Related papers: Multiple Structural Breaks in Interactive Effects …
We propose a semi-structured discrete-time multi-state model to analyse mortgage delinquency transitions. This model combines an easy-to-understand structured additive predictor, which includes linear effects and smooth functions of time…
This paper studies the response of stock markets relative to the banking sector to innovation by using a panel of 75 countries from 1982 to 2021. We find that innovation increases the activity, efficiency and size of stock markets relative…
Synthetic augmentation is increasingly used to mitigate data scarcity in financial machine learning, yet its statistical role remains poorly understood. We formalize synthetic augmentation as a modification of the effective training…
Structural break identification methods are an important tool for evaluating the effectiveness of climate change mitigation policies. In this paper, we introduce a unified probabilistic framework for detecting structural breaks with unknown…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
Instrumental variables (IVs) are a popular and powerful tool for estimating causal effects in the presence of unobserved confounding. However, classical approaches rely on strong assumptions such as the $\textit{exclusion criterion}$, which…
We present an interactive probing tool to create, modify and analyze what-if scenarios for multivariate time series models. The solution is applied to freight trading, where analysts can carry out sensitivity analysis on freight rates by…
A structural Gaussian mixture vector autoregressive model is introduced. The shocks are identified by combining simultaneous diagonalization of the reduced form error covariance matrices with constraints on the time-varying impact matrix.…
Recent studies highlight economic complexity's role in mitigating fiscal crises, often measured via an economy's trade structure. Trade, however, is just one facet of an economy's structure and omits critical innovative activities like…
This paper proposes a structural multivariate unobserved components model with external instrument (SMUC-IV) to investigate the effects of monetary policy shocks on key U.S. macroeconomic "stars"-namely, the level of potential output, the…
In this paper, we employ Credit Default Swaps (CDS) to model the joint and conditional distress probabilities of banks in Europe and the U.S. using factor copulas. We propose multi-factor, structured factor, and factor-vine models where the…
Drawing on recent contributions inferring financial interconnectedness from market data, our paper provides new insights on the evolution of the US financial industry over a long period of time by using several tools coming from network…
In economic program evaluation, it is common to obtain panel data in which outcomes are indicators that an individual has reached an absorbing state. For example, they may indicate whether an individual has exited a period of unemployment,…
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…
This paper analyzes the bank lending channel and the heterogeneous effects on the euro area, providing evidence that the channel is indeed working. The analysis of the transmission mechanism is based on structural impulse responses to an…
Accurate estimation for extent of cross{sectional dependence in large panel data analysis is paramount to further statistical analysis on the data under study. Grouping more data with weak relations (cross{sectional dependence) together…
Empirical growth analysis has three major problems --- variable selection, parameter heterogeneity and cross-sectional dependence --- which are addressed independently from each other in most studies. The purpose of this study is to propose…
This paper examines whether repeated payday loan use, commonly known as the debt trap, harms borrowers' financial wellbeing. Using Open Banking data from 1,815 UK borrowers observed between 2017 and 2018, we model borrowing intensity using…
We study the effects of financial shocks on the United States economy by using a Bayesian structural vector autoregressive (SVAR) model that exploits the non-normalities in the data. We use this method to uniquely identify the model and…
In this paper we introduce a novel approach for an important problem of break detection. Specifically, we are interested in detection of an abrupt change in the covariance structure of a high-dimensional random process -- a problem, which…