This paper proposes a model of intertemporal preferences where the relative risk aversion depends on the time horizon of the agent. The agent is supposed to evaluate risk in the short run with a relative risk aversion coefficient which differs from its long run value. As preferences are no more...

Measuring, modeling, and forecasting volatility are of great importance in financial applications such as asset pricing, portfolio management, and risk management. In this paper, we investigate predictability of stock market volatility by macrofinance variables in a dynamic regression framework...

We propose a dynamic measure of stock market sentiment, extending heavily the widely adopted Baker and Wurgler (2006) market sentiment index construct on the novel basis that (1) the aggregate market sentiment must cover as many views from different investors or investment activities as possible;...

We propose a dynamic measure of stock market sentiment, extending heavily the widely adopted Baker and Wurgler (2006) market sentiment index construct on the novel basis that (1) the aggregate market sentiment must cover as many views from different investors or investment activities as possible;...

We investigate the welfare properties of fixed and floating exchange rate regimes in a two-country, dynamic, infinite-horizon model with agents optimizing in an environment of uncertainty created by monetary shocks. The optimal exchange rate regime may depend on whether prices are set in the...

The empirical evidence on trade reforms suggests that these have a surprisingly small impact on the country's industrial configuration. This industrial structure inertia is difficult to rationalize in standard trade models. This paper develops a two-sector industry dynamics model in which...

The paper studies how a person's concern for a future career may influence his or her incentives to put in effort or make decisions on the job. In the model, the person's productive abilities are revealed over time through observations of performance. There are no explicit output contingent...

This paper describes a dynamic factor model for the Maltese economy. The model mainly serves as a tool to timely provide the Central Bank of Malta with nowcasts as well as short-term forecasts of the growth rate of the real gross domestic product, which in turn are used as an input in the...

This paper develops a general framework for models and games, static or dynamic, in which individuals simultaneously make both discrete and continuous choices. The framework incorporates a wide range of unobserved heterogeneity. I show that such models are nonparametrically identified. Based on...