Related papers: Momentum Informed Inflation-at-Risk
We explore the paradigm according to which inflation is driven by a four-dimensional strongly coupled dynamics coupled non-minimally to gravity. We start by introducing the general setup, both in the metric and Palatini formulation, for…
We study a monetary version of the Keen model by merging two alternative extensions, namely the addition of a dynamic price level and the introduction of speculation. We recall and study old and new equilibria, together with their local…
It is commonly believed that our Universe has experienced two different stages of accelerated expansion. The early stage is known as inflation and the current acceleration is driven by dark energy. Observing inflation and dark energy…
Inflation is a major determinant for allocation decisions and its forecast is a fundamental aim of governments and central banks. However, forecasting inflation is not a trivial task, as its prediction relies on low frequency, highly…
The presence of multiple fields during inflation might seed a detectable amount of non-Gaussianity in the curvature perturbations, which in turn becomes observable in present data sets like the cosmic microwave background (CMB) or the large…
Financial market volatility is a crucial factor for investment planning, option pricing, and financial market regulation, and technology is widely recognized as a key driver of economic growth. In this project, we investigate the…
We identify the structural impulse responses of quantiles of the outcome variable to a shock. Our estimation strategy explicitly distinguishes treatment from control variables, allowing us to model responses of unconditional quantiles while…
The slow-roll approximation is the usual starting point to study the constraints imposed on the inflaton potential parameters by the observational data. We show that, for a potential exhibiting at least two extrema and giving rise to a…
Model uncertainty has been one prominent issue both in the theory of risk measures and in practice such as financial risk management and regulation. Motivated by this observation, in this paper, we take a new perspective to describe the…
It has become standard practice to take the logarithmic growth of the scale factor as a measure of the amount of inflation, despite the well-known fact that this is only an approximation for the true amount of inflation required to solve…
Systemic risk in banking systems remains a crucial issue that it has not been completely understood. In our toy model, banks are exposed to two sources of risks, namely, market risk from their investments in assets external to the banking…
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…
The previously proposed class of phenomenological inflationary models in which the assumption of inflaton slow-roll is replaced by the more general, constant-roll condition is compared with the most recent cosmological observational data,…
This paper investigates the impact of distributional uncertainty on key risk measures under the partial knowledge of underlying distributions characterized by their first two moments and shape information (specifically symmetry and/or…
The expansion rate of `Intermediate inflation' lies between the exponential and power law expansion but corresponding accelerated expansion does not start at the onset of cosmological evolution. Present study of `Intermediate inflation'…
We consider an intermediate Dirac-Born-Infeld (DBI) inflationary model in the presence of a minimal measurable length in the theory. We show that, the presence of a minimal measurable length modifies the definitions of the scalar and tensor…
We consider an inflationary scenario where the rate of inflaton roll defined by $\ddot\phi/H\dot \phi$ remains constant. The rate of roll is small for slow-roll inflation, while a generic rate of roll leads to the interesting case of…
Copulas. We study the model risk of multivariate risk models in a comprehensive empirical study on Copula-GARCH models used for forecasting Value-at-Risk and Expected Shortfall. To determine whether model risk inherent in the forecasting of…
In this paper, we assess whether using non-linear dimension reduction techniques pays off for forecasting inflation in real-time. Several recent methods from the machine learning literature are adopted to map a large dimensional dataset…
Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme…