We are comparing two approaches for stochastic volatility and jumps estimation in the EUR/USD time series - the non-parametric power-variation approach using high-frequency returns, and the parametric Bayesian approach (MCMC estimation of SVJD models) using daily returns. We find that both of...

There is a persistent association between health and portfolio choice, but hardly anything is known about the underlying sources of heterogeneity: what makes healthier individuals hold more risky assets? This paper uses rich Dutch longitudinal data to take into account and explain unobserved...

This chapter aims to present credit scoring as a technology meant to improve micro lending significantly. We consider that credit scoring is an advanced technology because statistical procedures, some sophisticated, are required to design powerful scorecards. In the same time, we want to show...

Does adoption of broadband internet in firms enhance labor productivity and increase wages? And is this technological change skill biased or factor neutral? We exploit rich Norwegian data to answer these questions. A public program with limited funding rolled out broadband access points, and...

This paper seeks to examine whether the bilateral Indian Rupee-US$ exchange rate follow a random walk or not. In other words, this study investigates whether the Indian foreign exchange market is informationally efficient or not. For this study daily data on Indian rupee-US$ exchange rate have...

In this paper, we investigate the dynamic link between recessions and stock market liquidity by examining the predictive content of illiquidity for US recessions. After controlling for other commonly featured recession predictors such as term spreads and credit spreads, we find that the...

This paper presents an equilibrium bond pricing model driven by two stochastic factors: the real interest rate and the expected rate of inflation. The model's parameters are estimated using a maximum likelihood technique based on a Kalman filter. Data on nominal U.S. Treasury securities and...

The large shift of U.S. employment from goods producers to service producers has generated concern over future income distribution, because of perceived large relative pay differences. This paper applies a nonparametric density overlap statistic to compare the sectors distribution of full-time,...

This paper documents changes in the cyclical behavior of nominal data series that appear after 1979:IIIQ, when the Federal Reserve implemented a policy to end the acceleration of inflation. Such changes were not apparent in real variables. A business cycle model with impulses to technology and a...

Is there a link between loose monetary conditions, credit growth, house price booms, and financial instability? This paper analyzes the role of interest rates and credit in driving house price booms and busts with data spanning 140 years of modern economic history in the advanced economies. We...