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A State Preference Approach to the Precautionary Demand for Money
Money Precautionary Demand
2015/9/18
Much attention has been devoted in the
literature to the transactions demand for
money and the asset demand for money.
The precautionary motive for holding cash
balances, however, is seldom analyz...
Putting Integrity into Finance:A Purely Positive Approach
Finance Ethics Theory Practice Change
2015/4/27
We summarize our new positive theory of integrity that has no normative content, and argue that there are large gains from putting integrity into finance—into both the theory and practice of finance. ...
Risk-Taking Channel of Monetary Policy: A Global Game Approach
Monetary Policy Game Approach
2014/3/18
We explore a global game model of the impact of monetary policy shocks. Risk-neutral
asset managers interact with risk-averse households in a market with a risky bond and a
floating rate money...
Competition Between Mail and Electronic Substitutes in the Financial Sector A Hotelling Approach
Competition Between Mail Electronic Substitutes Financial Sector A Hotelling Approach
2013/7/24
Competition Between Mail and Electronic Substitutes in the Financial Sector A Hotelling Approach。
Real Output Costs of Financial Crises: A Loss Distribution Approach
Real Output Costs Financial Crises Loss Distribution Approach Risk Management
2012/3/2
The adverse effects of financial crises in terms of output losses or output growth below its potential can be treated like losses from catastrophic events which have a low likelihood but a large impac...
Explaining the Reform of Banking Supervision in Europe: An Integrative Approach
National frameworks banking financial supervision various European countries international and EU factors
2011/9/28
National frameworks for banking and, more generally, financial supervision in various European countries have undergone significant changes in the last decade or so. What explains these supervisory re...
Competition policy and the crisis—the Commission's approach to banking and beyond
importance maintaining government policies regulate the level of competition the global financial crisis
2011/9/27
This article discusses the importance of maintaining government policies to regulate the level of competition in Europe. It highlights the global financial crisis in September 2008 which occurred afte...
Credit scoring using an Ant mining approach
ant colony systems classification Credit scoring feature selection rule extraction
2011/8/26
Credit scoring or credit risk assessment is a domain of major importance for financial institutions. Accurate predictions can lead to significant savings for the institutions. In the current work we e...
Assessing Credit Quality from the Equity Market: Can a Structural Approach Forecast Credit Ratings?
Credit rating default probability distance-to-default structural credit risk model Cote de crédit
2011/8/22
We investigate the empirical performance of default probability prediction based on Merton's (1974) structural credit risk model. More specifically, we study if distance-to-default is a sufficient sta...
Fiscal policy in the monetary theory of production: an alternative to the "new consensus" approach
fiscal policy monetary theory of production new consensus
2011/8/21
This paper provides an alternative view to the new consensus approach, from the standpoint of the monetary theory of production. It is shown that output growth is demand driven, so that fiscal policie...
Monitoring financial stability: A financial conditions index approach
financial stability financial conditions economic conditions financial markets
2011/8/21
The authors highlights the monitoring financial stability through financial conditions index approach in the U.S. The authors cite that monitoring financial stability requires understanding on how tra...
We consider a structural model for the estimation of credit risk based on Merton's original model. By using Random-Matrix theory we demonstrate analytically that the presence of correlations severely ...
Stable-1/2 Bridges and Insurance: a Bayesian approach to non-life reserving
Stochastic reserving Bayesian updating information-based asset pricing
2010/10/20
We develop a non-life reserving model using a stable-1/2 random bridge to simulate the accumulation of paid claims, allowing for an arbitrary choice of a priori distribution for the ultimate loss. Tak...
An algorithmic information-theoretic approach to the behaviour of financial markets
nancial markets closing price movements stock market algorithmic probability
2010/10/21
Using frequency distributions of daily closing price time series of several financial market indexes, we investigate whether the bias away from an equiprobable sequence distribution found in the data...
Statistical mechanics approach to the probability distribution of money
Statistical mechanics probability distribution of money
2010/10/21
This Chapter reviews statistical models for the probability distribution of money developed in the econophysics literature since the late 1990s. In these models, economic transactions are modeled as r...