Related papers: Crises Do Not Cause Lower Short-Term Growth
An important issue within the present economic crisis is understanding the dynamics of the public debt of a given country, and how the behavior of average consumers and tax payers in that country affects it. Starting from a model of the…
Financial event studies, ubiquitous in finance research, typically use linear factor models with known factors to estimate abnormal returns and identify causal effects of information events. This paper demonstrates that when factor models…
Economic and financial crises are characterised by unusually large events. These tail events co-move because of linear and/or nonlinear dependencies. We introduce TailCoR, a metric that combines (and disentangles) these linear and…
The article discusses a generalization of model of economic growth with constant pace, which takes into account the effects of dynamic memory. Memory means that endogenous or exogenous variable at a given time depends not only on their…
Undulation of infection levels, usually called waves, are not well understood. In this paper we propose a mathematical model that exhibits undulation and decay towards a stable state. The model is a re-interpretation of the original…
The increasing multiplicity of data sources offers exciting possibilities in estimating the effects of a treatment, intervention, or exposure, particularly if observational and experimental sources could be used simultaneously. Borrowing…
A nonlinear regression framework is proposed for time series and panel data for the situation where certain explanatory variables are available at a higher temporal resolution than the dependent variable. The main idea is to use the moments…
We identify the structural impulse responses of quantiles of the outcome variable to a shock. Our estimation strategy explicitly distinguishes treatment from control variables, allowing us to model responses of unconditional quantiles while…
Large-scale power failures are induced by nearly all natural disasters from hurricanes to wild fires. A fundamental problem is whether and how recovery guided by government policies is able to meet the challenge of a wide range of…
I argue that regularizing terms in standard regression methods not only help against overfitting finite data, but sometimes also yield better causal models in the infinite sample regime. I first consider a multi-dimensional variable…
By scientific standards, the accuracy of short-term economic forecasts has been poor, and shows no sign of improving over time. We form a delay matrix of time-series data on the overall rate of growth of the economy, with lags spanning the…
Value-at-risk is one of the important subjects that extensively used by researchers and practitioners for measuring and managing uncertainty in financial markets. Although value-at-risk is a common risk control instrument, but there are…
I propose a new conceptual framework to disentangle the impacts of weather and climate on economic activity and growth: A stochastic frontier model with climate in the production frontier and weather shocks as a source of inefficiency. I…
This study explores the dynamic relationship between corruption and economic growth through an approach based on a system of stochastic equations. In the context of globalization and economic interdependencies, corruption not only affects…
We introduce a parsimonious multi-sector model of international production and use it to study the impact of a disruption in the production of some goods propagates to other goods and consumers, and how that impact depends on the goods'…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
This paper focuses on the expected difference in borrower's repayment when there is a change in the lender's credit decisions. Classical estimators overlook the confounding effects and hence the estimation error can be magnificent. As such,…
We introduce the logistic model of consumption growth, which captures a negative feedback loop preventing an unlimited growth of consumption due to finite biophysical resources of our planet. This simple dynamic model allows for derivation…
This work is attached to the BRICS 2013 competition. We propose a two-stage model for dealing with the temporal degradation of credit scoring models. This methodology produced motivating results in a 1-year horizon. We anticipate that it…
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…