Related papers: Multiple Structural Breaks in Interactive Effects …
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, including stock market volatility. In order to evaluate such…
The accuracy and understandability of bank failure prediction models are crucial. While interpretable models like logistic regression are favored for their explainability, complex models such as random forest, support vector machines, and…
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
We investigate how crises alter societies by analyzing the timing and channels of change using a longitudinal multi-wave survey of a representative sample of Americans throughout 2020. This methodology allows us to overcome some of the…
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank…
Recent tools for interactive data exploration significantly increase the chance that users make false discoveries. The crux is that these tools implicitly allow the user to test a large body of different hypotheses with just a few clicks…
Vessels navigating in confined waters are subject to banking effects, which are hydrodynamic forces and moments arising from pressure differentials between the vessel sides, significantly affecting manoeuvrability and safety. Existing…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
In this paper, we assess how the stability of financial networks is affected by interconnectedness considering its tiniest variation: the edge. We compute the impact of edges as the percentage difference in the systemic risk (SR) of the…
This Appendix (dated: July 2021) includes supplementary derivations related to the main limit results of the econometric framework for structural break testing in predictive regression models based on the OLS-Wald and IVX-Wald test…
This paper introduces a new approach for estimating core inflation indicators based on common factors across a broad range of price indices. Specifically, by utilizing procedures for detecting multiple regimes in high-dimensional factor…
Following a long tradition of physicists who have noticed that the Ising model provides a general background to build realistic models of social interactions, we study a model of financial price dynamics resulting from the collective…
We propose a novel Bayesian heteroskedastic Markov-switching structural vector autoregression with data-driven time-varying identification. The model selects among alternative patterns of exclusion restrictions to identify structural shocks…
We propose a novel method to detect and date structural breaks in the entire distribution of functional data. Theoretical guarantees are developed for our procedure under fewer assumptions than in the existing work. In particular, we…
In this work the system of agents is applied to establish a model of the nonlinear distributed signal processing. The evolution of the system of the agents - by the prediction time scale diversified trend followers, has been studied for the…
This paper studies the effect of quarterly earnings reports on the stock price. The profitability of the stock is modelled by geometric Brownian diffusion and the Constant Elasticity of Variance model. We fit several variations of…
Propelled by the recent financial product innovations involving derivatives, securitization and mortgages, commercial banks are becoming more complex, branching out into many "nontraditional" banking operations beyond issuance of loans.…
The presence of units with extreme values in the dependent and/or independent variables (i.e., vertical outliers, leveraged data) has the potential to severely bias regression coefficients and/or standard errors. This is common with short…
An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further…
Electronic devices exhibit changes in electrical resistance over time at varying rates, depending on the configuration of certain components. Since measuring overall electrical resistance requires partial disassembly, only a limited number…