This paper proposes a statistical model and a conceptual framework to estimate inflation volatility assuming rational inattention, where the decay in the level of attention reflects the arrival of news in the market. We estimate trend inflation and the conditional inflation volatility for...

Espasa and Mayo provide consistent forecasts for an aggregate economic indicator and its basic components as well as for useful sub-aggregates. To do so, they develop a procedure based on single-equation models that includes the restrictions arisen from the fact that some components share common...

Globalization, if defined as the integration of international commodity markets, started in the eighteenth century and progressed gradually and with some setbacks into the nineteenth century, instead of suddenly appearing at some point after the 1820s. We use grain prices in Europe and the...

1 Introduction -- 2 Early Globalization: Arguments and Evidence -- 3 Harbingers of Modernity: an Iberian perspective -- 4 Silver production, prices and globalization in the eighteenth century -- 5 The Austrian mining industry and the Iberian globalization -- 6 The Manila Galleon and the Age of...

We analyse committees of voters who take a decision between two options as a two- stage process. In a discussion stage, voters share non-verifiable information about a private signal concerning what is the best option. In a voting stage, votes are cast and one of the options is implemented. We...

We analyze the effects of the financial crisis in credit valuation adjustments (CVA's). Following the arbitrage-free valuation framework presented in Brigo et al. (2009), we consider a model with stochastic Gaussian interest rates and CIR++ default intensities. Departing from previous...

The paper is concerned with ranking academic journal quality and research impact in Finance, based on the widely-used Thomson Reuters ISI (2013) Web of Science citations database (hereafter ISI). The paper analyses the 89 leading international journals in the ISI category of “Business –...

In an endogenous growth model with public consumption and public investment, we explore the time-consistent optimal choice for two policy instruments: an income tax rate and the split of government spending between consumption and investment. We show that under the time-consistent, Markov...

We consider a model of Paired Kidney Exchange (PKE) with feasibility constraints on the number of patient-donor pairs involved in exchanges. Patients' preferences are restricted so that patients prefer kidneys from compatible younger donors to kidneys from older donors. In this framework,...

This paper examines the effectiveness of using futures contracts as hedging instruments of: (1) alternative models of volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of futures contracts. For this purpose, daily data of...