Pricing variance swaps under Levy process with stochastic volatility and CIR...
This study focuses on the pricing of the variance swap in the financial market where the stochastic interest rate and the volatility of the stock are driven by Cox-Ingersoll-Ross model and Heston model...
View ArticleRethinking Stabilization Policy: Evolution or Revolution? -- by Olivier J....
The obvious lesson from the Great Financial Crisis is that the financial system matters and financial crises will probably happen again. The second, more general, lesson is that the economy is often...
View ArticleFrictional Coordination -- by George-Marios Angeletos
The notion that business cycles are driven by demand shocks is subtle. I first review the conceptual and empirical challenges faced when trying to accommodate this notion in modern, micro-founded,...
View ArticleGlobal Inequality when Unequal Countries Create Unequal People -- by Martin...
Current global inequality measures assume that national-mean income does not matter to economic welfare at given household income, as measured in surveys. The paper questions that assumption on...
View ArticleShould Retail Investors' Leverage Be Limited? -- by Rawley Z. Heimer, Alp Simsek
Does the provision of leverage to retail traders improve market quality or facilitate socially inefficient speculation that enriches financial intermediaries? This paper evaluates the effects of 2010...
View ArticleDo Taxes Increase Economic Inequality? A Comparative Study Based on the State...
I present new quasi-experimental evidence on the relationship between tax policies and the distribution of income. I focus on the twentieth century United States, and on the personal income tax, since...
View ArticleArtificial Intelligence and Its Implications for Income Distribution and...
Inequality is one of the main challenges posed by the proliferation of artificial intelligence (AI) and other forms of worker-replacing technological progress. This paper provides a taxonomy of the...
View ArticleParenthood, Family Friendly Firms, and the Gender Gaps in Early Work Careers...
We consider the role that firm attributes play in accounting for the divergence in the careers of women and men, with the onset of parenthood. We exploit a matched employer-employee data set from...
View ArticleIntermediation as Rent Extraction -- by Maryam Farboodi, Gregor Jarosch,...
We propose a theory of intermediation as rent extraction, and explore its implications for the extent of intermediation, welfare and policy. A frictional asset market is populated by agents who are...
View ArticleCrude Oil Price Differentials and Pipeline Infrastructure -- by Shaun McRae
Crude oil production in the United States increased by nearly 80 percent between 2008 and 2016, mostly in areas that were far from existing refining and pipeline infrastructure. The production increase...
View ArticleWhen Corporate Social Responsibility Backfires: Theory and Evidence from a...
Corporate Social Responsibility (CSR) has become a cornerstone of modern business practice, developing from a "why" in the 1960s to a "must" today. Early empirical evidence on both the demand and...
View ArticleThe Death of a Regulator: Strict Supervision, Bank Lending and Business...
An important question in banking is how strict supervision affects bank lending and in turn local business activity. Forcing banks to recognize losses could choke off lending and amplify local economic...
View ArticleStructural Interpretation of Vector Autoregressions with Incomplete...
Traditional approaches to structural vector autoregressions can be viewed as special cases of Bayesian inference arising from very strong prior beliefs. These methods can be generalized with a less...
View ArticleInferring Inequality with Home Production -- by Job Boerma, Loukas Karabarbounis
We revisit the causes, welfare consequences, and policy implications of the dispersion in households' labor market outcomes using a model with uninsurable risk, incomplete asset markets, and a home...
View ArticleProductivity and Pay: Is the link broken? -- by Anna M. Stansbury, Lawrence...
Since 1973 median compensation has diverged starkly from average labor productivity. Since 2000, average compensation has also begun to diverge from labor productivity. These divergences lead to the...
View ArticleThe Cross-Section of Risk and Return -- by Kent Daniel, Lira Mota, Simon...
In the finance literature, a common practice is to create factor-portfolios by sorting on characteristics (such as book-to-market, profitability or investment) associated with average returns. The goal...
View ArticleShort and Long Horizon Behavioral Factors -- by Kent Daniel, David...
Recent theories suggest that both risk and mispricing are associated with commonality in security returns, and that the loadings on characteristic-based factors can be used to predict future returns....
View ArticleNecessary and Sufficient Conditions for Existence and Uniqueness of Recursive...
We study existence, uniqueness and stability of solutions for a class of discrete time recursive utilities models. By combining two streams of the recent literature on recursive preferences - one that...
View ArticleImproving Stock Market Prediction via Heterogeneous Information Fusion....
Traditional stock market prediction approaches commonly utilize the historical price-related data of the stocks to forecast their future trends. As the Web information grows, recently some works try to...
View ArticleOptimal Timing to Trade Along a Randomized Brownian Bridge....
This paper studies an optimal trading problem that incorporates the trader's market view on the terminal asset price distribution and uninformative noise embedded in the asset price dynamics. We model...
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