Longitudinal network data are increasingly available, allowing researchers to model how networks evolve over time and to make inference on their dependence structure. In this paper, a dynamic latent space approach is used to model directed networks of monthly interbank exposures. In this model,...

We introduce heterogeneous expectations in a standard housing market model linking housing rental levels to fundamental buying prices. Using quarterly data we estimate the model parameters for eight different countries, US, UK, NL, JP, CH, ES, SE and BE. We find that the data support...

In this paper, I examine the flow and performance of mutual funds in Brazil and their portfolio allocations during the global financial crisis. First, I show that mutual funds exposed to deposits and securities issued by small banks suffered significant outflows, due to the increased risk...