Segregation with Social Linkages: Evaluating Schelling's Model with Networked...
This paper generalizes the original Schelling (1969, 1971a,b, 2006) model of racial and residential segregation to a context of variable externalities due to social linkages. In a setting in which...
View ArticleChina's First Workforce Skill Taxonomy. (arXiv:2001.02863v1 [econ.GN])
China is the world's second largest economy. After four decades of economic miracles, China's economy is transitioning into an advanced, knowledge-based economy. Yet, we still lack a detailed...
View ArticleInstitutions and China's comparative development. (arXiv:2001.02804v1 [econ.GN])
Robust assessment of the institutionalist account of comparative development is hampered by problems of omitted variable bias and reverse causation, since institutional quality is not randomly assigned...
View ArticleIf the Prospect of Some Occupations Are Stagnating With Technological...
Two distinct trends can prove the existence of technological unemployment in the US. First, there are more open jobs than the number of unemployed persons looking for a job, and second, the shift of...
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There is a ‘good’ reason for EU banks to hold their own...
Is it possible to attribute the banksâ home bias in sovereign exposure to something beyond their externally-imposed (such as moral suasion) or internally-distorted (such as risk-shifting)...
View ArticleThe CAPE Ratio and Machine Learning
Professor Robert Shiller's work and his famous CAPE (cyclically-adjusted price-to-earnings) ratio is well known among the investment community. His methodology for assessing a valuation of the U.S....
View ArticleNew mathematical and statistical methods for actuarial science and finance
Volume 26, Issue 2-3, January - February 2020, Page 96-99.
View ArticleFlights to Safety
AbstractWe identify flight-to-safety (FTS) days for twenty-three countries using only stock and bond returns and a model averaging approach. FTS days comprise less than 2% of the sample and are...
View ArticleFinancial Frictions and the Great Productivity Slowdown
AbstractWe study the role of financial frictions for productivity. Using a rich cross-country firm-level data, we exploit variation in preexisting exposure to the 2008 global financial crisis to study...
View ArticleOver-the-Counter versus Limit-Order Markets: The Role of Traders’...
AbstractOver-the-counter (OTC) markets attract substantial trading volume despite exhibiting frictions absent in centralized limit-order markets. We compare the efficiency of OTC and limit-order...
View ArticleThe Limits of Lending? Banks and Technology Adoption across Russia
AbstractWe exploit historically determined variation in local credit markets to identify the impact of bank lending on innovation across Russian firms. We find that deeper credit markets increase...
View ArticleBanks’ Balance Sheets and Liquidation Values: Evidence from Real Estate...
AbstractThis paper finds that declining bank equity or liquidity reduces liquidation values of bank-owned real estate and accelerates the pace of asset sales. Buyers of these assets earn significant...
View ArticleCareer Risk and Market Discipline in Asset Management
AbstractWe establish that the labor market helps discipline asset managers via the impact of fund liquidations on their careers. Using hand-collected data on 1,948 professionals, we find that top...
View ArticleDynamic Asset Sales with a Feedback Effect
AbstractI analyze a dynamic model of over-the-counter asset sales in which the seller receives stock-sensitive compensation, and the transaction conveys information about the firmâs value. I examine...
View ArticleFinancial Literacy Externalities
AbstractWe use unique administrative data and a quasi-field experiment of exogenous allocation in Sweden to estimate medium- and longer-run effects of peoplesâ exposure to financially literate...
View ArticleResiliency and Stock Returns
AbstractWe present resiliency as a measure of liquidity and assess its relationship to expected returns. We establish a covariance-based measure, RES, that captures opening period resiliency, and use...
View ArticleGovernment as Customer of Last Resort: The Stabilizing Effects of Government...
AbstractI document a beneficial effect of the governmentâs participation in product markets. Exploiting the 2008â2009 financial crisis as a natural experiment, I show that federal procurement...
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