Related papers: Negative interest rates: why and how?
We predict credit applications with off-the-shelf, interchangeable black-box classifiers and we explain single predictions with counterfactual explanations. Counterfactual explanations expose the minimal changes required on the input data…
We address the modelling of commodities that are supposed to have positive price but, on account of a possible failure in the physical delivery mechanism, may turn out not to. This is done by explicitly incorporating a `delivery liability'…
The seriousness of the current crisis urgently demands new economic thinking that breaks the austerity vs. deficit spending circle in economic policy. The core tenet of the paper is that the most important problems that natural and social…
The paper uses functional auto-regression to predict the dynamics of interest rate curve. It estimates the auto-regressive operator by extending methods of the reduced-rank auto-regression to the functional data. Such an estimation…
There are some statistical anomalies in the Chinese stock market, i.e., positive return skewness, anti-leverage effect (positive returns induce higher volatility than negative returns); and reverse volatility asymmetry (contemporaneous…
One the one hand, rough volatility has been shown to provide a consistent framework to capture the properties of stock price dynamics both under the historical measure and for pricing purposes. On the other hand, market price of volatility…
Applied macroeconomists frequently use impulse response estimators motivated by linear models. We study whether the estimands of such procedures have a causal interpretation when the true data generating process is in fact nonlinear. We…
We develop a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework. Utilizing the class of affine processes, this model produces positive LIBOR rates and spreads, while the dynamics are…
Monthly disaggregated US data from 1978 to 2016 reveals that exposure to news on inflation and monetary policy helps to explain inflation expectations. This remains true when controlling for household personal characteristics, perceptions…
This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexity-entropy causality…
A social network is often divided into many factions. People are friends within each faction, while they are enemies of the other factions, and even my enemy's enemy is not necessarily my friend. This configuration can be described in terms…
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…
We critically review recent claims that financial crashes can be predicted using the idea of log-periodic oscillations or by other methods inspired by the physics of critical phenomena. In particular, the October 1997 `correction' does not…
The problem of non-stationarity in financial markets is discussed and related to the dynamic nature of price volatility. A new measure is proposed for estimation of the current asset volatility. A simple and illustrative explanation is…
Do firm dynamics matter for the transmission of monetary policy? Empirically, the startup rate declines following a monetary contraction, while the exit rate increases, both of which reduce aggregate employment. I present a model that…
In the field of pattern mining, a negative sequential pattern is specified by means of a sequence consisting of events to occur and of other events, called negative events, to be absent. For instance, containment of the pattern $\langle a\…
We consider a short rate model, driven by a stochastic process on the cone of positive semidefinite matrices. We derive sufficient conditions ensuring that the model replicates normal, inverse or humped yield curves.
Credit risk is a crucial topic in the field of financial stability, especially at this time given the profound impact of the ongoing pandemic on the world economy. This study provides insight into the impact of credit risk on the financial…
In some rate-distortion-type problems, the required fidelity of information is affected by past actions. As a result, the distortion function depends not only on the instantaneous distortion between a source symbol and its representation…
In the last decade, a large body of literature has been developed to explain the universal features of inequality in terms of income and wealth. By now, it is established that the distributions of income and wealth in various economies show…