We derive a canonical representation for the no-arbitrage discrete-time term structure models with both observable and unobservable state variables, popularized by Ang and Piazzesi (2003). We conduct a specification analysis based on this canonical representation and we analyze how alternative...

We propose a structural model of two-sided matching and a semi-parametric procedure for its estimation that allow to analyze determinants of managers' compensation such as firm's and manager's quality, production technology, bargaining power and inter-temporal preferences. We use the estimated...

Term structure models are routinely used by central banks to assess the impact of their communication on market participants' views of future interest rate developments. However, recent studies have pointed out that traditional term structure models can provide misleading indications when policy...

The ratio between current earnings per share and share price (the EP ratio) is widely considered to be an effective gauge of under/over-valuation of a corporation's stock. Arguably, a more reliable indicator (the cyclically-adjusted EP ratio) can be obtained by replacing current earnings with a...

The financing structure of the euro area economy has evolved since the global financial crisis with non-bank financial intermediation taking a more prominent role. This shift affects the transmission of monetary policy. Compared with banks, non-bank financial intermediaries are more responsive...

In this paper we examine the sustainability of euro area public finances against thebackdrop of population ageing. We critically assess the widely used projections of theWorking Group on Ageing Populations (AWG) of the EU's Economic PolicyCommittee and argue that ageing costs may be higher than...