A Dynamic Programming Principle for Distribution-Constrained Optimal...
We consider an optimal stopping problem where a constraint is placed on the distribution of the stopping time. Reformulating the problem in terms of so-called measure-valued martingales allows us to...
View ArticleCohort effects in mortality modelling: a Bayesian state-space approach....
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been proposed in the...
View ArticleASIC Releases Guidance On Risk Management Systems Of Responsible Entities
ASIC today released Regulatory Guide RG 259 Risk Management systems of responsible entities to provide additional guidance to responsible entities on our expectations for compliance with their existing...
View ArticleWorld Economic Forum on Twitter
Elevator Operator - the one career eliminated by automation in the last 60 years. https://t.co/YY0oW9FnyK â moneyscience (@moneyscience) March 27, 2017
View ArticleFintech, Regulatory Arbitrage, and the Rise of Shadow Banks -- by Greg...
We study the rise of fintech and non-fintech shadow banks in the residential lending market. The market share of shadow banks in the mortgage market has nearly tripled from 2007-2015. Shadow banks...
View ArticleBank Capital Redux: Solvency, Liquidity, and Crisis -- by Oscar Jorda, Bjoern...
Higher capital ratios are unlikely to prevent a financial crisis. This is empirically true both for the entire history of advanced economies between 1870 and 2013 and for the post-WW2 period, and holds...
View ArticleLife Insurance and Life Settlement Markets with Overconfident Policyholders...
We analyze how the life settlement market - the secondary market for life insurance - may affect consumer welfare in a dynamic equilibrium model of life insurance with one-sided commitment and...
View ArticleRobots and Jobs: Evidence from US Labor Markets -- by Daron Acemoglu, Pascual...
As robots and other computer-assisted technologies take over tasks previously performed by labor, there is increasing concern about the future of jobs and wages. We analyze the effect of the increase...
View ArticleStudents in Distress: Labor Market Shocks, Student Loan Default, and Federal...
The collapse in home prices during the Great Recession triggered a sharp drop in consumer demand by households, leading to massive employment losses. This paper examines the implications of these labor...
View ArticleHorizontal and Vertical Polarization: Task-Specific Technological Change in a...
We analyze the effect of technological change in a novel framework that integrates an economy's skill distribution with its occupational and industrial structure. Individuals become managers or workers...
View ArticleWhat do Editors Maximize? Evidence from Four Leading Economics Journals -- by...
We study editorial decision-making using anonymized submission data for four leading economics journals: the Journal of the European Economics Association, the Quarterly Journal of Economics, the...
View ArticleMonetary Policy, Bounded Rationality, and Incomplete Markets -- by Emmanuel...
This paper extends the benchmark New-Keynesian model with a representative agent and rational expectations by introducing two key frictions: (1) agent heterogeneity with incomplete markets, uninsurable...
View ArticleMapping the Interconnectedness between EU Banks and Shadow Banking Entities...
This paper provides a unique snapshot of the exposures of EU banks to shadow banking entities within the global financial system. Drawing on a rich and novel dataset, the paper documents the...
View ArticleUrban Productivity in the Developing World -- by Edward L. Glaeser, Wentao Xiong
Africa is urbanizing rapidly, and this creates both opportunities and challenges. Labor productivity appears to be much higher in developing-world cities than in rural areas, and historically...
View ArticleThe Political Economy of Heterogeneity and Conflict -- by Enrico Spolaore,...
We present a conceptual framework linking cultural heterogeneity to inter-group conflict. When conflict is about control of public goods, more heterogeneous groups are expected to fight more with each...
View ArticleDo The Effects of Social Nudges Persist? Theory and Evidence from 38 Natural...
This study examines the mechanisms underlying long-run reductions in energy consumption caused by a widely studied social nudge. Our investigation considers two channels: physical capital in the home...
View ArticleOffice Of Financial Research Update: An Approach To Financial Instrument...
The U.S. Office of Financial Research today posted a viewpoint paper, entitled, “An Approach to Financial Instrument Reference Data.” This viewpoint describes the OFR’s approach to preparing and...
View ArticleThomson Reuters Lipper Announces U.S. Fund Awards 2017 Winners
Thomson Reuters Lipper announces the winners of the U.S Awards 2017. These highly-respected awards honor funds and fund management firms that have excelled in providing consistently strong...
View ArticleSEC Halts Fraud Targeting Seniors
The Securities and Exchange Commission today announced an emergency asset freeze and temporary restraining order against a Chicago-based investment adviser and his financial management company accused...
View ArticleA Numerical Method for Pricing Discrete Double Barrier Option by Legendre...
In this Article, a fast numerical numerical algorithm for pricing discrete double barrier option is presented. According to Black-Scholes model, the price of option in each monitoring date can be...
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