Related papers: Mixing it up: Inflation at risk
Behavior of systems that are functions of anticipated behavior of other systems, whose own behavior is also anticipatory but homeostatic and determined by hierarchical ordering, which changes over time, of sets of possible environments that…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
Numerous kinds of uncertainties may affect an economy, e.g. economic, political, and environmental ones. We model the aggregate impact by the uncertainties on an economy and its associated financial market by randomised mixtures of L\'evy…
I devise a novel approach to evaluate the effectiveness of fiscal policy in the short run with multi-category treatment effects and inverse probability weighting based on the potential outcome framework. This study's main contribution to…
We present a simple method for predicting the distribution of output growth and inflation in the G7 economies. The method is based on point forecasts published by the International Monetary Fund (IMF), as well as robust statistics from the…
We characterize optimal monetary policy when policy endogenously moves risk premia through redistribution across agents who differ in their willingness to bear risk. The analytical core is Marginal Risk Capacity, the covariance of monetary…
We revisit the inflection point inflation with an extended discussion to large field values and consider the reheating effects on the inflationary predictions. Parametrizing the reheating dynamics in terms of the reheating temperature and…
Monthly and weekly economic indicators are often taken to be the largest common factor estimated from high and low frequency data, either separately or jointly. To incorporate mixed frequency information without directly modeling them, we…
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…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
This article reviews the economics literature of, primarily, the last 20 years, that studies the link between income shocks and consumption fluctuations at the household level. We identify three broad approaches through which researchers…
We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
This paper introduces the concept of a global financial market for environmental indices, addressing sustainability concerns and aiming to attract institutional investors. Risk mitigation measures are implemented to manage inherent risks…
This study explored how advanced budgeting techniques and economic indicators influence funding levels and strategic alignment in California Community Colleges (CCCs). Despite widespread implementation of budgeting reforms, many CCCs…
Systemic risk measures have been shown to be predictive of financial crises and declines in real activity. Thus, forecasting them is of major importance in finance and economics. In this paper, we propose a new forecasting method for…
Accurate demand forecasting in the retail industry is a critical determinant of financial performance and supply chain efficiency. As global markets become increasingly interconnected, businesses are turning towards advanced prediction…
The mainstream media has much leeway in what it chooses to cover and how it covers it. These choices have real-world consequences on what people know and their subsequent behaviors. However, the lack of objective measures to evaluate…
This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of…
Forecasting inflation in small open economies is difficult because limited time series and strong external exposures create an imbalance between few observations and many potential predictors. We study this challenge using Thailand as a…