Related papers: A win-win monetary policy in Canada
In the context of global trade, cross-border commodity pricing largely determines the competitiveness and market share of businesses. However, existing methodologies often prove inadequate, as they lack the agility and precision required to…
In this work, we systematically present a new dynamical systems approach to standard inflationary processes and their variants as constant-roll inflation. Using the techniques presented in our work one can in general investigate the…
Reinforcement learning (RL) has achieved significant success across a wide range of domains, however, most existing methods are formulated in discrete time. In this work, we introduce a novel RL method for continuous-time control, where…
We propose a stochastic map model of economic dynamics. In the last decade, an array of observations in economics has been investigated in the econophysics literature, a major example being the universal features of inequality in terms of…
Macro-economic models describe the dynamics of economic quantities. The estimations and forecasts produced by such models play a substantial role for financial and political decisions. In this contribution we describe an approach based on…
This paper focuses on linearisation techniques for a class of mixed singular/continuous control problems and ensuing algorithms. The motivation comes from (re)insurance problems with reserve-dependent premiums with Cram{\'e}r-Lundberg…
The Empirical Mode Decomposition (EMD) provides a tool to characterize time series in terms of its implicit components oscillating at different time-scales. We apply this decomposition to intraday time series of the following three…
We introduce an approach to counterfactual inference based on merging information from multiple datasets. We consider a causal reformulation of the statistical marginal problem: given a collection of marginal structural causal models (SCMs)…
Cosmological inflation predicts that the scalar spectral index "runs" with scale. Constraints on the values of the spectral runnings, $\alpha_s\equiv \textrm{d} n_s/\textrm{d}\ln k$ and $\beta_s\equiv \textrm{d}\alpha_s/\textrm{d}\ln k$,…
An inflationary model in the framework of noncommutative space-time may generate a nontrivial running of the scalar spectral index, but usually induces a large tensor-to-scalar ratio simultaneously. With the latest observational data from…
This paper presents the CMB angular power spectrum obtained using the \texttt{CAMB} code for three different models of inflation: the Starobinsky inflationary model, the generalized Starobinsky inflationary model, and the chaotic…
Low inflation was once a welcome to both policy makers and the public. However, Japan's experience during the 1990's changed the consensus view on price of economists and central banks around the world. Facing deflation and zero interest…
One of the most challenging aspects in the analysis and modelling of financial markets, including Credit Default Swap (CDS) markets, is the presence of an emergent, intermediate level of structure standing in between the microscopic…
Inflation exhibits state-dependent, skewed, and fat-tailed dynamics that make risk a central concern for monetary policy. Accordingly, inflation risks are distributional and cannot be fully captured by mean-based models. We propose a…
This paper proposes econometric methods for studying how economic variables respond to function-valued shocks. Our methods are developed based on linear projection estimation of predictive regression models with a function-valued predictor…
The paper tests the validity of the critique of the fiscal theory of the price level. A stochastic general equilibrium model with continuous time is constructed. An active fiscal policy and a passive monetary policy have been set. Monetary…
Stock market indices serve as fundamental market measurement that quantify systematic market dynamics. However, accurate index price prediction remains challenging, primarily because existing approaches treat indices as isolated time series…
This paper proposes a new family of Tweedie-based ratemaking models that explicitly account for mid-term policy cancellations. Using an automobile insurance dataset from a Canadian insurer, we document a marked difference in claims…
This paper considers a linear panel model with interactive fixed effects and unobserved individual and time heterogeneities that are captured by some latent group structures and an unknown structural break, respectively. To enhance realism…
Lindahl equilibrium is a solution concept for allocating a fixed budget across several divisible public goods. It always lies in the weak core, meaning that the equilibrium allocation satisfies desirable stability and proportional fairness…