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Rational pure bubble models feature multiple (and often a continuum of) equilibria, which makes model predictions and policy analyses non-robust. We show that when the interest rate in the fundamental equilibrium is below the economic…

This paper consider a highly general dissemination model that keeps track of the stochastic evolution of the distribution of wealth over a set of agents. There are two types of events: (i) units of wealth externally arrive, and (ii) units…

The rapid expansion of cross-border e-commerce (CBEC) has created significant opportunities for small- and medium-sized sellers, yet financing remains a critical challenge due to their limited credit histories. Third-party logistics…

How does the monetary and fiscal policy mix alter households' saving incentives? To answer these questions, we build a heterogenous agents New Keynesian model where three different types of agents can save in assets with different liquidity…

Monetary inflation is a sustained increase in the money supply than can result in price inflation, which is a rise in the general level of prices of goods and services. The objectives of this paper were to develop economic models to (1)…

A policy in deep reinforcement learning (RL), either deterministic or stochastic, is commonly parameterized as a Gaussian distribution alone, limiting the learned behavior to be unimodal. However, the nature of many practical…

In the highly competitive environment of the banking industry, it is essential to precisely forecast the behavior of customers in order to maximize the effectiveness of marketing initiatives and improve financial consequences. The purpose…

Learning discrete distributions from i.i.d. samples is a well-understood problem. However, advances in generative machine learning prompt an interesting new, non-i.i.d. setting: after receiving a certain number of samples, an estimated…

This study explores the interdependent relationship between consumer credit and consumer confidence in the United States using monthly data from January 1978 to August 2024. Utilizing a Vector Error Correction Model (VECM), the analysis…

This article presents a new model for demographic simulation which can be used to forecast and estimate the number of people in pension funds (contributors and retirees) as well as workers in a public institution. Furthermore, the model…

Simulation methods have always been instrumental in finance, and data-driven methods with minimal model specification, commonly referred to as generative models, have attracted increasing attention, especially after the success of deep…

The increasing use of generative models such as diffusion models for synthetic data augmentation has greatly reduced the cost of data collection and labeling in downstream perception tasks. However, this new data source paradigm may…

This paper develops a new model of business cycles. The model is economical in that it is solved with an aggregate demand-aggregate supply diagram, and the effects of shocks and policies are obtained by comparative statics. The model builds…

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…

We investigate the tendency for financial instruments to form clusters when there are multiple factors influencing the correlation structure. Specifically, we consider a stock portfolio which contains companies from different industrial…

Generative models trained with Differential Privacy (DP) can produce synthetic data while reducing privacy risks. However, navigating their privacy-utility tradeoffs makes finding the best models for specific settings/tasks challenging.…

This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the…

Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…

In this paper we propose a mechanistic model that links micro social interactions to macro observables in the case of diffusion of film-going decisions. We devise a generalized epidemic model to capture the temporal evolution of box office…

Propelled by the recent financial product innovations involving derivatives, securitization and mortgages, commercial banks are becoming more complex, branching out into many "nontraditional" banking operations beyond issuance of loans.…