State‐Dependent Forward Guidance and the Problem of Inconsistent Announcements

Forward guidance can be provided as an unconditional promise, i.e. commitment to a specific low policy rate. Alternatively, the promise may include an escape clause, i.e. a condition defining the state of the economy under which the central bank would not keep such a low rate and, instead, it would revert to setting policy under discretion. The escape clause can be expressed as a threshold in terms of a specific variable. The present paper shows that, when such a threshold is expressed in terms of an endogenous variable (e.g. output, inflation), there are cases where it becomes impossible for the central bank to act in a way that is consistent with its promise. Consistency imposes limits on the policy rate that can be set since reverting immediately to the optimal discretionary rate can be incompatible with exceeding the threshold.     

Investigating the diversifying or hedging nexus of cannabis cryptocurrencies with major digital currencies

Decisions in Economics and Finance - This paper sets out to explore the nexus between cryptocurrencies connected to cannabis production and the three highest capitalization digital currencies....     

An Ethical Inquiry of the Effect of Cockpit Automation on the Responsibilities of Airline Pilots: Dissonance or Meaningful Control?

Journal of Business Ethics - Airline pilots are attributed ultimate responsibility and final authority over their aircraft to ensure the safety and well-being of all its occupants. Yet, with the...     

A new take on voice: the influence of BlackRock’s ‘Dear CEO’ letters

Review of Accounting Studies - Abstract We examine whether broad-based public engagement by institutional investors influences the behavior of portfolio firms. We investigate this question in the...     

Analytical approximations of local‐Heston volatility model and error analysis

This paper studies the expansion of an option price (with bounded Lipschitz payoff) in a stochastic volatility model including a local volatility component. The stochastic volatility is a square root process, which is widely used for modeling the behavior of the variance process (Heston model). The local volatility part is of general form, requiring only appropriate growth and boundedness assumptions. We rigorously establish tight error estimates of our expansions, using Malliavin calculus. The error analysis, which requires a careful treatment because of the lack of weak differentiability of the model, is interesting on its own. Moreover, in the particular case of call–put options, we also provide expansions of the Black–Scholes implied volatility that allow to obtain very simple formulas that are fast to compute compared to the Monte Carlo approach and maintain a very competitive accuracy.     

Who do you care about? Scientists’ personality traits and perceived impact on beneficiaries

We investigate the roots of scientists' perceptions of the impact of their work by examining stable psychological characteristics such as personality traits. An analysis of personality traits highlights the effects of policies related to gender equality, allocation of research time and skills acquisition. It improves our understanding of the conflicts related to scientists’ perceptions of the impact of their research on beneficiaries. For example, conscientiousness increases the perceived impact on clinical beneficiaries, but reduces the perceived impact on industrial beneficiaries. Organizational scientific freedom increases the effects of personality traits on perceived impact on beneficiaries such that scientists affiliated to a university are less likely than colleagues working in other research settings to perceive the simultaneous impact of their work on both industrial and clinical beneficiaries.     

Cultural Baggage: Do Immigrants Import Corruption?

Do immigrants undermine culture in a way that destroys productivity in destination countries? Some scholars have argued that because immigrants come from countries with dysfunctional social capital—norms and institutions—they will import it and pollute the social capital in destination countries. One potential channel through which this could occur is corruption. We examine stocks and flows of immigrants over a 20‐year time period to see if corruption increased in destination countries. We generally find that immigration is not associated with increases in corruption. Additionally, we find that immigration tends to decrease corruption in destination countries with low levels of corruption or high levels of economic freedom.     

Time series copulas for heteroskedastic data

We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We suggest copulas for first‐order Markov series, and then extend them to higher orders and multivariate series. We derive the copula of a volatility proxy, based on which we propose new measures of volatility dependence, including co‐movement and spillover in multivariate series. In general, these depend upon the marginal distributions of the series. Using exchange rate returns, we show that the resulting copula models can capture their marginal distributions more accurately than univariate and multivariate generalized autoregressive conditional heteroskedasticity models, and produce more accurate value‐at‐risk forecasts.