School of Economics and Finance
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Applied Economics [100]
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Econometrics [8]
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Economic Theory [21]
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Economics and Finance [209]
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Recent Submissions
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Hierarchical Time-Varying Estimation of Asset Pricing Models
(2022-01-04) -
Monetary policy uncertainty and firm dynamics
(2022-01-01)This paper uses a FAVAR model with external instruments to show that monetary policy uncertainty shocks are recessionary and are associated with an increase in firms' exit and a decrease in firms' entry. At the same time, ... -
The Different Facets of Injustice
(2022-01-17) -
Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212 (1) (2019) 137–154] (Journal of Econometrics (2019) 212(1) (137–154), (S030440761930079X), (10.1016/j.jeconom.2019.04.024))
(2022-04-01)The original algorithm contained a mistake that meant the conditional distributions used for the VAR's coefficients were missing a piece of information. We propose a new algorithm that uses the same factorization but ... -
Optimal Risk Transfer: A Numerical Optimization Approach
(2018-07-03)Capital efficiency and asset/liability management are part of the Enterprise Risk Management Process of any insurance/reinsurance conglomerate and serve as quantitative methods to fulfill the strategic planning within an ... -
On the Intergenerational Transmission of Economic Status
(2019-04-01) -
Economic Policy and Equality of Opportunity
(2018-07) -
Robots, Offshoring and Welfare
(2021)We study the effect of industrial robots in the presence of offshoring. -
Disclosure versus recognition: the value relevance of pensions
This paper compares how pension obligations impact the market value of United States corporations under two accounting regimes. Using a sample of firms that disclosed pension liabilities under Statement of Financial ...