Related papers: Momentum Informed Inflation-at-Risk
Inflation generally assumes a field with nonzero potential that leads to inflationary expansion happening at arbitrarily early times. We demonstrate potentially observable consequences of inflation with a finite initial time in a model in…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the…
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…
Markets have internal dynamics leading to excess volatility and other phenomena that are difficult to explain using rational expectations models. This paper studies these using a nonequilibrium price formation rule, developed in the context…
The problem of causal inference is to determine if a given probability distribution on observed variables is compatible with some causal structure. The difficult case is when the causal structure includes latent variables. We here introduce…
An extension of the nonlinear feedback (NLF) formalism to describe regimes of hyper- and high-inflation in economy is proposed in the present work. In the NLF model the consumer price index (CPI) exhibits a finite time singularity of the…
Keen's model describes the dynamics between wage share, employment rate and debt ratio. In literature, the model was extended to represent the effects of inflation and also the speculative money flow. Based on the inflationary model, we…
We note that the essential idea of inflation, that the universe underwent a brief period of accelerated expansion followed by a long period of decelerated expansion, can be encapsulated in a "closure condition" which relates the amount of…
The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…
We present a review on the state-of-the-art of the mathematical framework known as stochastic inflation, paying special attention to its derivation and giving references for the readers interested on results coming from the application of…
Risk measures for multivariate financial positions are studied in a utility-based framework. Under a certain incomplete preference relation, shortfall and divergence risk measures are defined as the optimal values of specific set…
I discuss the current status of inflationary cosmology in light of the recent WMAP 3-year data release. The basic predictions of inflation are all supported by the data. Inflation also makes predictions which have not been well tested by…
We study various probability measures for eternal inflation by applying their regularization prescriptions to models where inflation is not eternal. For simplicity we work with a toy model describing inflation that can interpolate between…
Value at risk (VaR) and expected shortfall (ES) are common high quantile-based risk measures adopted in financial regulations and risk management. In this paper, we propose a tail risk measure based on the most probable maximum size of risk…
This paper develops a dynamic factor model in which common level and volatility factors evolve jointly, allowing conditional means and variances to interact endogenously within a large-information setting. The joint evolution of these…
In this paper we show that the dynamics associated with slow-roll models of inflation can be investigated through a method called deformation procedure. Using the latter, we explicitly derive an expression linking two slow-roll inflationary…
We define data-driven macroeconomic regimes by clustering the relative performance in time of indices belonging to different asset classes. We then investigate lead-lag relationships within the regimes identified. Our study unravels market…
Inflation is an early period of accelerated cosmic expansion, thought to be sourced by high energy physics. A key task today is to use the influx of increasingly precise observational data to constrain the plethora of inflationary models…
Reliable calculations of financial risk require that the fat-tailed nature of prices changes is included in risk measures. To this end, a non-Gaussian approach to financial risk management is presented, modeling the power-law tails of the…
Over the past decade, the stellar growth of Indian economy has been challenged by persistently high levels of inflation, particularly in food prices. The primary reason behind this stubborn food inflation is mismatch in supply-demand, as…