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- Asset-Trading Framework (1)
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- Deleveraging (1)
- Economic Machine (1)
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Articles 1 - 4 of 4
Full-Text Articles in Macroeconomics
International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll
International Welfare Spillovers Of National Pension Schemes, James Staveley-O'Carroll, Olena Staveley-O'Carroll
Economics Department Working Papers
We employ a two-country overlapping-generations model to explore the international dimension of household portfolio choices induced by the asymmetric provision of government-run pensions. We study the resulting patterns of risk-sharing and the corresponding welfare effects on both home and foreign agents. Introducing the defined benefits pay-as-you-go system at home increases the welfare of all other agents at the expense of the home workers and improves the degree of intergenerational risk sharing abroad. Conversely, a defined contributions system leads to welfare losses of both home cohorts accompanied by gains abroad, but does increase the extent of intergenerational risk sharing at home.
Modeling The Economic Machine Using Bayesian Inference And Statistical Networks, And Optimal Portfolio Construction Using Operations Research, Richard Yang
ENGS 88 Honors Thesis (AB Students)
In this paper, we propose a network-based model to attempt to connect modern macroeconomic theory with real world economic observations and trends. We find that by extending macroeconomic theory with credit leveraging/deleveraging thresholds, we are able to explain economic cycles in addition to long-term growth. Furthermore, we specifically explore the growth-inflation view of the macro economy as a basis for optimal portfolio construction and efficient asset trading. Connecting our network-based macroeconomic model and our optimal portfolio construction algorithm, we create a novel macroeconomic asset-trading framework.
Regulations, Governance, And Resolution Of Non-Performing Loan: Evidence From An Emerging Economy, Abu S. Amin, Mahmood Osman Iman, Mahfuja Malik
Regulations, Governance, And Resolution Of Non-Performing Loan: Evidence From An Emerging Economy, Abu S. Amin, Mahmood Osman Iman, Mahfuja Malik
WCBT Faculty Publications
How do banks resolve a severe bad loan problem in a capital-constrained, low-income economy when a government bailout is not an option? We address this question by examining new evidence from a sharp decline in bad loan ratios in a panel of conventional commercial banks in Bangladesh. On the aggregate level, the bad loan ratio in this market has dropped from 41% in 1999 to only 10% in 2012. We find that at a micro level, this dramatic improvement is associated with bank management quality and internal governance that were substantially enhanced during a decade of large-scale regulatory reforms. The …
Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An Ms-Var Approach, Süleyman Hilmi Kal, Ilhami Gunduz
Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An Ms-Var Approach, Süleyman Hilmi Kal, Ilhami Gunduz
Publications and Research
This paper studies whether dynamic relationship between exchange rate and economic and financial fundamentals vary depending on exchange rate is overvalued and undervalued with respect to its fundamental value. To achieve this, we implement two-state Markov Switching Vector Auto Regression (MSVAR) model with time varying transition probabilities to investigate whether the relationship among exchange rate, interest rate and inflation dynamics depend on overvaluation and undervaluation of exchange rates for the pre-crises period between years 1972-2009. We govern the transition between the undervalued and overvalued states by using Sharpe Ratios of debt and equity investments of the currency to assess whether …