Related papers: Confidence Collapse in a Multi-Household, Self-Ref…
Recent financial disasters have emphasised the need to accurately predict extreme financial losses and their consequences for the institutions belonging to a given financial market. The ability of econometric models to predict extreme…
Compartmental models are the most widely used framework for modeling infectious diseases. These models have been continuously refined to incorporate all the realistic mechanisms that can shape the course of an epidemic outbreak. Building on…
We study consumption dependence in the context of random utility and repeated choice. We show that, in the presence of consumption dependence, the random utility model is a misspecified model of repeated rational choice. This…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges…
A greedy personality is usually accompanied by arrogance and confidence. This work investigates the cooperation success condition in the context of biased payoff allocation and self-confidence. The first component allows the organizer in a…
We develop a methodology for constructing confidence sets for parameters of statistical models via a reduction to sequential prediction. Our key observation is that for any generalized linear model (GLM), one can construct an associated…
It is commonly believed that financial crises "lead to" lower growth of a country during the two-year recession period, which can be reflected by their post-crisis GDP growth. However, by contrasting a causal model with a standard…
Spatial distribution of the human population is distinctly heterogeneous, e.g. showing significant difference in the population density between urban and rural areas. In the historical perspective, i.e. on the timescale of centuries, the…
Natural and anthropogenic disasters frequently affect both the supply and demand side of an economy. A striking recent example is the Covid-19 pandemic which has created severe disruptions to economic output in most countries. These direct…
This paper proposes a simple and parsimonious discrete-time simulation model to describe the endogenous formation and periodic collapse of financial bubbles. While existing literature has extensively explored the statistical properties of…
This paper provides the first causal evidence that credit supply expansion caused the 1999-2010 U.S. business cycle mainly through the channel of household leverage (debt-to-income ratio). Specifically, induced by net export growth, credit…
Many-body systems can have multiple equilibria. Though the energy of equilibria might be the same, still systems may resist to switch from an unfavored equilibrium to a favored one. In this paper we investigate occurrence of such phenomenon…
A broad range of natural and social systems from human microbiome to financial markets can go through critical transitions, where the system suddenly collapses to another stable configuration. Critical transitions can be unexpected, with…
We explore the implications of a preference ordering for an investor-consumer with a strong preference for keeping consumption above an exogenous social norm, but who is willing to tolerate occasional dips below it. We do this by splicing…
Economic evaluations from individual-level data are an important component of the process of technology appraisal, with a view to informing resource allocation decisions. A critical problem in these analyses is that both effectiveness and…
In this paper, we work in the framework of the Merton problem but we impose a drawdown constraint on the consumption process. This means that consumption can never fall below a fixed proportion of the running maximum of past consumption. In…
I develop and estimate a dynamic equilibrium model of risky entrepreneurs' borrowing and savings decisions incorporating both formal and local-informal credit markets. Households have access to an exogenous formal credit market and to an…
In this chapter the complex systems are discussed in the context of economic and business policy and decision making. It will be showed and motivated that social systems are typically chaotic, non-linear and/or non-equilibrium and therefore…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…