The Effects of U.S. Monetary Policy on Emerging Market Economies' Sovereign...
We analyze the effect of the US Federal Reserve's monetary policy on EME sovereign and corporate bond markets by focusing on two dimensions: the evolution of the structure (size and currency...
View ArticleDisclosure Rules and Declared Essential Patents -- by Rudi Bekkers, Christian...
Many standard setting organizations (SSOs) require participants to disclose patents that might be infringed by implementing a proposed standard, and commit to license their "essential" patents on terms...
View ArticlePrivate Equity and Financial Fragility during the Crisis -- by Shai...
Do private equity firms contribute to financial fragility during economic crises? We find that during the 2008 financial crisis, PE-backed companies increased investments relative to their peers, while...
View ArticleQuicksand or Bedrock for Behavioral Economics? Assessing Foundational...
Behavioral economics lacks empirical evidence on some foundational empirical questions. We adapt standard elicitation methods to measure multiple behavioral factors per person in a representative U.S....
View ArticleThe Welfare Effects of Long-Term Health Insurance Contracts -- by Benjamin R....
Reclassification risk is a major concern in health insurance. We use a rich dataset with individual-level information on health risk to empirically study one possible solution: dynamic contracts....
View ArticleCFTC Releases Rule Enforcement Review of the North American Derivatives Exchange
The U.S. Commodity Futures Trading Commissionâs (CFTC) Division of Market Oversight (DMO) announced today that it has issued the results of a rule enforcement review of the North American Derivatives...
View ArticleA risk measure that optimally balances capital determination errors....
In this paper, we propose a risk measurement approach that minimizes the expectation of sum between costs from capital determination overestimation and underestimation. We develop results that...
View ArticleSpurious memory in non-equilibrium stochastic models of imitative behavior....
The origin of the long-range memory in the non-equilibrium systems is still an open problem as the phenomenon can be reproduced using models based on Markov processes. In these cases a notion of...
View ArticleInside Real Estate: Buy, Sell and Profit in any Property Market
Inside Real Estate is a down-to-earth consumer guide for anyone navigating the property market in the digital age. Written by industry veteran Peter O'Malley, this book exposes the truth about modern...
View Article101 Ways to Save Money on Your Tax - Legally! 2017-2018
101 Ways to Save Money on Your Tax — Legally! is the quintessential guide for every Australian taxpayer. Updated annually to keep pace with changing tax laws, this book shows you how to maximise your...
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Why is the Stock Market So High?
Photo Credit: Carl Wycoff || It is a long way to the end of retirement. Â People are getting ready for it. Â Are you?read more...
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Sensitivity of the Eisenberg-Noe clearing vector to individual interbank...
We quantify the sensitivity of the Eisenberg-Noe clearing vector to estimation errors in the bilateral liabilities of a financial system. The interbank liabilities matrix is a crucial input to the...
View ArticleSpectral backtests of forecast distributions with application to risk...
We study a class of backtests for forecast distributions in which the test statistic is a spectral transformation that weights exceedance events by a function of the modeled probability level. The...
View ArticleVector-Valued Multivariate Conditional Value-at-Risk. (arXiv:1708.01324v1...
In this study, we propose a new definition of multivariate conditional value-at-risk (MCVaR) as a set of vectors for discrete probability spaces. We explore the properties of the vector-valued MCVaR...
View ArticleA Mean Field Competition. (arXiv:1708.01308v1 [math.OC])
We introduce a mean field game with rank-based reward: competing agents optimize their effort to achieve a goal, are ranked according to their completion time, and paid a reward based on their relative...
View ArticleLong-term issues for central banks
The 15th BIS Annual Conference took place in Lucerne, Switzerland, on 24 June 2016. The event brought together a distinguished group of central bank Governors, leading academics and former public...
View ArticleDollar pricing redux
A country's exchange rate is at the center of economic and political debates on currency wars and trade competitiveness. The real consequences of exchange rate fluctuations depend critically on how...
View ArticleWorld changes in inequality: an overview of facts, causes, consequences and...
This paper reviews various issues linked to the rise of inequality observed particularly in developed countries over the last quarter century. Various data on the time profile of inequality are...
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