Forward Guidance without Common Knowledge -- by George-Marios Angeletos, Chen...
Forward guidance relies on shifting expectations of income and inflation. These expectations matter through general-equilibrium mechanisms, including two known as the deflationary spiral and the income...
View ArticleLog-linear Approximation versus an Exact Solution at the ZLB in the New...
How accurate is a log-linear approximation of the New Keynesian model when the nominal interest rate is bounded by zero? This paper compares the solution of the exact non-linear model to the log-linear...
View ArticleInnovation Network -- by Daron Acemoglu, Ufuk Akcigit, William Kerr
Technological progress builds upon itself, with the expansion of invention in one domain propelling future work in linked fields. Our analysis uses 1.8 million U.S. patents and their citation...
View ArticleTrends in Cumulative Marginal Tax Rates Facing Low-Income Families, 1997-2007...
We present new calculations of cumulative marginal tax rates (MTRs) facing low income families participating in multiple welfare programs over the period 1997-2007, the period after 1996 welfare reform...
View ArticleRegression Kink Design: Theory and Practice -- by David Card, David S. Lee,...
A regression kink design (RKD or RK design) can be used to identify casual effects in settings where the regressor of interest is a kinked function of an assignment variable. In this paper, we apply an...
View ArticleCompetitive Effects of Scope of Practice Restrictions: Public Health or...
The demand for health care and healthcare professionals is predicted to grow significantly over the next decade. Securing an adequate health care workforce is of primary importance to ensure the health...
View ArticleKnowledge Elites and Modernization: Evidence from Revolutionary France -- by...
This paper examines the role of knowledge elites in modernization. At the eve of the French Revolution, in the spring of 1789, King Louis XVI solicited lists of grievances (Cahiers de Doleances), in...
View ArticleBusiness Income and Business Taxation in the United States Since the 1950s --...
In theory, the U.S. tax system aims to attribute and tax all business income to individuals. But the tax treatment of this income varies. Pass-through income is taxed when earned; capital-gains income...
View ArticleElite Identity and Political Accountability: A Tale of Ten Islands -- by...
This paper examines the relationship between elite identity and political outcomes from a theoretical and empirical perspective. Elite members with distinct economic and social identities vote for or...
View ArticleModel-free bounds on Value-at-Risk using partial dependence information....
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $\varphi(\mathbf X)$ where $\varphi$ is an aggregation function and $\mathbf X = (X_1,...,X_d)$ is a random vector...
View ArticlePricing variance swaps with stochastic volatility and stochastic interest...
This paper considers the pricing of discretely-sampled variance swaps under the class of equity-interest rate hybridization. Our modeling framework consists of the equity which follows the dynamics of...
View ArticleNumerical study of splitting methods for American option valuation....
This paper deals with the numerical approximation of American-style option values governed by partial differential complementarity problems. For a variety of one- and two-asset American options we...
View ArticleManaging Systemic Risk in Financial Networks. (arXiv:1610.09542v1 [q-fin.RM])
To quantify and manage systemic risk in the interbank market, we propose a weighted, directed random network model. The vertices in the network are financial institutions and the weighted edges...
View ArticleMultifractal cross wavelet analysis. (arXiv:1610.09519v1 [q-fin.ST])
Complex systems are composed of mutually interacting components and the output values of these components are usually long-range cross-correlated. We propose a method to characterize the joint...
View ArticleUnderstanding the Tracking Errors of Commodity Leveraged ETFs....
Commodity exchange-traded funds (ETFs) are a significant part of the rapidly growing ETF market. They have become popular in recent years as they provide investors access to a great variety of...
View ArticleUnderstanding the Non-Convergence of Agricultural Futures via Stochastic...
This paper studies the market phenomenon of non-convergence between futures and spot prices in the grains market. We postulate that the positive basis observed at maturity stems from the futures...
View ArticleEquitable retirement income tontines: Mixing cohorts without discriminating....
There is growing interest in the design of pension annuities that insure against idiosyncratic longevity risk while pooling and sharing systematic risk. This is partially motivated by the desire to...
View ArticleShenzhen Stock Exchange Market Bulletin 31 October, 2016, Issue 36
Shenzhen Stock Exchange recently organized the first training session for lecturers of Shenzhen-Hong Kong Stock Connect Program in Shenzhen together with Hong Kong Exchanges and Clearing Limited and...
View ArticleJPX Published An English Version Of JPX Working Papers, Vol.14...
JPX Working Papers highlight research and studies on changes in the market and regulatory environment with the aim of raising competitiveness. Conducted by officers and employees of JPX, its...
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Japan's Financial Services Agency: Sixth Issue Of The GLOPAC Newsletter
The Global Financial Partnership Center (GLOPAC) announces the sixth issue of the Newsletter. Please see the GLOPAC Newsletter (vol.6) (PDF:277KB) for details.
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