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Non-bank dealing and liquidity bifurcation in fixed-income markets
Brolley, Michael; Cimon, David A. - 2025
Non-bank financial institutions, such as principal-trading firms and hedge funds, increasingly compete with bank-owned dealers in fixed-income markets. Some market participants worry that if non-bank financial institutions push out established bank dealers, liquidity will become unreliable...
Persistent link: https://www.econbiz.de/10015209798
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Differentiable, filter free Bayesian estimation of DSGE models using mixture density networks
Naubert, Christopher - 2025
I develop a methodology for Bayesian estimation of globally solved, non-linear macroeconomic models. A novel feature of my method is the use of a mixture density network to approximate the distribution of initial states. I use the methodology to estimate a medium-scale, two-agent New Keynesian...
Persistent link: https://www.econbiz.de/10015209827
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Quantum Monte Carlo for economics: Stress testing and macroeconomic deep learning
Skavysh, Vladimir; Priazhkina, Sofia; Guala, Diego; … - 2022
Computational methods both open the frontiers of economic analysis and serve as a bottleneck in what can be achieved. Using the quantum Monte Carlo (QMC) algorithm, we are the first to study whether quantum computing can improve the run time of economic applications and challenges in doing so....
Persistent link: https://www.econbiz.de/10013396512
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Cyber security and ransomware in financial markets
Ahnert, Toni; Brolley, Michael; Cimon, David; Riordan, Ryan - 2022
Financial markets face the constant threat of cyber attacks. We develop a principal-agent model of cyber-attacking with fee-paying clients who delegate security decisions to financial platforms. We derive testable implications about clients' vulnerability to cyber attacks and about the fees...
Persistent link: https://www.econbiz.de/10013396515
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Windfall income shocks with finite planning horizons
Boutros, Michael - 2022
How do households respond to unanticipated income shocks? I build and estimate a quantitative model of bounded rationality in which reoptimization is costly. Households respond to windfall income shocks by choosing a finite planning horizon over which to reoptimize. The optimal horizon is...
Persistent link: https://www.econbiz.de/10014304187
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Looking through supply shocks versus controlling inflation expectations: Understanding the Central Bank dilemma
Beaudry, Paul; Carter, Thomas J.; Lahiri, Amartya - 2022
aiming to anchor drifting inflation expectations. Why might central banks want to look through supply-driven inflation … sometimes and pivot away at other times? When does a change in monetary policy stance help anchor expectations? When is a strong …
Persistent link: https://www.econbiz.de/10014304188
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Behavioral learning equilibria in New Keynesian models
Hommes, Cars H.; Mavromatis, Kostas; Özden, Tolga; Zhu, Mei - 2022
Wouters (2007) model. A horse race between rational expectations equilibrium (REE), BLE and constant gain learning models …-term survey data on inflation expectations are considered in the estimation. As a policy application, we show that optimal Taylor … rules under AR(1) expectations inherit history dependence, requiring a lower degree of interest rate smoothing than REE. …
Persistent link: https://www.econbiz.de/10014304189
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Are working hours complements in production?
Shao, Lin; Sohail, Faisal; Yurdagul, Emircan - 2022
This paper uses Canadian matched employer-employee data to show that working hours are gross complements in production rather than perfect substitutes, as is typically assumed. We exploit within-establishment and individual-level variation in hours and wages to document novel evidence consistent...
Persistent link: https://www.econbiz.de/10014304194
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Borrow now, pay even later: A quantitative analysis of student debt payment plans
Boutros, Michael; Clara, Nuno; Gomes, Francisco J. - 2023
In the United States, student debt currently represents the second largest component of consumer debt, just after mortgage loans. Repayment of those loans reduces disposable income early in the borrower's lifecycle, when marginal utility is particularly high, and limits their ability to build a...
Persistent link: https://www.econbiz.de/10014544427
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International economic sanctions and third-country effects
Ghironi, Fabio; Kim, Daisoon; Ozhan, G. Kemal - 2023
This paper studies international trade and macroeconomic dynamics triggered by economic sanctions, and the associated welfare losses, in a calibrated, three-country model of the world economy. We assume that there are two production sectors in each country, and the sanctioned country has a...
Persistent link: https://www.econbiz.de/10014544429