Demonetization and Its Impact on Employment in India. (arXiv:1702.01686v1...
On November 08, the sudden announcement to demonetization the high denomination currency notes sent tremors all across the country. Given the timing, and socioeconomic and political repercussions of...
View ArticlePerfect hedging under endogenous permanent market impacts....
We model a nonlinear price curve quoted in a market as the utility indifference curve of a representative liquidity supplier. As the utility function we adopt a g-expectation. In contrast to the...
View ArticleHyperbolic Discounting of the Far-Distant Future. (arXiv:1702.01362v1...
We prove an analogue of Weitzman's (1998) famous result that an exponential discounter who is uncertain of the appropriate exponential discount rate should discount the far-distant future using the...
View ArticleMarket Depth and Risk Return Analysis of Dhaka Stock Exchange: An Empirical...
It is customary that when security prices fully reflect all available information, the markets for those securities are said to be efficient. And if markets are inefficient, investors can use available...
View ArticleMonetary value measures in a category of probability spaces....
We generalize the notion of monetary value measures developed with category theory in [Adachi, 2014] by extending their base category from the category \c{hi} to the category of probability spaces Prob...
View ArticleEstimation of a noisy subordinated Brownian Motion via two-scales power...
High frequency based estimation methods for a semiparametric pure-jump subordinated Brownian motion exposed to a small additive microstructure noise are developed building on the two-scales realized...
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Work in the 21st Century: An Introduction to Industrial and Organizational...
Work in the 21st Century, 5th Edition by Frank J. Landy and Jeffrey M. Conte, ties together themes such as diversity, mental and physical ability, personality, interpersonal skills, emotional...
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Yield = Poison (3)
Photo Credit: Brent Moore || Watch the piggies run after scarce yield!read more...
View ArticleGlobal impact of US and euro area unconventional monetary policies: a comparison
The paper analyses and compares the domestic and cross-border effects of US and euro area unconventional monetary policy measures on 24 major advanced and emerging economies, based on an estimated...
View ArticleIOSCO report shows progress made in implementation of Benchmark Principles
IOSCO/MR/01/2017read more...
View ArticleHarvardâs $1.2 Billion Haul Erased by Investing Loss, Payout
Harvardâs $1.2 Billion in Donations Wiped by Losses https://t.co/1bMcXwFcTa â Yves Hilpisch (@dyjh) February 7, 2017
View ArticleConditional Davis Pricing. (arXiv:1702.02087v1 [q-fin.MF])
We introduce the notion of a conditional Davis price and study its properties. Our ultimate goal is to use utility theory to price non-replicable contingent claims in the case when the investor's...
View ArticleThe Installation Costs of a Satellite and Space Shuttle Launch Complex as a...
From the 1940's to the present, space explorations, which is a highly important topic for the world and human beings, penetrate into many areas from the communication to the national security as well...
View ArticleExistence, uniqueness, and stability of optimal portfolios of eligible...
We study the existence of portfolios of traded assets making a given financial institution pass some pre-specified (internal or external) regulatory test. In particular, we are interested in the...
View ArticleInternational Spillovers and Local Credit Cycles -- by Yusuf Soner Baskaya,...
We show that capital inflows are important drivers of domestic credit cycles using a firm-bank-loan level dataset for a representative emerging market. Instrumenting inflows by changes in global risk...
View ArticleThe Effect of Prescription Drug Monitoring Programs on Opioid Utilization in...
The misuse of prescription opioids has become a serious epidemic in the US. In response, states have implemented Prescription Drug Monitoring Programs (PDMPs), which record a patient's opioid...
View ArticleAusterity in the Aftermath of the Great Recession -- by Christopher L. House,...
We examine austerity in advanced economies since the Great Recession. Austerity shocks are reductions in government purchases that exceed reduced-form forecasts. Austerity shocks are statistically...
View ArticleRethinking Detroit -- by Raymond Owens III, Esteban Rossi-Hansberg,...
We study the urban structure of the City of Detroit. Following several decades of decline, the city's current urban structure is clearly not optimal for its size, with a business district immediately...
View ArticleThe Macroeconomic Impact of Microeconomic Shocks: Beyond Hulten's Theorem --...
We provide a nonlinear characterization of the macroeconomic impact of microeconomic TFP shocks in terms of reduced-form non-parametric elasticities for efficient economies. We also provide the mapping...
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