In this paper, we present a forecasting model of bank failures based on machine-learning. The proposed methodology defines a linear decision boundary separating the solvent from the failed banks. This setup generates a novel alternative stress testing tool. Our sample of 1443 U.S. banks includes...

We test the validity of Purchasing Power Parity theory, examining the Real Exchange Rate of 23 OECD countries for mean-reversion. In doing so, we estimate the Hurst exponent which is a well-established estimator of long memory in time series analysis. The innovation of our approach is that we...

In this paper, we study the effect of macroeconomic shocks in the determination of house prices. Focusing on the U.S. and the U.K. housing market, we employ time-varying Vector Autoregression models using Bayesian methods covering the periods of 1830-2016 and 1845-2016 respectively. We consider...