Related papers: A global economic policy uncertainty index from pr…
This paper extends quantile factor analysis to a probabilistic variant that incorporates regularization and computationally efficient variational approximations. We establish through synthetic and real data experiments that the proposed…
Tracking the build-up of financial vulnerabilities is a key component of financial stability policy. Due to the complexity of the financial system, this task is daunting, and there have been several proposals on how to manage this goal. One…
This paper offers a synthesis of the empirical literature on the effects of monetary policy. Using the findings from an extensive collection of meta-analyses, it evaluates the effectiveness of conventional and unconventional monetary policy…
The economic and financial variables of economic agents determine macroeconomic variables. Current models consider agents' variables that are determined by the sums of values and volumes of agents' trades during some time interval {\Delta}.…
Principal component analysis (PCA) is a well-known tool in multivariate statistics. One significant challenge in using PCA is the choice of the number of components. In order to address this challenge, we propose an exact distribution-based…
Although classical economic theory is based on the concept of stable equilibrium, real economic systems appear to be always out of equilibrium. Indeed, they share many of the dynamical features of other complex systems, e.g., ecological…
Economic assessment in environmental science concerns the measurement or valuation of environmental impacts, adaptation, and vulnerability. Integrated assessment modeling is a unifying framework of environmental economics, which attempts to…
We study how to assess the potential benefit of diversifying an equity portfolio by investing within and across equity sectors. We analyse 20 years of US stock price data, which includes the global financial crisis (GFC) and the COVID-19…
Monitoring downside risk and upside risk to the key macroeconomic indicators is critical for effective policymaking aimed at maintaining economic stability. In this paper I propose a parametric framework for modelling and forecasting…
Economic growth results from countries' accumulation of organizational and technological capabilities. The Economic and Product Complexity Indices, introduced as an attempt to measure these capabilities from a country's basket of exported…
Principal component analysis (PCA) is a well-established tool in machine learning and data processing. The principal axes in PCA were shown to be equivalent to the maximum marginal likelihood estimator of the factor loading matrix in a…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
This paper presents macroeconomic model that is based on parallels between macroeconomic multi-agent systems and multi-particle systems. We use risk ratings of economic agents as their coordinates on economic space. Aggregates of economic…
Uncertainty quantification is crucial for the deployment of image restoration models in safety-critical domains, like autonomous driving and biological imaging. To date, methods for uncertainty visualization have mainly focused on per-pixel…
Politicians world-wide frequently promise a better life for their citizens. We find that the probability that a country will increase its {\it per capita} GDP ({\it gdp}) rank within a decade follows an exponential distribution with decay…
In this paper, we solve portfolio rebalancing problem when security returns are represented by uncertain variables considering transaction costs. The performance of the proposed model is studied using constant-proportion portfolio insurance…
Principal component analysis (PCA) is a well-established method commonly used to explore and visualise data. A classical PCA model is the fixed effect model where data are generated as a fixed structure of low rank corrupted by noise. Under…
The Competitive Industrial Performance index (developed by experts of the UNIDO) is designed as a measure of national competitiveness. Index is an aggregate of eight observable variables, representing different dimensions of competitive…
Ordinal data occur frequently in the social sciences. When applying principal component analysis (PCA), however, those data are often treated as numeric implying linear relationships between the variables at hand, or non-linear PCA is…
By treating the financial market as a thermodynamic system, we establish a one-to-one correspondence between thermodynamic variables and economic quantities. Measured by the expected loss under the worst-case scenario, financial risk caused…