Related papers: Capital Structure in U.S., a Quantile Regression A…
We study U.S. Treasury yield curve forecasting under distributional uncertainty and recast forecasting as an operations research and managerial decision problem. Rather than minimizing average forecast error, the forecaster selects a…
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile…
Understanding the statistical dynamics of growth and inequality is a fundamental challenge to ecology and society. Recent analyses of wealth and income dynamics in contemporary societies show that economic inequality is very dynamic and…
This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit…
We consider the sectoral composition of a country's GDP, i.e. the partitioning into agrarian, industrial, and service sectors. Exploring a simple system of differential equations we characterize the transfer of GDP shares between the…
This paper studies the response of stock markets relative to the banking sector to innovation by using a panel of 75 countries from 1982 to 2021. We find that innovation increases the activity, efficiency and size of stock markets relative…
This paper highlights the size-dependency of income distributions, i.e. the income distribution curves versus the population of a country systematically. By using the generalized Lotka-Volterra model to fit the empirical income data in the…
In the seminal work [9], several macroscopic market observables have been introduced, in an attempt to find characteristics capturing the diversity of a financial market. Despite the crucial importance of such observables for investment…
We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market…
In this article we show how to analyze the covariation of bond prices nonparametrically and robustly, staying consistent with a general no-arbitrage setting. This is, in particular, motivated by the problem of identifying the number of…
Phase transitions, characterized by abrupt shifts between macroscopic patterns of organization, are ubiquitous in complex systems. Despite considerable research in the physical and natural sciences, the empirical study of this phenomenon in…
Understanding the dynamics of opinions, preferences and of culture as whole requires more use of empirical data than has been done so far. It is clear that an important role in driving this dynamics is played by social influence, which is…
The main purpose of this paper is to generalize some recent results obtained by Chilarescu and Manuel Gomez. Essentially, we are trying to study the effect of elasticity of substitution on the parameters of economic growth, based on its two…
One of the most important empirical findings in microeconometrics is the pervasiveness of heterogeneity in economic behaviour (cf. Heckman 2001). This paper shows that cumulative distribution functions and quantiles of the nonparametric…
Economic growth depends on capital investments and on investments in education and innovation. The model introduced here will specifiy aggregate output as determined by aggregate supply of capital and education investment. After formulating…
The term structure of credit spreads is studied with an aim to predict its future movements. A completely new approach to tackle this problem is presented, which utilizes nonlinear parametric models. The Brain-Cousens regression model with…
Credit scores are critical for allocating consumer debt in the United States, yet little evidence is available on their performance. We benchmark a widely used credit score against a machine learning model of consumer default and find…
Penalized estimation principle is fundamental to high-dimensional problems. In the literature, it has been extensively and successfully applied to various models with only structural parameters. As a contrast, in this paper, we apply this…
The objective of this study is to examine empirically the impact of good corporate governance on financial performance of United Kingdom non-financial listed firms. Agency theory and stewardship theory serve as the bases of a conceptual…
In the General Theory, Keynes remarked that the economy's state depends on expectations, and that these expectations can be subject to sudden swings. In this work, we develop a multiple equilibria behavioural business cycle model that can…