence that recessionary and financial distressed conditions, as well as banning foreclosure laws, often introduced by governments to mitigate the effects of the economic and/or financial distressed conditions on mortgage loans, have adverse effects on the loan...

We use an overlapping generation model to explore the implications of mortality during pandemics for the economy's productive capacity. Under current epidemiological projections for the progression of COVID-19, our model suggests that mortality will have, in itself, at most small effects on...

This paper suggests an affine term structure model of real interest rates to predict changes in real consumption growth. The model is estimated, jointly, by real interest rates and consumption data, and it is found to be consistent with the consumption smoothing hypothesis. The paper shows that...

Using information in returns we identify the stochastic process of consumption – the crucial ingredient of most macro-finance models. We find that aggregate consumption reacts over multiple quarters to innovations spanned by financial markets, and this persistent component accounts for 26% of...

This paper suggests using a multilayer artificial neural network (ANN) method, known as deep learning ANN, to predict the probability of default (PD) within the survival analysis framework. Deep learning ANN structures consider hidden interconnections among the covariates determining the PD...

The mechanism underlying banks’ interest rate setting behaviour is an important element in the study of economic systems with important policy implications associated with the potential of monetary and -recently- macroprudential policies to affect the real economy. In the agent-based modelling...