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We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…

Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…

Short-term survival and an exuberant plunge into building our future are generating a new kind of unintended consequence -- hidden fragility. This is a direct effect of the sophistication and structural complexity of the socio-technical…

The United States' power market is featured by the lack of judicial power at the federal level. The market thus provides a unique testing environment for the market organization structure. At the same time, the econometric modeling and…

Much research has been conducted on how consumption is related to human relations, for example, consumer communities organized around specific brands, or the way people use products to define their own identity and transmit a desired image.…

We study the distributional implications of uncertainty shocks by developing a model that links macroeconomic aggregates to the US distribution of earnings and consumption. We find that: initially, the fraction of low-earning workers…

Is the typical specification of the Euler equation for investment employed in DSGE models consistent with aggregate macro data? Using state-of-the-art econometric methods that are robust to weak instruments and exploit information in…

Finding interdependency relations between (possibly multivariate) time series provides valuable knowledge about the processes that generate the signals. Information theory sets a natural framework for non-parametric measures of several…

Large language models (LLMs) are often queried multiple times at test time, with predictions aggregated by majority vote. While effective, this self-consistency strategy (arXiv:2203.11171) requires a fixed number of calls and can fail when…

An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile sensitivity, the method allows the assessment of changes in…

What predicts the evolution over time of subjective well-being? We correlate the trends of subjective well-being with the trends of social capital and/or GDP. We find that in the long and medium run social capital largely predicts the…

Poor economies not only produce less; they typically produce things that involve fewer inputs and fewer intermediate steps. Yet the supply chains of poor countries face more frequent disruptions---delivery failures, faulty parts, delays,…

In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U.S. using factor copulas. We propose multi-factor, structured factor, and factor-vine models where the…

Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…

We study deterministic escape dynamics in the framework of the discrete Klein-Gordon modelwith a repulsive quartic on-site potential. Using a combination of analytical techniques, based on differential and algebraic inequalities and…

This article uses data of subjective Life Satisfaction aggregated to the community level in Canada and examines the spatial interdependencies and spatial spillovers of community happiness. A theoretical model of utility is presented. Using…

This paper presents two cases of random banking data generators based on migration matrices and scoring rules. The banking data generator is a new hope in researches of finding the proving method of comparisons of various credit scoring…

This article reviews the economics literature of, primarily, the last 20 years, that studies the link between income shocks and consumption fluctuations at the household level. We identify three broad approaches through which researchers…

Negative information often exerts a disproportionately strong impact on human decision-making, a phenomenon known as the negativity bias. In behavioral economics, this effect is formally captured by Prospect Theory, which posits that losses…

In making models for biological systems one expects to grasp the biology and be able to use ones intuition to predict the outcome. This paper is about the discrepancy between what is expected and what is the outcome of the analysis of the…