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This paper develops a model of reference-dependent assessment of subjective beliefs in which loss-averse people optimally choose the expectation as the reference point to balance the current felicity from the optimistic anticipation and the…
Our knowledge about the evolution of guarantee network in downturn period is limited due to the lack of comprehensive data of the whole credit system. Here we analyze the dynamic Chinese guarantee network constructed from a comprehensive…
Accurately modeling human decision-making in security is critical to thinking about when, why, and how to recommend that users adopt certain secure behaviors. In this work, we conduct behavioral economics experiments to model the…
I analyze the risk-coping strategies of factory-worker households in early twentieth-century Tokyo. I digitized a unique daily longitudinal household budget survey conducted in Tsukishima, a representative manufacturing area, to examine how…
How does the monetary and fiscal policy mix alter households' saving incentives? To answer these questions, we build a heterogenous agents New Keynesian model where three different types of agents can save in assets with different liquidity…
Under-coverage and nonresponse problems are jointly present in most socio-economic surveys. The purpose of this paper is to propose a completely design-based estimation strategy that accounts for both problems without resorting to models…
Lacking lifetime income data, most intergenerational mobility estimates are subject to lifecycle bias. Using long income series from Sweden and the US, we illustrate that standard correction methods struggle to account for one important…
This paper presents and derives the interrelations between survival analysis and master equation. Survival analysis deals with modeling the transitions between succeeding states of a system in terms of hazard rates. Questions related with…
More than half a century has passed since the Great Chinese Famine (1959-1961), and China has transformed from a poor, underdeveloped country to the world's leading emerging economy. Does the effect of the famine persist today? To explore…
Optimal reinsurance when Value at Risk and expected surplus is balanced through their ratio is studied, and it is demonstrated how results for risk-adjusted surplus can be utilized. Simplifications for large portfolios are derived, and this…
In this paper, we consider a risk process with deterministic growth and multiplicative jumps to model the capital of a low-income household. Reflecting the high-risk nature of the low-income environment, capital losses are assumed to be…
With negative growth in real production in many countries and debt levels which become an increasing burden on developed societies, the calls for a change in economic policy and even the monetary system become louder and increasingly…
Humans have developed considerable machinery used at scale to create policies and to distribute incentives, yet we are forever seeking ways in which to improve upon these, our institutions. Especially when funding is limited, it is…
We tackle the problem of pricing Chinese convertible bonds(CCBs) using Monte Carlo simulation and dynamic programming. At each exercise time, we use the state variables of the underlying stock to regress the continuation value, and apply…
Procyclicality of historical risk measure estimation means that one tends to over-estimate future risk when present realized volatility is high and vice versa under-estimate future risk when the realized volatility is low. Out of it…
This paper examines the association between household healthcare expenses and participation in the Supplemental Nutrition Assistance Program (SNAP) when moderated by factors associated with financial stability of households. Using a large…
No matter its source, financial- or policy-related, uncertainty can feed onto itself, inflicting the real economic sector, altering expectations and behaviours, and leading to identification challenges in empirical applications. The strong…
This paper characterizes the equilibrium in a continuous time financial market populated by heterogeneous agents who differ in their rate of relative risk aversion and face convex portfolio constraints. The model is studied in an…
The stability analysis of socioeconomic systems has been centered on answering whether small perturbations when a system is in a given quantitative state will push the system permanently to a different quantitative state. However, typically…
In economic applications, model averaging has found principal use examining the validity of various theories related to observed heterogeneity in outcomes such as growth, development, and trade.Though often easy to articulate, these…