Related papers: Capital Structure in U.S., a Quantile Regression A…
This paper presents a model that studies the impact of credit expansions arising from increases in collateral values or lower interest rate policies on long-run productivity and economic growth in a two-sector endogenous growth economy,…
Quantile regression has demonstrated promising utility in longitudinal data analysis. Existing work is primarily focused on modeling cross-sectional outcomes, while outcome trajectories often carry more substantive information in practice.…
Detailed knowledge of individual income dynamics is crucial for investigating the existence of the American dream: Are we able to improve our income status during our working life? This key question simply boils down to observing individual…
It is well known that quantile regression model minimizes the portfolio extreme risk, whenever the attention is placed on the estimation of the response variable left quantiles. We show that, by considering the entire conditional…
Recent studies highlight economic complexity's role in mitigating fiscal crises, often measured via an economy's trade structure. Trade, however, is just one facet of an economy's structure and omits critical innovative activities like…
We demonstrate using multi-layered networks, the existence of an empirical linkage between the dynamics of the financial network constructed from the market indices and the macroeconomic networks constructed from macroeconomic variables…
Macroscopic properties of equity markets affect the performance of active equity strategies but many are not adequately captured by conventional models of financial mathematics and econometrics. Using the CRSP Database of the US equity…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
Based on interactions between individuals and others and references to social norms, this study reveals the impact of heterogeneity in time preference on wealth distribution and inequality. We present a novel approach that connects the…
In banking practice, rating transition matrices have become the standard approach of deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being available from Basel ratings. Rating transition matrices…
We propose a semi-structured discrete-time multi-state model to analyse mortgage delinquency transitions. This model combines an easy-to-understand structured additive predictor, which includes linear effects and smooth functions of time…
Quantile regression and quantile treatment effect methods are powerful econometric tools for considering economic impacts of events or variables of interest beyond the mean. The use of quantile methods allows for an examination of impacts…
Quantile regression is a powerful tool for inferring how covariates affect specific percentiles of the response distribution. Existing methods either estimate conditional quantiles separately for each quantile of interest or estimate the…
The article develops a general equilibrium model where power relations are central in the determination of unemployment, profitability, and income distribution. The paper contributes to the market forces versus institutions debate by…
The relationship between micro-structure and macro-structure of complex systems using information geometry has been dealt by several authors. From this perspective, we are going to apply it as a geometrical structure connecting both…
About two million U.S. corporations and partnerships are linked to each other and human investors by about 15 million owner-subsidiary links. Comparable social networks such as corporate board memberships and socially-built systems such as…
Credit risk rating is shown to be a relevant determinant in order to estimate good corporate governance and to self-optimize capital structure. The conclusion is argued from a study on a selected (and justified) sample of (182) companies…
In a series of precedent papers, we have presented a comprehensive methodology, termed Field Economics, for translating a standard economic model into a statistical field-formalism framework. This formalism requires a large number of…
We investigate the dynamics of growth models in terms of dynamical system theory. We analyse some forms of knowledge and its influence on economic growth. We assume that the rate of change of knowledge depends on both the rate of change of…
We consider structural vector autoregressions that are identified through stochastic volatility under Bayesian estimation. Three contributions emerge from our exercise. First, we show that a non-centred parameterization of stochastic…