Related papers: Inflation Dynamics of Financial Shocks
As the dynamic structure of the financial markets is subject to dramatic changes, a model capable of providing consistently accurate volatility estimates must not make strong assumptions on how prices change over time. Most volatility…
The paper studies different regression approaches for modeling COVID-19 spread and its impact on the stock market. The logistic curve model was used with Bayesian regression for predictive analytics of the coronavirus spread. The impact of…
News media coverage of monetary policy is not a passive transcript of central-bank communication: it filters announcements, macroeconomic news, and editorial choices into narratives that move expectations and policy decisions. We embed…
The increasing integration of world economies, which organize in complex multilayer networks of interactions, is one of the critical factors for the global propagation of economic crises. We adopt the network science approach to quantify…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence…
Vector autoregressions (VARs) with multivariate stochastic volatility are widely used for structural analysis. Often the structural model identified through economically meaningful restrictions--e.g., sign restrictions--is supposed to be…
We review and illustrate how the volatility smile translates into a probability distribution, the market-implied probability distribution representing believes priced in. The effects of changes in the smile are examined. Special attention…
This paper examines the effects of U.S. presidential election cycles on sectoral stock markets. Using a high-frequency identification approach, I construct a novel "election shock'' series, which captures exogenous surprises in election…
Financial contagion has been widely recognized as a fundamental risk to the financial system. Particularly potent is price-mediated contagion, wherein forced liquidations by firms depress asset prices and propagate financial stress,…
This paper enhances the classical Solow model of economic growth by integrating L\'evy noise, a type of non-Gaussian stochastic perturbation, to capture the inherent uncertainties in economic systems. The extended model examines the impact…
A novel spatiotemporal framework using diverse econometric approaches is proposed in this research to analyze relationships among eight economy-wide variables in varying market conditions. Employing Vector Autoregression (VAR) and Granger…
Assessing the resilience of the economy requires accounting for its intrinsic multi-layer nature, by assessing for instance how disruptions at the firm level spread through the production network and propagate to the banking sector. Methods…
We study macroeconomic fluctuations in the United Kingdom over seven centuries (1271--2022) using a time-varying VAR with stochastic volatility. We identify business cycle shocks as innovations explaining the largest share of future output…
Vector autogressions (VARs) are widely applied when it comes to modeling and forecasting macroeconomic variables. In high dimensions, however, they are prone to overfitting. Bayesian methods, more concretely shrinkage priors, have shown to…
We develop a variational Bayes approach for dynamic variable selection in high-dimensional regression models with time-varying parameters and predictors that exhibit a predefined group structure. Through comprehensive simulation studies, we…
The objective of this paper is to find the existence of a relationship between stock market prices and the fundamental macroeconomic indicators. We build a Vector Auto Regression (VAR) model comprising of nine major macroeconomic indicators…
There are hidden observables for inflation, such as features localized in position space, which do not manifest themselves when only one inflation trajectory is considered. To address this issue, we investigate inflation dynamics in a…
We study the effects of introducing information inefficiency in a model for a random linear economy with a representative consumer. This is done by considering statistical, instead of classical, economic general equilibria. Employing two…
We extend the formalism of stochastic inflation to the setup of non-attractor inflation with a sound speed $c_s$. We obtain the Langevin equations for the superhorizon perturbations and calculate the stochastic corrections to curvature…