Based on intraday data for a large cross-section of individual stocks and Exchange traded funds, we show that short-term as well as long-term fluctuations of realized market and average idiosyncratic higher moments risks are priced in the crosssectionof asset returns. Specifically, we find that...

Monetary policy and fiscal dynamics are inexorably linked. When a government faces the risk of getting caught in a high debt trap, debt monetization may become an appealing option. However, independent central banks may be able to allay debt concerns without compromising price stability. One...

This paper discusses what is longevity risk, why it is important, approaches used by the West to manage longevity risk and what lessons can be learnt by Asian countries from the experiences of the West. Increasing and uncertain longevity has emerged as a key risk affecting individuals, pension...

COVID-19 and the lockdowns have had a big global economic effect, as well as increasing mortality. We examine the effects of COVID-19 and the resulting relaxations of pension regulations on pension schemes. Those who transfer their pension or withdraw cash from their pension pot while asset...

This paper provides a critical appraisal of the March 2020 crisis in fixed income markets. We synthesize the main events, characterize what appears to be an emerging consensus on what caused the market breakdowns, summarize how the Fed’s actions contributed to its resolution, and discuss...

The impact of COVID-19, due to the wide-spread demand and supply destruction and downward movement of crude oil prices is of concern for all those connected with the oil and gas industry. In this study, an attempt has been made to estimate the price volatility of crude oil and natural gas listed...

We construct a novel database of monthly foreign exchange interventions for 49 countriesover up to 22 years. We build on a text classification approach that extracts informationabout interventions from news articles and calibrate our procedure to data about actualinterventions. This new dataset...

The study aims to revisit some of the macroeconomic issues related to Hungary's eurozone-accession. The government postponed euro-adoption until 2020 without any explanation, which is one of the motivations of our analysis. We review the arguments formulated in 2000-2004 regarding the adoption...

There are many issues associated with the Eurozone accession of Poland. The goal of this paper is to analyse one, but very important aspect, namely – the macroeconomic impact of the loss of autonomous monetary policy. In order to answer this question, we build a two country DSGE model with...