Interest Rate Pegs and the Reversal Puzzle: On the Role of Anticipation
Journal of Money, Credit and Banking, EarlyView.Abstract We revisit the reversal puzzle: a counterintuitive contraction of inflation in response to an interest rate peg. We show that its occurrence is intimately related to the degree of agents' anticipation. If agents perfectly anticipate the peg, reversals occur depending on the duration of the peg.
RAFAEL GERKE +2 more
wiley +1 more source
On Measuring the Welfare Cost of Inflation
Journal of Money, Credit and Banking, EarlyView.Abstract This paper uses neoclassical monetary demand theory to measure the welfare cost of inflation. It uses the microeconomic‐ and aggregation‐theoretic approach to the demand for money, that integrates the demand for money with the demands for consumption and leisure, and provides a comparison between the consumer surplus approach based on ...
APOSTOLOS SERLETIS, LIBO XU
wiley +1 more source
Moving-Target Tracking in Airport Airside Operations Using AIMM-STUKF. [PDF]
Sensors (Basel)Gao J, Dang Y, Zhu Y, Xue W.
europepmc +1 more source
Financial Time Series Uncertainty: A Review of Probabilistic AI Applications
Journal of Economic Surveys, EarlyView.ABSTRACT Probabilistic machine learning models offer a distinct advantage over traditional deterministic approaches by quantifying both epistemic uncertainty (stemming from limited data or model knowledge) and aleatoric uncertainty (due to inherent randomness in the data), along with full distributional forecasts.
Sivert Eggen +4 more
wiley +1 more source
State and Fault Estimation for Uncertain Complex Networks Using Binary Encoding Schemes Under Switching Couplings and Deception Attacks. [PDF]
Sensors (Basel)Hou N, Chang M, Gao H, Hu Z, Bu X.
europepmc +1 more source
The Monetary Policy–Commodities Nexus: A Survey
Journal of Economic Surveys, EarlyView.ABSTRACT This survey synthesizes evidence on the bidirectional links between commodity markets and monetary policy. On the commodities‐to‐policy side, we review how shocks to energy, food, and metals pass through to inflation, inflation expectations, economic activity, and financial stability in state‐dependent ways that vary by shock type, exposure ...
Martin T. Bohl +2 more
wiley +1 more source
Early warning of regime switching in a financial time series: A heteroskedastic network model. [PDF]
PLoS OneWang L, An S, Dong Z, Dong X, Li J.
europepmc +1 more source
Journal of Economic Surveys, EarlyView.ABSTRACT There is an increased proportion of studies using quantile‐based regression methodology (QR) in economics. They offer a robust alternative to classical mean regressions, which can estimate non‐normal variables with distributional heterogeneity in the dependent variable.
Shajara Ul‐Durar +4 more
wiley +1 more source
Double event-triggered fault tolerant consensus of nonlinear heterogeneous multiagent systems under inconsistent Markov. [PDF]
Sci RepHu D, Ma J, Zang S.
europepmc +1 more source
Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice
The Journal of Finance, EarlyView.ABSTRACT We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Risk‐averse investors (relative risk aversion γ>1$\gamma > 1$) fear return persistence, while risk‐tolerant investors (0<γ<1$0<\gamma <1$) fear mean reversion, when confronting model misspecification concerns of identically and independently distributed (IID)
PASCAL J. MAENHOUT +2 more
wiley +1 more source