相关论文: 2000-2003 Real Estate Bubble in the UK but not in …

The US housing market exhibits pronounced seasonal cycles: prices and sales rise through spring, peak in summer, and decline through autumn and winter. Since 2021, this pattern has shifted earlier in the calendar year, with spring…

This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexity-entropy causality…

We investigate the relationships of the VIX with US and BRIC markets. In detail, we pick up the analysis from the point left off by (Sarwar, 2012), and we focus on the period: Jan 2007 - Feb 2018, thus capturing the relations before, during…

This paper presents empirical evidence using recently developed techniques in econophysics suggesting that the degree of long-range dependence in interest rates depends on the conduct of monetary policy. We study the term structure of…

We consider a banking network represented by a system of stochastic differential equations coupled by their drift. We assume a core-periphery structure, and that the banks in the core hold a bubbly asset. The banks in the periphery have not…

We calculated the cross correlations between the half-hourly times series of the ten Dow Jones US economic sectors over the period February 2000 to August 2008, the two-year intervals 2002--2003, 2004--2005, 2008--2009, and also over 11…

Last year we argued that if slow-roll inflation followed the decay of a false vacuum in a large landscape, the steepening of the scalar potential between the inflationary plateau and the barrier generically leads to a potentially observable…

In this paper house prices in Christchurch are analyzed over three distinct periods of time: post-2011 earthquake, pre-COVID-19 lockdown, and post-COVID-19 lockdown using the well-established hedonic price model. Results show that buyers,…

The paper analyzes two government policies affecting housing demand: early withdrawal from pension savings (EW), and reduction of loan deposit (RD). A model incorporating demand feedback on housing prices using Australian data shows both…

In this study interest centers on regional differences in the response of housing prices to monetary policy shocks in the US. We address this issue by analyzing monthly home price data for metropolitan regions using a factor-augmented…

In the present work we investigate the multiscale nature of the correlations for high frequency data (1 minute) in different futures markets over a period of two years, starting on the 1st of January 2003 and ending on the 31st of December…

This paper investigates Minsky's cycles by extending the paper of stockhammer et al. (2019) with a nonlinear model to capture possible local real-financial endogenous cycles. We trace nonlinear regime changes and check the presence of…

The 2008 global financial crisis marked the beginning of a decade dominated by fiscal austerity policies in much of the developed world. This paper presents a qualitative narrative review of an extensive collection of academic literature to…

Public availability of Artificial Intelligence generated information can change the markets forever, and its factoring into economical dynamics may take economists by surprise, out-dating models and schools of thought. Real estate…

To identify emerging interdependencies between traded stocks we investigate the behavior of the stocks of FTSE 100 companies in the period 2000-2015, by looking at daily stock values. Exploiting the power of information theoretical measures…

In this work we characterize sudden increases in the land price of certain urban areas, a phenomenon causing gentrification, via an extended Schelling model. An initial price rise forces some of the disadvantaged inhabitants out of the…

This article develops a random effects quantile regression model for panel data that allows for increased distributional flexibility, multivariate heterogeneity, and time-invariant covariates in situations where mean regression may be…

We address the problem of long-range memory in the financial markets. There are two conceptually different ways to reproduce power-law decay of auto-correlation function: using fractional Brownian motion as well as non-linear stochastic…

Based on our "finance-prediction-oriented" methodology which involves such elements as log-periodic self-similarity, the universal preferred scaling factor lambda=2, and allows a phenomenon of the "super-bubble" we analyze the 2009 world…

The analysis of dollar inflation performed by the authors through the approximation of empirical data for 1913-2012 with a power-law function with an accelerating log-periodic oscillation superimposed over it has made it possible to detect…