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In this work, we propose a model to quantify the impact of the climate transition on a property in housing market. We begin by noting that property is an asset in an economy. That economy is organized in sectors, driven by its productivity…
Monthly disaggregated US data from 1978 to 2016 reveals that exposure to news on inflation and monetary policy helps to explain inflation expectations. This remains true when controlling for household personal characteristics, perceptions…
This study focuses on the impact of digital finance on households. While digital finance has brought financial inclusion, it has also increased the risk of households falling into a debt trap. We provide evidence that supports this notion…
Between 1980 and 2000, the U.S. experienced a significant rise in geographic sorting and educational homogamy, with college graduates increasingly concentrating in high-skill cities and marrying similarly educated spouses. We develop and…
Value adjustment of uncollateralized trades is determined within a risk-neutral pricing framework. When hedging such trades, investors cannot freely trade protection on their own name, thus facing an incomplete market. This fact is…
The quotient of random variables with normal distributions is examined and proven to have have power law decay, with density $f\left( x\right) \simeq f_{0}x^{-2}$, with the coefficient depending on the means and variances of the numerator…
With costs and risks increasing for investors and home buyers alike, additional analysis of the housing market is required to help individuals make the right choice. In addition to traditional market analysis, other aspects such as the…
Machine learning algorithms are increasingly employed to price or value homes for sale, properties for rent, rides for hire, and various other goods and services. Machine learning-based prices are typically generated by complex algorithms…
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…
This paper assesses whether the higher capital maintenance drives up banks cost of equity. We investigate the hypothesis using fixed effect panel estimation with the data from a sample of 28 publicly listed commercial banks over the 2013 to…
We consider a general local-stochastic volatility model and an investor with exponential utility. For a European-style contingent claim, whose payoff may depend on either a traded or non-traded asset, we derive an explicit approximation for…
This study examines how interest rate caps affect the demand for payday loans, using aggregate data from British Columbia (2012--2019) during which the province's maximum fee was reduced from $23 to $17 and then to \$15 per $100 borrowed.…
Statistical properties of an order book and the effect they have on price dynamics were studied using the high-frequency NASDAQ Level II data. It was observed that the size distribution of marketable orders (transaction sizes) has power law…
There is a tight connection between credit access and voting. We show that uncertainty in access to credit pushes voters toward more conservative candidates in US elections. Using a 1% sample of the US population with valid credit reports,…
This paper studies a valuation framework for financial contracts subject to reference and counterparty default risks with collateralization requirement. We propose a fixed point approach to analyze the mark-to-market contract value with…
In this paper we analyse financial implications of exchangeability and similar properties of finite dimensional random vectors. We show how these properties are reflected in prices of some basket options in view of the well-known put-call…
While tourism is widely regarded as a catalyst for economic and urban transformation, its effects on land prices remain contested. This study examines tourism and land prices using a panel of 1,724 Japanese municipalities from 2021 to 2024,…
Approximations to utility indifference prices are provided for a contingent claim in the large position size limit. Results are valid for general utility functions on the real line and semi-martingale models. It is shown that as the…
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices…
Price without transaction makes no sense. Trading volume authenticates its corresponding price, so there exist mutual information and correlation between price and trading volume. We are curious about fractal features of this correlation…