Recent Submissions

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    Liquidity traps, capital flows 

    Acharya, Sushant; Bengui, Julien (2015-12-17)
    This paper explores the role of capital flows and exchange rate dynamics in shaping the global economy's adjustment in a liquidity trap. Using a multi-country model with nominal rigidities, we shed light on the global ...
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    Inference for nonparametric high-frequency estimators with an application to time variation in betas 

    Kalnina, Ilze (2015-07-24)
    We consider the problem of conducting inference on nonparametric high-frequency estimators without knowing their asymptotic variances. We prove that a multivariate subsampling method achieves this goal under general ...
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    Should a non-rival public good always be provided centrally? 

    Gravel, Nicolas; Poitevin, Michel (2015-11-06)
    This paper discusses the problem of optimal design of a jurisdiction structure from the view point of a utilitarian social planner when individuals with identical utility functions for a non-rival public good and private ...
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    Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency 

    Kalnina, Ilze; Xiu, Dacheng (2015-11-22)
    We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, ...
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    On the individual optimality of economic integration 

    Castro, Rui; Koumtingué, Nelnan (2015-11)
    Which countries find it optimal to form an economic union? We emphasize the risk-sharing benefits of economic integration. Consider an endowment world economy model, where international financial markets are incomplete and ...
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    Cross-sectional dependence in idiosyncratic volatility 

    Kalnina, Ilze; Tewou, Kokouvi (2015-07)
    This paper introduces a framework for analysis of cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the ...
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    Ambiguity on the insurer's side: the demand for insurance 

    Amarante, Massimiliano; Ghossoub, Mario; Phelps, Edmund (2014-10)
    Empirical evidence suggests that ambiguity is prevalent in insurance pricing and underwriting, and that often insurers tend to exhibit more ambiguity than the insured individuals (e.g., [23]). Motivated by these findings, ...
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    Ambiguity on the insurer's side: the demand for insurance 

    Amarante, Massimiliano; Ghossoub, Mario; Phelps, Edmund (2014-10)
    Empirical evidence suggests that ambiguity is prevalent in insurance pricing and underwriting, and that often insurers tend to exhibit more ambiguity than the insured individuals (e.g., [23]). Motivated by these findings, ...

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