This study analyzes the realized volatility and discrete jump volatility of Korean won–US dollar exchange rate returns using high-frequency five-minute returns from June 1, 2010, to April 30, 2021, and several volatility periodicity filters. Utilizing the maximum outlying statistics with a...

This study aims to determine whether the use of derivatives in non-financial companies in Indonesia as a hedging instrument affects firms' exchange rate risk exposure. The study's sample is 164 non-financial companies listed on the Indonesia Stock Exchange in 2019. We used the multiple...

A vast literature has documented how US inflation persistence has fallen in recent decades, but this finding is difficult to explain in monetary models. Using survey data on inflation expectations, I document a positive co-movement between ex-ante average forecast errors and forecast revisions...

We examine the impact of voluntary customer information disclosure by Chinese-listed companies on their financing constraints from the perspective of information transparency. The results show that voluntary disclosure can alleviate financing constraints, and the effect is pronounced when...

This paper investigates house price dynamics at high frequency using city-level observations during the period 1994-2022 in Lithuania. We employ multiple time series-based econometric procedures to examine whether real house prices and house price-to-rent ratios exhibit explosive behavior....

We show that a parsimonious factor model can alleviate the problems of using raw historical data subject to large idiosyncratic noise in mean-variance portfolio optimization. Through the factor structure, we incorporate forward-looking information into the expected returns, exploiting a set of...

Empirical analyses starting from Laubach and Williams (2003) find that the natural rate of interest is not constant in the long-run. This paper studies the optimal response to stochastic changes of the long-run natural rate in a suitably modified version of the new Keynesian model. We show that,...

To explain the fact that government spending and tax policy are procyclical in emerging and developing countries, we develop a model for the joint behavior of optimal tax rates and government spending over the business cycle. Our set-up relies on financial frictions, which have been shown to be...