Related papers: Fiscal shocks and asymmetric effects: a comparativ…
This paper examines asymmetric and time-varying dependency structures between financial returns, using a novel approach consisting of a combination of regime-switching models and the local Gaussian correlation (LGC). We propose an LGC-based…
This study constructs a novel analytical general equilibrium model to compare environmental policies in a setting where oligopolistic energy firms engage in third-degree price discrimination across residential consumers and industrial…
The goal of the present study is to increase the intelligibility of macroeconomic phenomena triggered by governmental intervention in economy by means of fiscal policies. During cyclical movements, fiscal policy can play an important role…
To measure the impacts on U.S. rail and intermodal freight by economic disruptions of the 2007-09 Great Recession and the COVID-19 pandemic, this paper uses time series analysis with the AutoRegressive Integrated Moving Average (ARIMA)…
We introduce a new approach to financial returns based on an infinite family of statistics called slide statistics. The evidence these statistics provide suggests that certain distributions such as the stable distributions are not good…
This article expands Milton Friedman's spending matrix to analyse 'spending efficiency' and 'preference compatibility' across different economic systems against five key outcome criteria. By generalising Friedman's typology, it compares…
Financial crises are usually associated with increased cross-sectional dependence between asset returns, causing asymmetry between the lower and upper tail of return distribution. The detection of asymmetric dependence is now understood to…
A new model that combines economic growth rate fluctuations at the microscopic and macroscopic level is presented. At the microscopic level, firms are growing at different rates while also being exposed to idiosyncratic shocks at the firm…
Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…
Our infrastructure systems enable our well-being by allowing us to move, store, and transform materials and information given considerable social and environmental variation. Critically, this ability is shaped by the degree to which society…
This paper proposes a novel framework to test for slope heterogeneity between time-varying coefficients in panel data models. Our test not only allows us to detect whether the coefficient functions are the same across all units or not, but…
We study how idiosyncratic firm-level shocks generate aggregate volatility and tail risk when they propagate through a production network under overlapping adjustment: new productivity draws arrive before the economy reaches the static…
Empirical researchers often estimate spillover effects by fitting linear or non-linear regression models to sampled network data. We show that common sampling schemes bias these estimates, potentially upwards, and derive biased-corrected…
Financial markets are highly correlated systems that reveal both the inter-market dependencies and the correlations among their different components. Standard analyzing techniques include correlation coefficients for pairs of signals and…
This papers aims to establish the empirical relationship between income, net wealth and their joint distribution in a selected group of euro area countries. I estimate measures of dependence between income and net wealth using a…
Ordered response scales are ubiquitous in economics, but their interpretation rests on an untested assumption: that numerical labels reflect equal psychological intervals. The contribution of this paper is to provide a systematic assessment…
I measure the uncertainty affecting estimates of economic inequality in the US and investigate how accounting for properly estimated standard errors can affect the results of empirical and structural macroeconomic studies. In my analysis, I…
We introduce simulated packing and cracking as a technique for evaluating partisan-gerrymandering measures. We apply it to historical congressional and legislative elections to evaluate four measures: partisan bias, declination, efficiency…
Asymmetric exclusion processes with locally reversible kinetic constraints are introduced to investigate the effect of non-conservative driving forces in athermal systems. At high density they generally exhibit rheological-like behavior,…
Our computational economic analysis investigates the relationship between inequality, mobility and the financial accumulation process. Extending the baseline model by Levy et al., we characterise the economic process through stylised return…