• Hull-White calibration for swaptions using neural networks

  Alvarez Avamilano, Hugo; Sacchi Córdova, Riccardo; Señaris, Tomás (2022-06)

  The purpose of this project is to calibrate the Hull-White model using data on at-the-money payer swaptions and Artificial Neural Networks (ANN) for 100 different combinations of expiries (T0) and tenors (Tn – T0). The ...
• Import price inflation following the 2021 Suez canal blockage: (for)ever given or transitory?

  Bernius, Nikolaus; Brüster, Gabriel; Robertson, William; Stefko, Brenton-Jan; Steinwender, Christian (2022)

  Our study uses an arguably exogenous supply chain shock generated by the March 2021 blockage of the Suez Canal to analyze contributions to import price inflation and transport method substitution. Using a quasi-experimental ...
• Novel avenues for economic policy: insights from heterogeneous agents models

  Cigna, Simone; Figueiras, Isabel; Giribaldi, Antonio; Schwingeler, Franziska (2022-07-22)

  This literature review focuses on the contribution of the heterogeneous agents framework to the empirical robustness of macroeconomic models. First, we focus on the transmission of monetary policy in an economy characterized ...
• “Heavy is the head”: the effect of responsibility on delegation

  Lanjouw, Max; Lee, Yuan; Pallud, Vincent; Stern, Fritz; Ziegler, Christoph (2022)

  When deciding for themselves whether to keep or delegate a decision-making right, individuals often fail to delegate even when doing so would yield a higher expected return. However, beyond the individual decision-making ...
• Migration shocks and occupational downgrading: evidence from Venezuelan migrants in Chile

  Agarwal, Sunidhi; Ariznavarreta, Ignacio; Chamseddine, Nour; Gonçalves, Ricardo; Oliva, Ignacio (2022-07)

  The following paper examines the downgrading in job status that immigrant workers suffer when settling in a new country. We consider the massive Venezuelan exodus and the impacts this shock had on the job outcomes of ...
• A short literature review on workplace discrimination

  Grignani, Maddalena; Hsu, Wei-Liang; Liu, Jiaxun; Zherebilov, Georgii (2022-07-22)

  In this literature review, we focus on workplace discrimination with particular attention paid to the hiring process. We classified the hiring process into two stages: CV-screening and interview. Following the theoretical ...
• On the effects of sovereign debt volatility: a theoretical model

  Fernandez, Oscar; Fonseca, Sergio; Magnini, Gino; Marcelli Fabiani, Riccardo; Nobile, Claudia (2021-07-13)

  We construct a theoretical Overlapping Generations (OLG) model to describe how sovereign debt crises can propagate in the economy under certain financial constraints. When prices of bonds fall due to perceived sovereign ...
• Save the euro policy: European debt crisis and Covid-19 pandemic

  Ito, Hirotaka; Özen, Kadir (2021-07)

  2008-2009 Global Financial Crisis led to European debt crisis leaving the periphery of euro zone with very high borrowing costs compared to core countries. When Covid-19 Pandemic Crisis hit the economies, unconventional ...
• Gender gap and retirement decisions: the maternity pension supplement in Spain

  Casanova, Jorge Luis; Guias, Horia Bogdan; López, Carlos Javier; Salvanti, Andrea; Sewell, Patrick (2021-07-23)

  In line with the growing governmental efforts to reduce the gender income gap, in 2016 a retirement pension supplement for mothers of two or more children was introduced in Spain. Through an Oaxaca-Blinder decomposition ...
• The wisdom of the crowd: using ensemble machine learning techniques as an early warning indicator for systemic banking crises

  Lavagna, Gabriela; Patterson, Helena; Razmadze, Robizon (2021-07)

  We develop early warning models for systemic crises prediction using machine learning techniques on macrofinancial data for 36 countries for quarterly data spanning 1970-2013. Machine learning models outperform logistic ...
• Why is growth at risk?: the role of financial conditions in a dynamic factor approach

  Bini, Lapo; Mueck, Daniel (2021-05-30)

  In order to analyse whether financial conditions are relevant downside risk predictors for the 5% Growth at Risk conditional quantile, we propose a Dynamic Factor- GARCH Model, comparing it to the two most relevant approaches ...
• Scenario bias under IFRS 9 standards

  Ortiz de Zevallos, Alejandro (2021-06)

  IFRS 9, which changes the estimation of Loan Loss Provisions from an Incurred Loss model to an Expected Credit Loss model, entered into application in 2018. It changed the focus to a forward-looking perspective, which ...
• Industrial robots and where to find them : evidence and theory on derobotization

  Camilo, Amil; Gokalp, Doruk; Iurchenko, Daniil; Klix, Julian; Rubinoff, Jeremy (2020)

  Using firm-level data from Spain, we investigate robot abandonment, a phenomenon neglected by the literature, and find that a substantial proportion of robot adoption is non-permanent. We also find that (i) firms are most ...
• Multi-armed bandit approach to portfolio choice problem

  Ozkaya, Guneykan; Wang, Yaping (2020)

  In this paper, we combine several Multi-Armed bandit algorithms with methodologies from finance literature and apply it to portfolio choice problem. Our results show that when we combine bandit algorithms with methodologies ...
• Effects of syndication on investment performance

  Diken, Ozan; Henderson, Dominic (2020-07)

  In venture capital, two or more venture capitalists (VC) often form syndicates to participate in the same financing rounds. Historically, syndicated investments have been found to have a positive effect on the investment ...
• Does air pollution exacerbate Covid-19 symptoms? : evidence from France

  Laudi, Mattia; Massoni, Hubert; Newland, James (2020)

  Exposure to air pollution is a common cause of health conditions which worsen Covid-19 patient outcomes. Using cross-sectional count data, we investigate the effect of long-term pollution exposure (PPPP2.5) on Covid-19 ...
• Stealth trading in modern high-frequency markets

  García, Alejandro; Kelly, Thomas; Seguí, Joan (2020-07)

  Previous research has identified stealth trading by informed participants as a primary driver of price discovery in equity markets. Using two distinct empirical approaches, this paper extends the stealth trading literature ...
• The impact of the sharing economy on housing rental prices : the case of Airbnb in Barcelona

  Agustí, Marc; Ásmundsson, Magnús; Bischofberger, Christof; Llanos, Pablo de; Font, Albert; Kazarian, Lucía (2020)

  We offer a novel approach to investigate the extent to which the expansion of the sharing economy is responsible for increases in long-term rents and prices on the housing market. Using a panel of quarterly data on newly ...
• An investigation into the dynamics of the Dublin housing market : 2006-2018

  Julius, Jenna; Keely, Richard; Mascord, Joshua; Polani, Usama; Prigozhina, Daniela (2019)

  After five decades of sustained growth, the Irish housing market experienced a precipitous crash in the aftermath of the Global Financial Crisis in 2007. Our paper examines the short- and long-run dynamics between rental ...
• An empirical framework : financial globalization and threshold effects

  Flynn, Eimear; Saravia, Florencia; Cenzon, Josefina; Gupta, Nimisha; Tezel, Selena (2019)

  Is financial globalization beneficial to economies at all levels of development? Or are there certain “threshold” levels of financial, institutional and economic development a country must first attain in order to realize ...

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