Related papers: Capital Structure in U.S., a Quantile Regression A…
The dynamics of many socioeconomic systems is determined by the decision making process of agents. The decision process depends on agent's characteristics, such as preferences, risk aversion, behavioral biases, etc.. In addition, in some…
This study explores the link between the capital share and income inequality over the past four decades across 56 countries. Calculating the capital share from national accounts alongside top income share data from the World Inequality…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
This paper develops a nonlinear theoretical framework to analyze the dynamics of public expenditure reallocation in Uruguay. Motivated by recent debates on fiscal reform and expenditure efficiency, the paper models fiscal adjustment as a…
This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…
A step to consilience, starting with a deconstruction of the causality of uncertainty that is embedded in the fundamentals of growth and inequality, following a construction of aggregation laws that disclose the invariance principle across…
We develop quantile regression models in order to derive risk margin and to evaluate capital in non-life insurance applications. By utilizing the entire range of conditional quantile functions, especially higher quantile levels, we detail…
A significant number of the non-financial firms listed at Nairobi Securities Exchange (NSE) have been experiencing declining financial performance which deter investors from investing in such firms. The lenders are also not willing to lend…
We revisit granular models that represent the size of a firm as the sum of the sizes of multiple constituents or sub-units. Originally developed to address the unexpectedly slow reduction in volatility as firm size increases, these models…
Firms should keep capital to offer sufficient protection against the risks they are facing. In the insurance context methods have been developed to determine the minimum capital level required, but less so in the context of firms with…
This study presents an analytical approach to sector rotation, leveraging both factor models and fundamental metrics. We initiate with a systematic classification of sectors, followed by an empirical investigation into their returns.…
Tis paper is a literature review focusing on human capital, skills of employees, demographic change, management, training and their impact on productivity growth. Intrafirm behaviour has been recognized as a potentially important driver for…
We develop a behavioral asset pricing model in which agents trade in a market with information friction. Profit-maximizing agents switch between trading strategies in response to dynamic market conditions. Due to noisy private information…
We reverse-engineer the equilibrium construction process of asset prices in order to obtain returns which depend on firm characteristics, possibly in a linear fashion. One key requirement is that agents must have demands that rely…
The empirical literature on the relationship between income inequality and economic growth has produced highly heterogeneous and often conflicting results. This paper investigates the sources of this heterogeneity using a meta-analytic…
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…
By integrating survival analysis, machine learning algorithms, and economic interpretation, this research examines the temporal dynamics associated with attaining a 5 percent rise in purchasing power parity-adjusted GDP per capita over a…
The article examines how institutions, automation, unemployment and income distribution interact in the context of a neoclassical growth model where profits are interpreted as a surplus over costs of production. Adjusting the model to the…
Estimating the structures at high or low quantiles has become an important subject and attracted increasing attention across numerous fields. However, due to data sparsity at tails, it usually is a challenging task to obtain reliable…
Scaling has been proposed as a powerful tool to analyze the properties of complex systems, and in particular for cities where it describes how various properties change with population. The empirical study of scaling on a wide range of…