The Household Finance and Consumption Survey (HFCS) provides valuable information for the monetary policy and financial stability purposes. The dataset shows, however, inconsistencies with National Account (NtlA) statistics, as the aggregated HFCS micro data do usually not match the...

We investigate pairwise stochastic comparisons of stationary solutions to the linear recurrence 𝑋𝑡+1=𝐴𝑡𝑋𝑡+𝐵𝑡 , where 𝐴𝑡 and 𝐵𝑡 are non-negative random variables. We establish novel order-preserving properties, which enable us to obtain comparison theorems...

In the real world many social and economic decisions have to be made with imperfect information and uncertainty. In the past two decades, economists and mathematicians have devoted a great deal of time and effort into the study of ambiguity and much progress has been made in modeling ambiguity....

We derive sufficient conditions for non-emptyness of the efficient set for Stochastic Dominance Relations, commonly applied in Economics and Finance, over sets of distributions on the real line. We do so via the use of the concept of stochastic spanning and its characterization via a saddle type...

This paper, following Kaldor's approach, is written with the intention of interpreting fluctuations of economic systems (i.e trade cycles). In particular, a new discretized Kaldor model is proposed, which is also useful to explain what appears to be random and unpredictable, such as economic...

In terms of regulatory and economic capital, credit risk is the most significant risk faced by banks. We implement a credit risk model - based on publicly available information . with the aim of developing a tool to monitor credit risk in a sample of large and complex banking groups (LCBGs) in...

We consider a neoclassical growth model with quasi-hyperbolic discounting under Kantian optimization: each temporal self acts in a way that they would like every future self to act. We introduce the notion of a Kantian policy as an outcome of Kantian optimization in a given class of policies. We...

The shift from centralized to decentralized energy provision has created an opportunity for a wide range of distributed energy resources. In deciding how to best serve their long-term energy needs, end consumers face a plethora of investment options together with complex regulatory instruments...

The computational time required to solve and estimate dynamic economic models is one of the main constraints in empirical research. The Endogenous Grid Method (EGM) proposed by Carroll (2006) is known to offer impressive speed gains over more traditional stochastic dynamic programming methods,...