Uncertainty about an economy’s regime can change drastically around a crisis. An imported crisis such as the global financial crisis in the euro area highlights the effect of foreign shocks. Estimating an open-economy nonlinear dynamic stochastic general equilibrium model for the euro area and...

The primary contribution of the current paper is to explicitly take into consideration the role of asymmetries in oil prices when studying the nexus between oil price shocks and the real exchange rates across 13 countries in three regions of Asia. To achieve this contribution, the nonlinear...

This paper presents the existence and uniqueness results (in the sense of maximally defined regularity) as well as the stability analysis for the solutions to a class of nonlocal fully-nonlinear parabolic systems, where the nonlocality stems from the flow feature (controlled by an external...

We propose a new time series model where the threshold is specified as an empirical quantile of recent observations of a threshold variable. The resulting conditional threshold traces the fluctuation of the threshold variable, which can enhance the fit and interpretation of the model. In the...

Economists typically make simplifying assumptions to make the solution and estimation of their highly complex models feasible. These simplifications include approximating the true nonlinear dynamics of the model, disregarding aggregate uncertainty or assuming that all agents are identical. While...

This paper estimates a single pricing factor from index options and shows that it can explain a large set of prominent stock return anomalies jointly. A key feature of the new pricing factor is that it is a U-shaped function of index returns, implying that investors demand an upside risk...

This paper aims to enhance the econometric models mainly used by the financial services firms to predict prepayments of fixed-rate institutional loans. Upon deploying several model types for prepayment prediction on Euro-currency, fixed-rate institutional loans between 2012 and 2020, we found...

In this paper we prove the symmetry result for solutions of nonlinear elliptic Neumann boundary value problems by using the Alexandrov's method of reflection and maximum principle, on the unit ball in the n-dimensional Euclidean space with n ≥3