Related papers: The Interaction Between Credit Constraints and Unc…
In this paper, we explore the relationship between state-level household income inequality and macroeconomic uncertainty in the United States. Using a novel large-scale macroeconometric model, we shed light on regional disparities of…
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…
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets.…
A controversy involving loan loss provisions in banks concerns their relationship with the business cycle. While international accounting standards for recognizing provisions (incurred loss model) would presumably be pro-cyclical,…
In this paper we analyze the resilience of a network of banks to joint price fluctuations of the external assets in which they have shared exposures, and evaluate the worst-case effects of the possible default contagion. Indeed, when the…
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…
This paper examines how natural gas supply shocks affect Italian firms' pricing decisions and inflation expectations using quarterly survey data from the Bank of Italy's Survey on Inflation and Growth Expectations (SIGE). We identify…
Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) models neglect structural breaks triggered by…
Measuring systemic risk or fragility of financial systems is a ubiquitous task of fundamental importance in analyzing market efficiency, portfolio allocation, and containment of financial contagions. Recent attempts have shown that…
We shortly review the statistical properties of the escape times, or hitting times, for stock price returns by using different models which describe the stock market evolution. We compare the probability function (PF) of these escape times…
Many complex systems exhibit extreme events far more often than expected for a normal distribution. This work examines how self-similar bursts of activity across several orders of magnitude can emerge from first principles in systems that…
We study the diffusion of shocks in the global financial cycle and global liquidity conditions to emerging and developing economies. We show that the classification according to their external trade patterns (as commodities' net exporters…
Economic shocks due to Covid-19 were exceptional in their severity, suddenness and heterogeneity across industries. To study the upstream and downstream propagation of these industry-specific demand and supply shocks, we build a dynamic…
Having reliable estimates of the occurrence rates of extreme events is highly important for insurance companies, government agencies and the general public. The rarity of an extreme event is typically expressed through its return period,…
Do firm dynamics matter for the transmission of monetary policy? Empirically, the startup rate declines following a monetary contraction, while the exit rate increases, both of which reduce aggregate employment. I present a model that…
We present a limits-to-arbitrage model to study the impact of securitization, leverage and credit risk protection on the cyclicity of bank credit. In a stable bank credit situation, no cycles of credit expansion or contraction appear.…
We discovered that past changes in the market correlation structure are significantly related with future changes in the market volatility. By using correlation-based information filtering networks we device a new tool for forecasting the…
We devise a Monte Carlo based method for detecting whether a non-negative Markov chain is stable for a given set of parameter values. More precisely, for a given subset of the parameter space, we develop an algorithm that is capable of…
Adverse economic shocks are known to reshape voter behavior -- the demand side of politics. Much less is known about their consequences for the supply side: how such shocks affect who becomes a politician. This paper examines how job losses…
A theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimised. This is predicated by forecasting the future cash flows of a loan portfolio up to the contractual…