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The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…

Trading and Market Microstructure · Quantitative Finance 2023-01-30 Thibaut Théate , Antonio Sutera , Damien Ernst

In the search for political-economic tools for greenhouse gas mitigation, carbon pricing, which includes carbon tax and cap-and-trade, is implemented by many governments. However, the inflating food prices in carbon-pricing countries, such…

Econometrics · Economics 2024-05-24 Jiansong Xu

The analysis of the effects of monetary policy shocks using the common econometric models (such as VAR or SVAR) poses several empirical anomalies. However, it is known that in these econometric models the use of a large amount of…

General Economics · Economics 2023-03-01 Marouane Daoui

Composite indicators aggregate a set of variables using weights which are understood to reflect the variables' importance in the index. In this paper we propose to measure the importance of a given variable within existing composite…

Applications · Statistics 2018-08-02 Paolo Paruolo , Andrea Saltelli , Michaela Saisana

This paper investigates the identification, the determinacy and the stability of ad hoc, "quasi-optimal" and optimal policy rules augmented with financial stability indicators (such as asset prices deviations from their fundamental values)…

Economics · Quantitative Finance 2014-04-15 Jean-Bernard Chatelain , Kirsten Ralf

We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…

Pricing of Securities · Quantitative Finance 2014-07-29 Gabriele Sarais , Damiano Brigo

With a new deprivation (or poverty) function, in this paper, we theoretically study the changes in poverty with respect to the `global' mean and variance of the income distribution using Indian survey data. We show that when the income…

Physics and Society · Physics 2015-06-26 Amit K Chattopadhyay , Sushanta K Mallick

Given the hyperinflation that most of the Latin American countries suffered in the 90 and their decision towards adopting dollarization and in most cases keeping their own currency, this paper analyzes the effectiveness of dollarization as…

This paper shows that disregarding the information effects around the European Central Bank monetary policy decision announcements biases its international spillovers. Using data from 23 economies, both Emerging and Advanced, I show that…

General Economics · Economics 2023-06-08 Santiago Camara

Economic hardships significantly affect public perception and voting intentions in general elections. The primary focus of my study is to capture the degree of influence that individual economic hardships have on their voting. I utilize the…

General Economics · Economics 2024-08-13 Muhammad Hassan Bin Afzal

Economic growth results from countries' accumulation of organizational and technological capabilities. The Economic and Product Complexity Indices, introduced as an attempt to measure these capabilities from a country's basket of exported…

General Economics · Economics 2024-06-25 Carlo Bottai , Jacopo Di Iorio , Martina Iori

Epidemiologists aiming to model the dynamics of global events face a significant challenge in identifying the factors linked with anomalies such as disease outbreaks. In this paper, we present a novel method for identifying the most…

Machine Learning · Computer Science 2021-09-20 Aboli Marathe , Saloni Parekh , Harsh Sakhrani

The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. The possibility of extreme price movements increases the risk of trading in electricity markets. However, underlying the…

Statistical Mechanics · Physics 2008-12-02 Rafal Weron

Beyond its obvious macro-economic relevance, fiat money has important micro-economic implications. They matter for addressing No. 8 in Smale's "Mathematical Problems for the Next Century": extend the mathematical model of general…

Economics · Quantitative Finance 2017-01-19 Gesine A. Steudle , Saini Yang , Carlo C. Jaeger

Recent years have seen the introduction of various multi-field inflationary scenarios in which the curvature and geodesics of the scalar manifold play a crucial role. We outline a simple description that unifies these different proposals…

General Relativity and Quantum Cosmology · Physics 2020-08-14 Perseas Christodoulidis , Diederik Roest , Evangelos I. Sfakianakis

The goal of this research is to uncover the channels through which research and development (R&D) impacts economic growth in developing countries. The study employed nine variables from three broader categories in the World Economic Forum…

General Economics · Economics 2025-09-25 Ayusha Fayyaz , Zoltan Bartha

This study examines the determinants of financial and digital inclusion in West and Central Africa using the World Bank Findex 2021 data. Unlike prior works that rely solely on traditional logit and probit models, we combine…

Methodology · Statistics 2025-11-18 Ismaila A. Jallow , Samya Tajmouati

This paper expands on stochastic volatility models by proposing a data-driven method to select the macroeconomic events most likely to impact volatility. The paper identifies and quantifies the effects of macroeconomic events across…

Statistical Finance · Quantitative Finance 2024-11-26 Igor Martins , Hedibert Freitas Lopes

Consider the problem of a central bank that wants to manage the exchange rate between its domestic currency and a foreign one. The central bank can purchase and sell the foreign currency, and each intervention on the exchange market leads…

Optimization and Control · Mathematics 2017-12-07 Giorgio Ferrari , Tiziano Vargiolu

The decentralized international market of currency trading is a prototypical complex system having a highly heterogeneous composition. To understand the hierarchical structure relating the price movement of different currencies in the…

Statistical Finance · Quantitative Finance 2022-01-07 Abhijit Chakraborty , Soumya Easwaran , Sitabhra Sinha