Finance and Investment Banking Research Papers (original) (raw)

2025, Journal of Nonparametric Statistics

studied the piecewise proportional hazards (PWPH) model with intervalcensored (IC) data under the distribution-free set-up. It is well known that the partial likelihood approach is not applicable for IC data, and Wong et al. (2018) showed that the standard generalized likelihood approach does not work neither. They proposed the maximum modified generalized likelihood estimator (MMGLE) and the simulation results suggest that the MMGLE is consistent. We establish the consistency and asymptotically normality of the MMGLE.

2025, arXiv (Cornell University)

We consider natural exponential families of Lévy processes with randomized parameter. Such processes are Markov, and under suitable assumptions, pairs of such processes with shared randomization can be "stitched together" into a single harness. The stitching consists of deterministic reparametrization of the time for both processes, so that they run on adjacent time intervals, and of the choice of the appropriate law at the boundary. Processes in the Lévy-Meixner class have an additional property that they are quadratic harnesses, and in this case stitching constructions produce quadratic harnesses on [0, ∞).

2025, The Annals of Applied Probability

We consider the tail behavior of random variables R which are solutions of the distributional equation Goldie and Grübel showed that the tails of R are no heavier than exponential and that if Q is bounded and M resembles near 1 the uniform distribution, then the tails of R are Poissonian. In this paper, we further investigate the connection between the tails of R and the behavior of M near 1. We focus on the special case when Q is constant and M is nonnegative.

2025, Paradigma económico/Paradigma económico, revista de economía regional y sectorial

In this paper, we examine the effect of public debt on Gross Domestic Product (GDP) in 15 Latin American economies (Argentina,

2025, Corporate Ownership and Control

The efficiency of “markets vs corporations” in reallocating assets, changing industry structure and moving capital from declining industries to emerging industries is a very important issue. The vast literature on this subject has examined the role played by corporate governance systems, technological shocks and institutional factors in triggering mergers and takeovers, but has not considered the specific influence that technological regimes of innovation can exert in reallocating assets and moving capital among sectors. In the present work we attempt to fill this gap, evaluating on empirical grounds not only the role of corporate governance systems and investor protection factors, but also the influence that alternative technological regimes can play on mergers and takeovers. This comprehensive analysis is another step along the lines suggested by Hall and Soskice (2001), two authors who have shown that the industrial specialization of each country may be seen in its complementarit...

2025, GAS Journal of Arts Humanities and Social Sciences (GASJAHSS)

1.1INTRODUCTION Human Resource (HR) technology has transformed how organisations manage their workforce by automatingessentialHR functions suchas recruitment, payroll management, performance tracking, and employee development. This shift is especially important for microfinance banks in Bayelsa State, Nigeria, where such institutions are central to promoting financial inclusion, particularly to small scale businesses both in urban and rural areas. Microfinance banks in Bayelsa provide essential financial services to underserved populations, many of whom rely on farming for their livelihood. However, these banks often face challenges in managing human resources effectively, which affect their overall performance. The adoption of HR technology can help streamline HR processes, improve employee engagement, enhance productivity, and ultimately boost organisational performance (Akinwale,2021). Microfinance banks in Bayelsa State, like their counterparts inother regions,struggle withissues suchas high staff turnover, inefficiency in HR practices, and the challenge of attracting skilled employees. The

2025, Journal of International Money and Finance

We investigate whether momentum or reversal is the dominant phenomenon in short horizon (one-to four-week) foreign exchange rate returns. We find, based on a broad sample of 63 emerging and developed market currencies, evidence of momentum rather than reversal. Momentum strategy returns are as large as 8% p.a. The short-term momentum effect appears to be robust. Returns are larger in the earlier sub-period but still exist in the more recent period. The strategies are also profitable when the USD is appreciating or depreciating but they perform better in business cycle expansions.

2025, RePEc: Research Papers in Economics

There are numerous ways to indicate the degree of banking competition across countries. Antitrust authorities rely on the structure-conduct-performance paradigm while academics prefer price mark-ups (Lerner index) or correlations of input costs with output prices (H-statistic). These measures are not always strongly correlated when contrasted across countries or positively correlated within countries over time. Frontier efficiency analysis is used to devise an alternative indicator of competition and rank European countries by their dispersion from a "competition frontier". The frontier is determined by how well payment and other costs explain variations in loan-deposit rate spread and non-interest activity revenues.

2025, SSRN Electronic Journal

We assess the competitiveness of the $400 billion dollar U.S. bank consumer loan market by comparing results from different competition measures-HHI, Lerner Index, H-Statistic along with three others, two of which are related to frontier analysis. These measures are typically weakly related to one another and only half of them identify banks with the highest loan price and spread as also being the least competitive. This is the opposite of what would be expected. The most and least competitive banks are not located in the most populous states and the largest banks are underrepresented. Overall, the HHI should not be used to indicate competition.

2025, ECONOMICS

International capital movement in the form of Foreign Direct Investment (FDI) by multinational enterprises (MNEs) signifies a widely researched phenomenon in comprehensive review of the FDI literature. Its vastness makes it impossible to fathom its depth, as such the paper highlights what the author considers to be mainstream theories in the domain of empirical studies on FDI. This study critically reviews (FDI) literature over a period of 70 years from 1950 to 2020 to provide a theoretical lens for future research beyond the established models. The discussion covers the mode of FDI inflows, statistical methods applied, theoretical models, contributions to paradigms and empirical papers investigating FDI. Furthermore, the papers selected cover heterogenous geographical regions, while in certain papers FDI has been studied as a dependent variable in others as an independent one. The focus lies on the FDI and its resultant activities of MNEs in the form of subsidiaries to carry out ma...

2025, Corporate Governance: The International Journal of Business in Society

PurposeThis paper aims to examine the impact of corporate governance internal mechanisms on tax disclosure in non-financial firms in Malaysia. Managerial ownership and incentive compensation are used as proxies to reflect corporate governance conduct.Design/methodology/approachThis study uses panel data set to analyse 286 non-financial listed companies on Bursa Malaysia for the years 2010-2012. Tax disclosure was gathered from the financial statements, particularly in the consolidated of tax expenses. Tax disclosure was measured using modified effective tax rate reconciling items. Multivariate statistical analyses were run on the sample data.FindingsThis study finds that managerial ownership and incentive compensation do not significantly influence tax disclosure. On the other hand, it is found that there are significant positive associations between each of firm size and industry dummy, and tax disclosure. This means that company-specific characteristics are important factors affec...

2025, International Business Research

The aim of this paper is to provide empirical evidence of the red flags in the level of tax reporting among the Shariah Compliance companies in Bursa Malaysia. The convenience sampling method was employed among 123 Shariah compliance companies of Bursa Malaysia. Meanwhile, the investigation period in this study had covered twelve years of continuous data, starting from the year 2001 until the year 2012. This study adopted the Current Based Model to calculate the level of Effective Tax Rate (ETR) as an independent variable while the firm values as dependent variable. It was revealed that due to the Creative Accounting strategies, there is a possibility of tax fraud occurring during the calculation of taxation level. These activities, which were applied in implementing tax planning mechanisms is however allowed by the GAAP under MFRS. As is commonly known, the purpose of tax reporting is to safeguard the interest of potential shareholders; however, these practices of aggressive tax planning strategies will result in differing perceptions from tax payers' and potential shareholders' perspectives. Therefore, aggressive tax planning strategies could be a red flag to financial fraud activities. Thus, this study would disclose some evidence on how financial fraud could be revealed from tax reporting strategies.

2025, Stochastics and Dynamics

We introduce a fractional stochastic heat equation with second-order elliptic operator in divergence form, having a piecewise constant diffusion coefficient, and driven by an infinite-dimensional fractional Brownian motion. We characterize the fundamental solution of its deterministic part, and prove the existence and the uniqueness of its solution.

2025, Theory of Probability and Mathematical Statistics

We investigate the problem of estimation of the unknown drift parameter in the stochastic differential equations driven by fractional Brownian motion, with the coefficients supplying standard existence-uniqueness demands. We consider a particular case when the ratio of drift and diffusion coefficients is non-random, and establish the asymptotic strong consistency of the estimator with different ratios, from many classes of non-random standard functions. Simulations are provided to illustrate our results, and they demonstrate the fast rate of convergence of the estimator to the true value of a parameter.

2025, Journal of Multidisciplinary Evaluation

The anchorage of a public discourse, which can be different in democracies with plebiscite elements and high decentralization vs. democracies strongly centralised and/or political parties with great influence on government The accessibility of information in the public system; both the accessibility of data and the accessibility of evaluation reports, especially if these are financed publicly (freedom of information/ publics' right to know) The supply of evaluation training and studies, particularly in higher education institutions, or relevant courses in political science and public administration studies, etc. Dissemination of evaluations in everyday areas of life like school, social services, labour market All these factors are either not at all or merely in the long run influenceable by the actions of the evaluation community. A community of evaluators and other experts interested in evaluation, such as the European Evaluation Society (EES) or the national evaluation societies in Europe, has restricted resources and possibilities of influencing these factors via information, exchange of experience, and training, professional standards. Today I want to stress particularly quality guidelines, principles or standards as a framework for the professional quality of evaluation and a basis to communicate the mission of evaluation to the actors of the political system and to the society in general. To think about evaluation standards is also triggered by risks that evaluation is exposed to. These risks, in the long run, threaten its position in support of democratic policy-making. Public commissioners: They engage internal units or external companies to do evaluation. These carry out the evaluation in a way in which commissioners themselves, the media, or the political opposition discover quite obvious shortcomings. Evaluators: As an evaluator you hand in a tender which satisfies heavy quality demands. The public commissioner decides in favour of the cheapest supplier. Professional requirements on evaluations are known neither to the commissioner nor to the supplier. Stakeholders/citizens: As persons affected by evaluation results they doubt the precision and the fairness as soon as conclusions and recommendations have been shared. They don't find any basis on which they can check the quality of the evaluations carried out.

2025, AUDITING: A Journal of Practice & Theory

SUMMARYMandatory auditor rotation was recently proposed for the European Union and is also under consideration in the United States. There has been little research into either the benefits or costs of rotation in a true mandatory setting that could inform intelligent policy making. Our paper helps fill this gap by examining Italy, where mandatory rotation of auditors has been required since 1975. We find that outgoing auditors do not shirk on effort (or quality), but final-year fees are 7 percent higher than normal, which may indicate opportunistic pricing. The fees of incoming auditors are discounted by 16 percent even though they have abnormally higher engagement hours in the first year (17 percent), which is suggestive of lowballing. However, subsequent fees are abnormally higher and exceed the initial fee discount. Thus, the costs of mandatory rotation are nontrivial. Higher costs could be acceptable if rotation improves audit quality, but we find evidence of the opposite. Namel...

2025, SSRN Electronic Journal

In this paper we argue and empirically find that factual rather than "cosmetic" independence has a differential impact on board effectiveness with reference to the quality of financial reporting. We first shed light on past conflicting findings by showing a curvilinear relation between two important independent directors' characteristics, busyness and tenure, and levels of earnings management. By adopting an interaction perspective, we then show that independent directors' ability to constrain earnings management is strongly impaired by their length of tenure, and it fades away entirely when independent directors are "too busy". We also look at independent directors sitting on Audit Committees and we get identical results. This work comes in response to recent calls for more work on how independent directors' effectiveness is impacted by directors' attributes and shows that a co-alignment of several attributes is needed, rather than just the application of the convenient "independence" label.

2025, Journal of Money, Credit and Banking

This paper shows that if moral hazard leads to credit rationing, an appropriate usury law must raise social welfare. Under market clearing, a usury law is always beneficial if funds are inelastically supplied. When entrepreneurial heterogeneity is introduced, an improvement arises even when the supply of funds is elastic. These results apply also in costly stateverification models and diversionary models of the credit market. Finally, a usury law proves useful in eliminating low-yielding projects when some entrepreneurs display excess optimism.

2025

In this study, Feldstein-Horioka hypothesis on saving-investment relationship was tested for the period 1968-2008 in Turkey using Hansen-Seo, Gregory-Hansen and Hatemi-J models. First of all, when Feldstein-Horioka hypothesis was researched by Hansen-Seo method, the variables did not exhibit a nonlinear structure. Then, with Gregory-Hansen and Hatemi-J models, it was found that the saving-retention coefficient got a value close to 1 and 0.426 respectively. It was understood that the Feldstein-Horioka puzzle continued. The results obtained show that in testing Feldstein-Horioka hypothesis, instead of a fixed parameter assumption, applying test techniques that take endogenous structural breaks into consideration would give more reliable results.Bu çalışmada Hansen-Seo, Gregory-Hansen ve Hatemi-J modelleri kullanılarak Türkiye’de Feldstein-Horioka hipotezi 1968-2008 dönemi için test edilmiştir. Öncelikle Feldstein-Horioka hipotezi Hansen-Seo yöntemiyle araştırılmış, değişkenlerin uzun ...

2025, American Journal of Economics

In this study we investigated the relationship between female labour force participation rate, part-time employment and total fertility rate in OECD countries from 2000 to 2013. For that aim, we employ panel techniques which panel cointegration, Granger causality and long term structural estimation methods. Correlation between female labour force participation rate and total fertility rate reflects inconsistency between child care and job security. Existence of cointegration between female labour force participation rate and total fertility rate in OECD countries is main finding of this study. Findings show that increase in total fertility rate causes decrease in female labour force participation rate in OECD countries. On the other hand, there are evidences that part time employment provides women easier to have job and inconsistency hypothesis is weaken.

2025, Doğuş Üniversitesi Dergisi

2025, Tourism and hospitality management

Purpose -The purpose of this paper is to examine the relationship between various forms of income/wealth and tourism departures in selected European Union (EU) countries. Design -The design of this study is based on analysing quarterly data on incomes, house prices, net financial assets, financial derivatives and employee stock options in order to measure the link between wealth and tourism departures in selected countries-Austria,

2025, Economic Modelling

This paper investigates the real effects of a disinflationary policy in China, in which we conduct a disinflation experiment in a medium-scale New Keynesian model. We highlight two key features of China's economy: the relevance of money to monetary policy rules and household inequality. For the former, we consider two monetary policy regimes: an expanded Taylor rule with money and a money supply rule. For the latter, we take into account a share of the population that is limited in its ability to participate in assets markets. Our analysis suggests that a disinflation policy is more costly when the central bank controls the money supply than the case in which the nominal interest rate is the policy instrument. Our results are driven by the different impacts of disinflation on nominal and real interest rates under the two regimes. ☆ We acknowledge helpful comments and suggestions from the Editor Angus C. Chu and two anonymous Referees.

2025, Theoretical Economics Letters

The purpose of this paper is to develop a Bayesian model of the S&P 500 stock index in the presence of a circuit breaker rule that would be useful to traders who wish to update positions when information is limited because of a market trading halt. We assume that the market index is distributed by a Poisson process with an unknown parameter. First, using a conjugate Gamma prior probability distribution, we can revise the distribution of the prior distribution, to get an updated Gamma posterior distribution. Second, we calculate the market index's truncated posterior and predictive distributions in the presence of circuit breakers. Third, our predicted index's values (during the activation of the circuit breakers that results in a fifteen-minute trading halt) are demonstrated by numerical examples. Thus, investors would be able to adjust, their long/short positions, when market information is temporarily unavailable.

2025, Journal of Futures Markets

In a futures market with a daily price-limit rule, trading occurs only at prices within limits determined by the previous day's settlement price. Price limits are set in dollars but can be expressed as return limits. When the daily return limit is triggered, the true equilibrium futures return (and price) is unobservable. In such a market, investors may suffer from information loss if the return "moves the limit." Assuming normally distributed futures returns with unknown means but known volatilities, we develop a Bayesian forecasting model in the presence of return limits and provide some numerical predictions. Our innovation is the derivation of the predictive density for futures returns in the presence of return limits.

2025, Geneva Papers on Risk and Insurance-issues and Practice

2025, The Geneva Papers on Risk and Insurance - Issues and Practice

2025, Journal of Business Economics and Management

The paper focuses on the German food retailing industry with its market characteristics and the status quo of online food retailing in Germany by analysing data from market research institutes and consumer direct questionnaire. The paper examines the consumers’ perceptions of online as well as offline grocery shopping. As a result, an online grocery model was created using PLS-SEM modelling. It illustrates all major success factors related to the consumer’s willingness to shop for groceries online in Germany. The main factors influencing the willingness to shop for groceries online are awareness of benefits, need for more convenience, and change of the lack of trust in the new distribution channel. We identified some consumer groups that are more open to online shopping as they benefit more from online grocery shopping. Especially working mothers and young professionals are the consumer groups with a high potential interest.

2025, Studies in Agricultural Economics

This paper examines the impact of the legal form of agricultural fi rms on the benefi t to their owners for a panel of Slovak agricultural fi rms. We use return on equity (ROE) as a measure of the benefi t to owners. Using the repeated measures ANOV A technique, we fi nd that the legal form of a fi rm is a relevant determinant of the benefi t to owners. We conclude that from the point of view of ROE the legal form 'company' is preferable over 'cooperative'.

2025, Research Square (Research Square)

Using the S&P green bond index (RSPGB), this study attempts to unravel the connectedness of the green bond with energy, crypto, and carbon markets. We use MAC global solar energy index (RMGS) and ISE global wind energy index (RIGW) as proxies of the energy market. In addition, we consider Bitcoin and the European energy exchange carbon index (REEX) for the cryptocurrency, and carbon market, respectively. Using the daily data from October 1, 2015, to December 13, 2021, of these constituent markets, we employ Diebold Yilmaz (2012), Barunik and Krehlik (2017), and wavelet coherence. The result reveals that the energy market (RMGS) has the highest connectedness derived from other asset classes, and bitcoin (RBTC) has the least connectedness. In addition, we note that risk transmission is heterogeneous in different scales as the short period has less connectedness than the medium and long run. Hence, the overall diversi cation opportunity among green bonds, energy stock, Bitcoin, and the carbon market is more in the short-run than in the medium and long-run. Surprisingly, there is no lead-lag relationship among these markets. This study provides insights to investors, policymakers, and portfolio managers.

2025, Research Square (Research Square)

2025, Intechopen

A developed nation's rate of economic growth relies on sustaining a modern and stable financial market to facilitate consistent capital investment over the long run. Starting from the last half of the twentieth century, sustained growth in total credit availability across developed nations has been linked to increased financial market volatility and subsequent interruptions in economic growth. This study examines empirical research aimed at determining the viability of using credit availability metrics to predict financial market volatility and economic recessions. Empirical research used a macro-prudential perspective to develop a model that examines whether metrics reflecting credit booms, like the credit gap, can be reliably used to predict increased future financial market variability and reductions in economic growth. The empirical research analysis employs a receiver operating characteristic methodology that reveals how metrics of credit leveraging have become useful predictive tools as total credit has increased over time.

2025

The advanced market economies in the European Union (EU) have been faced with the implementation of corporate governance for more than twenty years by now. But still today it seems that there is some disagreement at least “on how good or bad existing governance mechanisms are”.1 Corporate governance is widely understood as the system of guidelines, processes and practices by which a company is directed and controlled.2 According to the Organisation for Economic Co-operation and Development (OECD) this system “provides the structure through which the objectives of the company are set, and the means of attaining those objectives and monitoring performance are determined”.3 The governance system implemented by a company has to fulfill obligations by respective national law, which in turn has to transpose requirements forced by the European Union. Therefore, directive 2006/43/EC from 17 May 2006, which is also known as “EuroSox” according to the US-American legislation (SOX, the Sarbane...

2025, Journal of Business Economics and Management

Modern societies are faced with lifelong learning as an important challenge. Lifelong learning must be structured and its content must be defined. In order to do this the factors, which influence the need for lifelong learning must be known. These factors ‐ examples are globalization, new markets, new competition, the information society, and knowledge management ‐ will be presented in this article.

2025

Implementing Corporate Governance with the "Lines of Defense Model" 55 in its broad sense". 7 This focus on the directors` position is nowadays replaced by the question on how collaboration between the different stakeholders has to be... more

2025, Deep Science Publishing

2025, The Annals of Applied Probability

We investigate a storage model where the input and the demand are additive functionals on a Markov chain J. The storage policy is to meet the largest possible portion of the demand. We first derive results for the net input process embedded at the epochs of transitions of J, which is a Markov random walk. Our analysis is based on a Wiener᎐Hopf factorization for this random walk; this also gives results for the busy period of the storage process. The properties of the storage level and the unsatisfied demand are then derived.

2025, Deep Science Publishing

What is left to say about AI? The hype is over. In recent years we have seen AI as an emerging technology become a disruptive technology. What started as an exotic tool for techies and data scientists has become a must-tool for every industry requiring support at every operational step: data gathering, data cleaning and preparation, data enrichment, data-driven predictive analysis, optimization towards desired objectives, quasi-real-time insights delivery, etc. How could the Insurance ecosystem be an exception to this? In terms of data, the Insurance Ecosystem handles the largest data trove. In their core business model, Insurance Companies, Reinsurers, Brokers, and Agencies in Life and Nonlife run on risk quantification and modeling, as well as on anticipating customers' behavior. In the adjacent spaces around their core business model, Insurance Companies and Agencies exploit another massive data trove for upselling and cross-selling ancillary services around their core business offering: customer data captured during years of policy underwriting and claim processing . And yet… coming back to our previous statement, what is left to say about AI? The answer to this somewhat provocative question is simple: although the Insurance Ecosystem is no exception to the paradigm shift represented by AI and despite most of the businesses have been implementing AI-driven optimization and insights, we are still at the beginning of the adoption curve. Indeed, despite all the buzz surrounding AI, what most companies have been doing during the last 10 years is only the first phase of a journey that started with the Global Financial Crisis of 2008. The first phase was about adopting AI techniques to replace legacy approaches based on statistical methods largely due to the lack of a larger amount of labeled data. Most initiatives still rely on small-size Deep Science Publishing

2025, Accounting and finance

2025, Review of Financial Studies

This paper investigates the effects of college tuition on student debt and human capital accumulation. We exploit data from a random sample of undergraduate students in the United States and implement a research design that instruments for tuition with relatively large changes to the tuition of students who enrolled at the same school in different cohorts. We find that 10,000inhighertuitioncausallyreducestheprobabilityofgraduatingwithagraduatedegreeby6.2percentagepointsandincreasesstudentdebtby10,000 in higher tuition causally reduces the probability of graduating with a graduate degree by 6.2 percentage points and increases student debt by 10,000inhighertuitioncausallyreducestheprobabilityofgraduatingwithagraduatedegreeby6.2percentagepointsandincreasesstudentdebtby2,961. Higher tuition also reduces the probability of obtaining an undergraduate degree among poorer, credit-constrained students. Thus, the relatively large increases in the price of education in the United States in the past decade can affect the accumulation of human capital.

2025, Journal of Money, Credit, and Banking

The views expressed are those of the authors and do not necessarily reflect those of the Bank of England. We thank Mervyn King, Spencer Dale and Edward Nelson for the conversations out of which this paper arose, and for their insightful comments on earlier drafts. We also thank Larry Ball, Frank Smets, seminar participants at the Bank of England and at the Federal Reserve Board and two anonymous referees for helpful comments on earlier versions of this paper. Remaining errors and the views expressed herein are those of the authors and not of the Bank of England nor of the Bank of England's Monetary Policy Committee.

2025, Journal of Economic Dynamics and Control

The most popular simple rules for the interest rate, due to and , are both meant to inform monetary policy in economies that are closed. On the other hand, their main open economy alternatives, based on a Monetary Conditions Index (MCI) are potentially flawed for a number or reasons, not least because they fail to adequately allow for different types of exchange rate shocks when setting policy. In this paper we derive simple monetary policy rules that are suitable for small open economies in general, and for the UK in particular. We do so by comparing the performance of a battery of complex and simple rules, including the familiar Taylor and Henderson and McKibbin rules and MCI-based rules. This entails comparing the asymptotic properties of a two-sector open-economy dynamic stochastic general equilibrium model calibrated on UK data under different rules. We find that a good simple rule is one that responds to changes in the real exchange rate in addition to output and inflation. This does not imply having a target on the exchange rate, but rather suggests that it may be useful to exploit its indicator properties in the pursuit of domestic objectives.

2025, Journal of Economic Dynamics and Control

This paper provides a first attempt to quantify and at the same time utilize estimated measures of uncertainty for the design of robust interest rate rules. We estimate several variants of a linearized form of a New Keynesian model using quarterly US data. Both our theoretical and numerical results indicate that Inflation-Forecast-Based (IFB) rules are increasingly prone to the problem of indeterminacy as the forward horizon increases. As a consequence the stabilization performance of optimized rules of this type worsens too. Robust IFB rules can be designed to avoid indeterminacy in an uncertain environment, but at an increasing utility loss as rules become more forward-looking.

2025, International Finance

This paper updates and extends Friedman's (1972) evidence on the lag between monetary policy actions and the response of inflation. Our evidence is based on UK and US data for the period 1953–2001 on money growth rates, inflation and interest rates, as well as annual data on money growth and inflation. We reaffirm Friedman's result that it takes over a year before monetary policy actions have their peak effect on inflation. This result has persisted despite numerous changes in monetary policy arrangements in both countries. Similarly, advances in information processing and in financial market sophistication do not appear to have substantially shortened the lag. The empirical evaluation of dynamic general equilibrium models needs to be extended to include an assessment of these models' ability to account for the monetary transmission lags found in the data.

2025, arXiv (Cornell University)

We present the qGaussian generalization of the Merton framework, which takes into account slow fluctuations of the volatility of the firm's market value of financial assets. The minimal version of the model depends on the Tsallis entropic parameter q and the generalized "distance to default". The empirical foundation and implications of the model are illustrated by the study of 645 North American industrial firms during the financial crisis, 2006 -2012. All defaulters in the sample have exceptionally large q > 3/2, corresponding to unusually fat-tailed unconditional distributions of log-asset-returns. Using Receiver Operating Characteristic curves, we demonstrate the high forecasting power of the model in prediction of 1-year defaults. Our study suggests that the level of complexity of the realized time series, quantified by q, should be taken into account to improve valuations of default risk.

2025

Abstract. We present the qGaussian generalization of the Merton framework, which takes into account slow fluctuations of the volatility of the firm’s market value of financial assets. The minimal version of the model depends on the Tsallis entropic parameter q and the generalized “distance to default”. The empirical foundation and implications of the model are illustrated by the study of 645 North American industrial firms during the financial crisis, 2006 2012. All defaulters in the sample have exceptionally large q > 3/2, corresponding to unusually fat-tailed unconditional distributions of log-assetreturns. Using Receiver Operating Characteristic curves, we demonstrate the high forecasting power of the model in prediction of 1-year defaults. Our study suggests that the level of complexity of the realized time series, quantified by q, should be taken into account to improve valuations of default risk.

2025, Physica A: Statistical Mechanics and its Applications

• Model-independent estimates of the long-run discount factor are obtained. • The universal origin of declining long-term tails of discount curves is uncovered. • Non-Markovian generalization of the Ramsey discounting formula is derived.... more

2025

2025, Applied Stochastic Models in Business and Industry

We consider the problem of modeling the dependence among many time series. We build high‐dimensional time‐varying copula models by combining pair‐copula constructions with stochastic autoregressive copula and generalized autoregressive score models to capture dependence that changes over time. We show how the estimation of this highly complex model can be broken down into the estimation of a sequence of bivariate models, which can be achieved by using the method of maximum likelihood. Further, by restricting the conditional dependence parameter on higher cascades of the pair copula construction to be constant, we can greatly reduce the number of parameters to be estimated without losing much flexibility. Applications to five MSCI stock market indices and to a large dataset of daily stock returns of all constituents of the Dax 30 illustrate the usefulness of the proposed model class in‐sample and for density forecasting. Copyright © 2016 John Wiley & Sons, Ltd.