Related papers: The Interaction Between Credit Constraints and Unc…
Trading pressure from one asset can move the price of another, a phenomenon referred to as cross impact. Using tick-by-tick data spanning 5 years for 500 assets listed in the United States, we identify the features that make cross-impact…
We investigate quantitatively the so-called leverage effect, which corresponds to a negative correlation between past returns and future volatility. For individual stocks, this correlation is moderate and decays exponentially over 50 days,…
This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the…
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit…
Lower bounds on fluctuations of thermodynamic currents depend on the nature of time: discrete or continuous. To understand the physical reason, we compare current fluctuations in discrete-time Markov chains and continuous-time master…
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation…
This paper proposes a brand-new measure of energy efficiency at household level and explores how it is affected by access to credit. We calculate the energy and carbon intensity of the related sectors, which experience a substantial decline…
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using…
In order to analyze the effect of chaos or order on the rate of decoherence in a subsystem we aim to distinguish effects of the two types of dynamics from those depending on the choice of the wave packet. To isolate the former we introduce…
We identify the structural impulse responses of quantiles of the outcome variable to a shock. Our estimation strategy explicitly distinguishes treatment from control variables, allowing us to model responses of unconditional quantiles while…
Many quantum technologies rely on high-precision dynamics, which raises the question of how these are influenced by the experimental uncertainties that are always present in real-life settings. A standard approach in the literature to…
We study the equilibrium behavior in a multi-commodity selfish routing game with many types of uncertain users where each user over- or under-estimates their congestion costs by a multiplicative factor. Surprisingly, we find that…
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-related shocks, especially those linked to trade tensions,…
The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer…
This paper provides a comprehensive examination of the evolution of credit cards in the United States, tracing their historical development, causes, consequences, and impact on both individuals and the economy. It delves into the…
This paper presents a new way to account for downside and upside risks when producing density nowcasts of GDP growth. The approach relies on modelling location, scale and shape common factors in real-time macroeconomic data. While movements…
In the wake of the 2008 financial crisis the role of strongly interconnected markets in fostering systemic instability has been increasingly acknowledged. Trade networks of commodities are susceptible to deleterious cascades of supply…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
In this paper, the higher order dynamics of individual illiquid stocks are investigated. We show that considering the classical powers correlation could lead to a spurious assessment of the volatility persistency or long memory volatility…