Related papers: A global economic policy uncertainty index from pr…
When agents' information is imperfect and dispersed, existing measures of macroeconomic uncertainty based on the forecast error variance have two distinct drivers: the variance of the economic shock and the variance of the information…
In recent years there has been a closer interrelationship between several scientific areas trying to obtain a more realistic and rich explanation of the natural and social phenomena. Among these it should be emphasized the increasing…
This paper investigates the impact of economic policy uncertainty (EPU) on the crash risk of US stock market during the COVID-19 pandemic. To this end, we use the GARCH-S (GARCH with skewness) model to estimate daily skewness as a proxy for…
An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of the US citizenry. Econometric models are fitted to the log-returns of the index in order to quantify its tail…
Trade policy uncertainty has become a significant feature of today's global economy. While its impact on free trade is evident, its microeconomic effects remain open to debate. This study explores the influence of trade policy uncertainty…
Important game-changer economic events and transformations cause uncertainties that may affect investment decisions, capital flows, international trade, and macroeconomic variables. One such major transformation is Brexit, which refers to…
Income- and price-elasticity of demand quantify the responsiveness of markets to changes in income, and in prices, respectively. Under the assumptions of utility maximization and preference-independence (additive preferences), mathematical…
We show that financial correlations exhibit a non-trivial dynamic behavior. We introduce a simple phenomenological model of a multi-asset financial market, which takes into account the impact of portfolio investment on price dynamics. This…
This paper provides an innovative perspective on the role of gold as a hedge and safe haven. We use a quantile-on-quantile regression approach to capture the dependence structure between gold returns and changes in uncertainty under…
Behavioural economics provides labels for patterns in human economic behaviour. Probability weighting is one such label. It expresses a mismatch between probabilities used in a formal model of a decision (i.e. model parameters) and…
Principal component analysis (PCA) is a tool to capture factors that explain variation in data. Across domains, data are now collected across multiple contexts (for example, individuals with different diseases, cells of different types, or…
Ten years ago we presented a modified version of Okun law for the biggest developed economies and reported its excellent predictive power. In this study, we revisit the original models using the estimates of real GDP per capita and…
The increasing integration of data science techniques into quantitative finance has enabled more systematic and data-driven approaches to portfolio construction. This paper investigates the use of Principal Component Analysis (PCA) in…
This paper presents a novel machine learning approach to GDP prediction that incorporates volatility as a model weight. The proposed method is specifically designed to identify and select the most relevant macroeconomic variables for…
In the present paper a model of a market consisting of real and financial interacting sectors is studied. Agents populating the stock market are assumed to be not able to observe the true underlying fundamental, and their beliefs are biased…
Recent strides in economic complexity have shown that the future economic development of nations can be predicted with a single "economic fitness" variable, which captures countries' competitiveness in international trade. The predictions…
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…
There is great uncertainty about future climate conditions and the appropriate policies for managing interactions between the climate and the economy. We develop a multidimensional computational model to examine how uncertainties and risks…
When analyzing the components influencing the stock prices, it is commonly believed that economic activities play an important role. More specifically, asset prices are more sensitive to the systematic economic news that impose a pervasive…
A country's mix of products predicts its subsequent pattern of diversification and economic growth. But does this product mix also predict income inequality? Here we combine methods from econometrics, network science, and economic…