Related papers: Assessing the Effects of Monetary Shocks on Macroe…
We study settings in which a researcher has an instrumental variable (IV) and seeks to evaluate the effects of a counterfactual policy that alters treatment assignment, such as a directive encouraging randomly assigned judges to release…
Nonlinear causal effects are prevalent in many research scenarios involving continuous exposures, and instrumental variables (IVs) can be employed to investigate such effects, particularly in the presence of unmeasured confounders. However,…
This paper studies the transmission of US monetary policy shocks into Emerging Markets emphasizing the role of investment and financial heterogeneity. First, we use a panel SVAR model to show that a US interest tightening leads to a…
This study examines the effects of Trump-era tariffs on financial market efficiency by applying multifractal detrended fluctuation analysis to the return and absolute return time series of six major financial assets: the S\&P 500, SSEC,…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
In many practical applications, evaluating the joint impact of combinations of environmental variables is important for risk management and structural design analysis. When such variables are considered simultaneously, non-stationarity can…
The study of systemic risk is often presented through the analysis of several measures referring to quantities used by practitioners and policy makers. Almost invariably, those measures evaluate the size of the impact that exogenous events…
This paper develops a robust and efficient method for policy learning from observational data in the presence of unobserved confounding, complementing existing instrumental variable (IV) based approaches. We employ the marginal sensitivity…
The importance of unspanned macroeconomic variables for Dynamic Term Structure Models has been intensively discussed in the literature. To our best knowledge the earlier studies considered only linear interactions between the economy and…
This paper studies the unconditional effects of a general policy intervention, which includes location-scale shifts and simultaneous shifts as special cases. The location-scale shift is intended to study a counterfactual policy aimed at…
Economists often estimate causal effects of policies on multiple outcomes and summarize them into scalar measures of cost-effectiveness or welfare, such as the Marginal Value of Public Funds (MVPF). In many settings, microdata underlying…
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…
Non-stationarity affects the sensitivity of change detection in correlated systems described by sets of measurable variables. We study this by projecting onto different principal components. Non-stationarity is modeled as multiple normal…
We propose a flexible stochastic framework for modeling the market share dynamics over time in a multiple markets setting, where firms interact within and between markets. Firms undergo stochastic idiosyncratic shocks, which contract their…
Stock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) models neglect structural breaks triggered by…
Unobserved heterogeneous treatment effects have been emphasized in recent policy evaluation literature. In this paper, we extend Lu and White (2014)'s testing method for unobserved heterogeneous treatment effects by developing nonparametric…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
Stress testing poses a causal question: how would portfolio credit losses change if the macroeconomy followed an adverse counterfactual path? Yet standard practice remains predictive and might be therefore vulnerable to omitted-variable…
We consider continuous-time models with a large panel of moment conditions, where the structural parameter depends on a set of characteristics, whose effects are of interest. The leading example is the linear factor model in financial…
The economic shocks that followed the COVID-19 pandemic have brought to light the difficulty, both for academics and policy makers, of describing and predicting the dynamics of inflation. This paper offers an alternative modelling approach.…