Global Macro Risks in Currency Excess Returns -- by Kimberly A. Berg, Nelson...
We study the cross-sectional variation of carry-trade-generated currency excess returns in terms of their exposure to global macroeconomic fundamental risk. The risk factor is the cross-country...
View ArticleThree Ways Leaders Can Build Trust
I was asked a very important question today during a presentation to a group of senior finance executives from a wide array of Fortune 500 companies. One person asked, "How does a leader build trust?...
View ArticleWeekly Top 5 Papers – September 11th 2017
1. A Brief Introduction to the Basics of Game Theory by Matthew O. Jackson (Stanford University – Department of Economics; Santa Fe Institute; Canadian Institute for Advanced Research (CIFAR))read...
View ArticleAdditive energy forward curves in a Heath-Jarrow-Morton framework....
One of the peculiarities of power and gas markets is the delivery mechanism of forward contracts. The seller of a futures contract commits to deliver, say, power, over a certain period, while the...
View ArticlePredictive Modeling: An Optimized and Dynamic Solution Framework for...
This paper defines systematic value investing as an empirical optimization problem. Predictive modeling is introduced as a systematic value investing methodology with dynamic and optimization features....
View ArticleSampling of probability measures in the convex order and approximation of...
Motivated by the approximation of Martingale Optimal Transport problems, we study sampling methods preserving the convex order for two probability measures $\mu$ and $\nu$ on $\mathbb{R}^d$, with $\nu$...
View ArticleEconomic Complexity: "Buttarla in caciara" vs a constructive...
This note is a contribution to the debate about the optimal algorithm for Economic Complexity that recently appeared on ArXiv [1, 2] . The authors of [2] eventually agree that the ECI+ algorithm [1]...
View ArticleOptimal Inflation Target: Insights from an Agent-Based Model....
Which level of inflation should Central Banks be targeting? We investigate this issue in the context of a simplified Agent Based Model of the economy. Depending on the value of the parameters that...
View ArticleBusiness, Innovation and Responsibility
Responsible Innovation. For some, this expression is only an oxymoron or, worse, a means of masking with a sheet of virtue economic practices that would otherwise appear selfish and self-interested....
View ArticleInnovation and Production Ecosystems
“We do not know where Silicon Valley is really located”, Feldman writes, because these types of organization, when they are dynamic, are moving and fluid.read more...
View ArticleGeneral Equilibrium Effects of (Improving) Public Employment Programs:...
Public employment programs play a large role in many developing countries' anti-poverty strategies, but their net impact on the incomes of the poor will depend on both direct program earnings as well...
View ArticleKeynesian Economics without the Phillips Curve -- by Roger E.A. Farmer,...
We extend Farmer's (2012b) Monetary (FM) Model in three ways. First, we derive an analog of the Taylor Principle and we show that it fails in U.S. data. Second, we use the fact that the model displays...
View ArticleMacro Needs Micro -- by Fabio Ghironi
An emerging consensus on the future of macroeconomics views the incorporation of a role for financial intermediation, labor market frictions, and household heterogeneity in the presence of uninsurable...
View ArticleDefault Risk, Sectoral Reallocation, and Persistent Recessions -- by Cristina...
Sovereign debt crises are associated with large and persistent declines in economic activity, disproportionately so for nontradable sectors. This paper documents this pattern using Spanish data and...
View ArticleToo Much of a Good Thing? Exporters, Multiproduct Firms and Labor Market...
International trade is primarily conducted by large, multiproduct firms (MPFs) that pay above average wages and exhibit high productivity. In this paper we show that if firms can invest in management...
View ArticleThe Economic Implications of Housing Supply -- by Edward Glaeser, Joseph Gyourko
In this essay, we review the basic economics of housing supply and the functioning of US housing markets to better understand the distribution of home prices, household wealth and the spatial...
View ArticleAre CEOs Different? Characteristics of Top Managers -- by Steven N. Kaplan,...
We use a dataset of over 2,600 executive assessments to study thirty individual characteristics of candidates for top executive positions - CEO, CFO, COO and others. We classify the thirty candidate...
View ArticleOptimal Financing for R&D-Intensive Firms -- by Richard T. Thakor, Andrew...
We develop a theory of optimal financing for R&D-intensive firms that uses their unique features--large capital outlays, long gestation periods, high upside, and low probabilities of R&D...
View ArticleNegative Bubbles: What Happens After a Crash -- by William N. Goetzmann,...
We study crashes using data from 101 global stock markets from 1698 to 2015. Extremely large, annual stock market declines are typically followed by positive returns. This is not true for smaller...
View ArticleHow Efficient is Dynamic Competition? The Case of Price as Investment -- by...
We study industries where the price that a firm sets serves as an investment into lower cost or higher demand. We assess the welfare implications of the ensuing competition for the market using...
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