Related papers: Borrowing Constraints in Emerging Markets
Throughout history, many countries have repeatedly experienced large swings in asset prices, which are usually accompanied by large fluctuations in macroeconomic activity. One of the characteristics of the period before major economic…
The European debt purchase market as measured by the total book value of purchased debt approached 25bn euros in 2020 and it was growing at double-digit rates. This is an example of how big the debt collection and debt purchase industry has…
This study investigates whether international equity markets systematically price global macroeconomic risks. The empirical analysis is conducted using monthly excess returns for ten G20 countries over the period 2000-2024. A Dynamic Factor…
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expectations class of risk measures, we show…
Despite accounting for 96.1% of all businesses in Malaysia, access to financing remains one of the most persistent challenges faced by Micro, Small, and Medium Enterprises (MSMEs). Newly established businesses are often excluded from formal…
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…
The paper discusses the role of monetary policy when potential output depends on the inflation rate. If the intention of the central bank is to maximize actual output growth, then it has to be credibly committed to a strict inflation…
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…
This study explores the role of big data adoption and financial market development in driving ESG investments in developing countries, using an instrumental variable (IV) approach to address endogeneity. The results show that big data…
For dynamic borrowing to leverage external data to augment the control arm of small RCTs, the key step is determining the amount of borrowing based on the similarity of the outcomes in the controls from the trial and the external data…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that…
Economic complexity reflects the amount of knowledge that is embedded in the productive structure of an economy. It resides on the premise of hidden capabilities - fundamental endowments underlying the productive structure. In general,…
In the area of credit risk analytics, current Bankruptcy Prediction Models (BPMs) struggle with (a) the availability of comprehensive and real-world data sets and (b) the presence of extreme class imbalance in the data (i.e., very few…
This article develops the theory of risk budgeting portfolios, when we would like to impose weight constraints. It appears that the mathematical problem is more complex than the traditional risk budgeting problem. The formulation of the…
Financial speculators often seek to increase their potential gains with leverage. Debt is a popular form of leverage, and with over 39.88B USD of total value locked (TVL), the Decentralized Finance (DeFi) lending markets are thriving.…
We determine the optimal investment strategy of an individual who targets a given rate of consumption and who seeks to minimize the probability of going bankrupt before she dies, also known as {\it lifetime ruin}. We impose two types of…
In this study, we propose a novel approach of nowcasting and forecasting the macroeconomic status of a country using deep learning techniques. We focus particularly on the US economy but the methodology can be applied also to other…
This paper investigates how institutional rigidities shape inflation persistence in transition economies, focusing on labor market institutions and exchange rate regimes. Using a large panel of transition countries over the period…
The increasing usage of new data sources and machine learning (ML) technology in credit modeling raises concerns with regards to potentially unfair decision-making that rely on protected characteristics (e.g., race, sex, age) or other…
The process of European integration resulted in a marked increase in transnational economic flows, yet regional inequalities along many developmental indicators remain. We analyze the unevenness of European economies with respect to the…