Related papers: Uncertainty spill-overs: when policy and financial…
Assessing the contribution of various risk factors to future inflation risks was crucial for guiding monetary policy during the recent high inflation period. However, existing methodologies often provide limited insights by focusing solely…
The interconnected European Electricity Markets see considerable cross-border trade between different countries. In conjunction with the structure and technical characteristics of the power grid and its operating rules, the corresponding…
Knowledge spillovers occur when a firm researches a new technology and that technology is adapted or adopted by another firm, resulting in a social value of the technology that is larger than the initially predicted private value. As a…
Uncertainty, characterised by randomness and stochasticity, is ubiquitous in applications of evolutionary game theory across various fields, including biology, economics and social sciences. The uncertainty may arise from various sources…
There are two reasons why uncertainty may not be adequately described by Probability Theory. The first one is due to unique or nearly-unique events, that either never realized or occurred too seldom for frequencies to be reliably measured.…
Critical points mark locations in the domain where the level-set topology of a scalar function undergoes fundamental changes and thus indicate potentially interesting features in the data. Established methods exist to locate and relate such…
The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…
This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…
Abrupt shifts in ecosystems, brains, markets, and climate are often diagnosed as signs of approaching a tipping point, i.e. a critical bifurcation where stability is lost. Here we reveal a broader and more deceptive mechanism:…
Single index financial market models cannot account for the empirically observed complex interactions between shares in a market. We describe a multi-share financial market model and compare characteristics of the volatility, that is the…
To achieve ambitious greenhouse gas emission reduction targets in time, the planning of future energy systems needs to accommodate societal preferences, e.g. low levels of acceptance for transmission expansion or onshore wind turbines, and…
This paper explores whether unconventional monetary policy operations have redistributive effects on household wealth. Drawing on household balance sheet data from the Wealth and Asset Survey, we construct monthly time series indicators on…
In a globalised world, inflation in a given country may be becoming less responsive to domestic economic activity, while being increasingly determined by international conditions. Consequently, understanding the international sources of…
Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them…
In this work we show that prediction uncertainty estimates gleaned from deep learning models can be useful inputs for influencing the relative allocation of risk capital across trades. In this way, consideration of uncertainty is important…
Human social dilemmas are often shaped by actions involving uncertain goals and returns that may only be achieved in the future. Climate action, voluntary vaccination and other prospective choices stand as paramount examples of this…
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,…
This paper investigates how the granularity of supply-chain data affects the propagation of economic shocks through production networks. Using newly constructed establishment-level supply chains with product-level information links for…
In recent years, there has been growing interest in studying games on multiplex networks that account for interactions across linked social contexts. However, little is known about how potential cross-context interference, or spillover, of…
Economists often estimate economic models on data and use the point estimates as a stand-in for the truth when studying the model's implications for optimal decision-making. This practice ignores model ambiguity, exposes the decision…