We propose a reduced-form eSIRD model to operationalize the country-specific Basic Reproduction Number and Mortality Rate for the COVID-19 pandemic. Enhanced from the classical epidemiological structural SIR model, our model has several contributions: 1) Allowing the effective Basic Reproduction...

In this paper we provide an operational definition of market and funding liquidity, and we introduce a method to create two interpretable liquidity measures, which we associate to these two types of liquidity. The construction is based on creating two parsimonious linear combinations of the many...