We propose the use of a new option which we call quadratic, and that central banks could use to smooth exchange rate volatility through the hedging strategies of the issuers. We derive analytic pricing and hedging formulas. We suggest a criterion to derive the optimal (for the Central Bank)...

This paper elucidates the data sources and data preparation procedures used in developing the sectoral environmental data of the US. The database described in this paper interlinks (1) Input-Output Table (IOT), (2) environmental emission and resources use statistics, and (3) characterization...

<section xml:id="fut21618-sec-0001"> This study proposes a new estimation approach for option valuation (an implied pricing kernel‐based approach), which estimates model parameters under the physical probability measure (P‐measure) using a pricing kernel implied by the GARCH option pricing model. Analyzing the dataset on the...</section>

This paper proposes a simple method that employs credit default swap (CDS) data for analyzing systemic risk. The proposed method overcomes inconsistency problems in existing methods and can produce various indicators of systemic risk in a consistent manner. In addition, this method can measure...

Commonly used asset pricing models do not successfully account for both time-series and cross-sectional variations of asset returns. In this article, we propose a new method for forming pricing factors that are intended to capture the time-series as well as the cross-sectional variations. The...

This year marks the 25th anniversary of the International Input--Output Association and the 25th volume of <italic>Economic Systems Research</italic>. To celebrate this anniversary, a group of eight experts provide their views on the future of input--output. Looking forward, they foresee progress in terms of...

This paper analyzes gasoline consumption in Japan for the period 2000–2007 using the index decomposition analysis (IDA). The changes in gasoline consumption in Japan were attributed to five factors: (1) change in the annual average driving distance of new and vintage cars, (2) change in the...

This paper proposes new measures of financial contagion, as observed during the recent Eurozone sovereign debt crisis. The new measures, referred to as contagion Value-at-Risk and contagion Expected Shortfall, are based on popular risk exposure measures and therefore can provide useful practical...