Related papers: Momentum Informed Inflation-at-Risk
The main objective of this paper is to fill a critical gap in the literature by analyzing the effects of decentralization on the macroeconomic stability. A survey of the voluminous literature on decentralization suggests that the question…
An innovative method is proposed to construct a quantile dependence system for inflation and money growth. By considering all quantiles and leveraging a novel notion of quantile sensitivity, the method allows the assessment of changes in…
We study a class of heterogeneous agent-based models which are based on a basic set of principles, and the most fundamental operations of an economic system: trade and product transformations. A basic guiding principle is scale invariance,…
Chromo-Natural Inflation is the first worked example of a model of inflation in which slow-roll inflation is achieved by "magnetic drift" as opposed to Hubble friction. In this work, we give an account of the perturbations at linear order…
In this work we generalize a previously developed semiclassical approach to inflation, devoted to the analysis of the effective dynamics of coarse-grained fields, which are essential to the stochastic approach to inflation. We consider…
This paper introduces the multivariate tail-inflated normal (MTIN) distribution, an elliptical heavy-tails generalization of the multivariate normal (MN). The MTIN belongs to the family of MN scale mixtures by choosing a convenient…
In the context of gauge theories, observable quantities, if properly defined and computed, do not depend on the gauge-fixing procedure. In this paper, we develop a formalism that implements this (apparent) tautology in the case of…
In the present paper, certain inflation models are shown to have large non-Gaussianity in special cases. Namely, finite length inflation models with an effective higher derivative interaction, in which slow-roll inflation is adopted as…
We consider the running of the spectral index as a probe of both inflation itself, and of the overall evolution of the very early universe. Surveying a collection of simple single field inflationary models, we confirm that the magnitude of…
This paper surveys the empirical literature of inflation targeting. The main findings from our review are the following: there is robust empirical evidence that larger and more developed countries are more likely to adopt the IT regime; the…
Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…
We consider a model of inflation consisting a single fluid with a time-dependent equation of state. In this phenomenological picture, two periods of inflation are separated by an intermediate non-inflationary stage which can be either a…
This paper investigates how dispersion in banks' subjective inflation forecasts is a channel of the transmission of monetary policy to credit supply. We extend the Monti-Klein model of monopolistic banking by incorporating risk aversion,…
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at-Risk being prime examples. They are induced by law-based…
We obtain models of chaotic, slow--roll, hybrid and D--term inflation from the Hanany--Witten brane configuration and its deformations. The deformations are given by the different orientations of the branes and control the parameters of the…
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…
With present and future observations becoming of higher and higher quality, it is timely and necessary to investigate the most significant theoretical uncertainties in the predictions of inflation. We show that our ignorance of the entire…
We study inflationary scenarios driven by a scalar field in the presence of a non-minimal coupling between matter and curvature. We show that the Friedmann equation can be significantly modified when the energy density during inflation…
Implementing a set of microeconomic criteria, we develop price dynamics equations using a function of demand/supply with key symmetry properties. The function of demand/supply can be linear or nonlinear. The type of function determines the…
This paper proposes methods for Bayesian inference in time-varying parameter (TVP) quantile regression (QR) models featuring conditional heteroskedasticity. I use data augmentation schemes to render the model conditionally Gaussian and…