Many applications call for measuring the response due to shocks from several variables at once. We introduce a joint impulse response function (jIRF) that is independent of the order of the variables and allows for simultaneous shocks from multiple variables in the VAR rather than one at a time...

Despite a recent proliferation of research using cyclical long memory, surprisingly little is known regarding the asymptotic properties of likelihood-based methods. Estimators have been studied in both the time and frequency domains for the Gegenbauer autoregressive moving average process...

We review the multiple frequency Gegenbauer autoregressive moving average model, which is able to reproduce a wide range of autocorrelation functions. Extending the result of Chung (1996a), we propose the asymptotic distributions for a conditional sum of squares estimator of the model...

This paper describes an accurate, fast and robust fixed point method for computing the stationary wealth distributions in macroeconomic models with a continuum of infinitely-lived households who face idiosyncratic shocks with aggregate certainty. The household wealth evolution is modeled as a...

We present a simple and fast iterative, linear algorithm for simultaneously stripping the coupon payments from and smoothing the yield curve of the term structure of interest rates. The method minimizes pricing errors, constrains initial and terminal conditions of the curves and produces...

Why do some firms enter a new market by acquiring an existing company operating in this market (external entry), while more than 90% of firms do so by building on their existing resources (internal entry)? This paper shows that human capital acquisition is a key motive behind firms' decision to...

This paper studies FinTech platforms’ role in SMEs’ access to financing using French administrative data. We show that firms served by FinTech platforms have less tangible assets than bank borrowers. Relative to observably similar firms that take out bank loans or were denied FinTech credit,...

This paper explores how financing frictions shape the formation of a customer base. Since a customer base cannot be pledged as collateral, current expenses involved in attracting customers are likely to be financed internally. Hence, liquidity-constrained firms will underinvest in the expansion...