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John A Morrison's Blog (194)

'Point in Time' versus 'Through the Cycle'

Point in Time (PiT) v Through the Cycle (TTC)

There used to be an argument about this; its clear to me now that this is more than an arithmetic conundrum about Ratings and RWAs its a philosophical matter applicable to wider aspects of life & thus any arguments for PiT are just lazy and myopic. Here are some good recent references; I have selected recent papers since the debate has evolved towards a conclusion since it first developed 2 or so years ago. The game has…

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Added by John A Morrison on January 19, 2012 at 5:17am — No Comments

2 papers: Latest Thinking: Rational Expectations, Anchoring Effects / New Micro foundations of RE

 

I have become interested in the new micro-economic foundations of Macro - Rational Expectations Economics (in the context of irrational macro-policy design, particularly visible in the EuroZone); here are two interesting papers from one seminar at Warwick, link below abstracts ..

 

FIRST PAPER

 

A MODEL OF REFERENCE-DEPENDENT PREFERENCES

 

*BOTOND KO˝SZEGI AND MATTHEW RABIN

 

ABSTRACT: We develop a model of…

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Added by John A Morrison on November 14, 2011 at 9:30am — No Comments

Why White, Not Keynes? Inventing the Post-War International Monetary System

 

Why White, Not Keynes? Inventing the Post-War International Monetary System



Boughton, James M.
Summary: The international monetary system is largely the product of negotiations during World War II between…
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Added by John A Morrison on November 9, 2011 at 12:12am — 1 Comment

Nobel Prize in Economics 2011 for Sargent & Sims (RE & VAR) - very pertinent to now

 

my LinkedIn List

 

Nobel Prize in Economics 2011 for Sargent & Sims (RE & VAR) - very pertinent to now

 

http://lnkd.in/rRDp_V

 

 

 

Added by John A Morrison on October 19, 2011 at 7:00am — No Comments

How Long Do Housing Cycles Last?

 

How Long Do Housing Cycles Last? A Duration Analysis for 19 OECD Countries 

 

Philippe Bracke

 

IMF Working Paper Research Department

 

http://www.imf.org/external/pubs/ft/wp/2011/wp11231.pdf

 

referred via

Constantin Gurdgiev…

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Added by John A Morrison on October 4, 2011 at 12:33am — No Comments

Economics in the Next Ten Years?

 

 

economicprincipals.com banner

 

Economics in the Next Ten Years?

A young economist, or an economics journalist interested in what the young are working on, could do a lot worse than reading through, as I did the other day, …

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Added by John A Morrison on October 3, 2011 at 10:42pm — No Comments

Trading Around the Clock: Global Securities Markets and Information Technology

 

 

Trading Around the Clock: Global Securities Markets and Information Technology

July 1990

 

U.S. Congress, Office of Technology Assessment, Trading Around the Clock: Global

Securities Markets and Information Technology--Background Paper, OTA-BP-W-66

(Washington, DC: U.S. Government Printing Office, July 1990).

 …

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Added by John A Morrison on September 23, 2011 at 9:00pm — No Comments

Evaluating Enterprise Risk in a Complex Environment

 

 

Evaluating Enterprise Risk in a Complex Environment

 

Ivan De Noni, Luigi Orsi, Luciano Pilotti

University of Milan, DEAS, Milan, Italy; University of Padua, Padua, Italy.



ABSTRACT

This paper examines the relationship between operational risk management and knowledge learning process, with an emphasis on establishing the importance of statistical and mathematical approach on organizational capability to forecast, mitigate and control…

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Added by John A Morrison on September 23, 2011 at 12:51am — No Comments

Pierre François Verhulst EPISTEMIC HEURISTICS

The Logistic Map and the Route to Chaos

http://www.springer.com/physics/complexity/book/978-3-540-28366-9

 

One dimensional maps and a route to chaos…

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Added by John A Morrison on September 22, 2011 at 1:00am — 1 Comment

Macroeconomic Effects of Bank Lending Supply Shocks

 

 

 

Identifying the Macroeconomic Effects of Bank Lending Supply Shocks
William F. Bassett Mary Beth Chosak John C. Driscoll Egon Zakrajsek
Federal Reserve Board
January 2011

 

http://kcfed.org/publicat/events/research/2011DayAhead/13Driscoll.pdf

Added by John A Morrison on September 5, 2011 at 9:00pm — No Comments

Macroeconomic Effects of Unconventional Monetary Policy

 

 

Macroeconomic Effects of Unconventional Monetary Policy
Gert Peersman
Ghent University

 

http://www.ecb.int/events/conferences/shared/pdf/macroecimp/Peersman.pdf?220a9667836febdd90e285d35a19382e

Added by John A Morrison on September 5, 2011 at 8:34pm — No Comments

The Transmission (Mechanism) of Euro Area Monetary Shocks

 

 

The Transmission of Euro Area Monetary Shocks to the Czech Republic, Poland and Hungary:

Evidence from a FAVAR Model

 

Konstantins Benkovskis,

Andrejs Bessonovs,

Martin Feldkircher,

Julia Wörz

 

We analyze the effects of euro area monetary policy on three Central and Eastern European non-euro area EU countries: the Czech Republic, Poland and Hungary. We employ an open economy version of the factor-augmented vector…

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Added by John A Morrison on September 5, 2011 at 8:28pm — No Comments

Model Risk: Model Validation: theory, practice and perspectives

 

Zeliade White Paper March, 2010

Zeliade Systems

 

In July of 2009, the Basel Committee on Banking Supervision issued a directive requiring that financial institutions quantify model risk. The Committee further stated that two types of risks should be taken into account: “The model risk associated with using a possibly incorrect valuation, and the risk associated with using unobservable calibration parameters”. The resulting adjustments must impact Tier I regulatory…

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Added by John A Morrison on February 20, 2011 at 5:42am — No Comments

International capital flows and the returns to safe assets in the United States 2003-2007

 

by

 

BEN S. BERNANKE Chairman Federal Reserve System

 

NB: Carol Bertaut, Section Chief, Laurie Pounder DeMarco, Economist, and Steven Kamin, Deputy Director, Division of International Finance, Board of Governors of the Federal Reserve System, co-authored this paper with Chairman Bernanke.

 

A B S T R A C T

 

A broad array of domestic institutional factors – including problems with the originate-to-distribute model for mortgage…

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Added by John A Morrison on February 19, 2011 at 10:22pm — No Comments

Probabilistic Principal Component Analysis

 

by Michael E. Tipping & Christopher M. Bishop

Microsoft Research

 

Abstract



Principal component analysis (PCA) is a ubiquitous technique for data analysis and processing, but one which is not based upon a probability model. In this paper we demonstrate how the principal axes of a set of observed data vectors may be determined through maximum-likelihood estimation of parameters in a latent variable model closely related to factor analysis. We…

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Added by John A Morrison on February 15, 2011 at 1:00am — 1 Comment

ECONOMIC IDEAS IN THE GREAT RECESSION

JOHANNES LINDVALL, UNIVERSITY OF OXFORD

 

http://www.princeton.edu/~piirs/projects/Lindvall%20paper%20Econ%20Ideas%20and%20Crisis.pdf

 

 

Added by John A Morrison on January 2, 2011 at 1:06am — No Comments

SUPPLEMENT TO “SOLVING THE FELDSTEIN–HORIOKA PUZZLE"

(Econometrica, Vol. 78, No. 2, March 2010, 603–632)
BY YAN BAI AND JING ZHANG

http://www.econometricsociety.org/ecta/Supmat/6619_extensions.pdf

Solving the Feldstein-Horioka Puzzle with Financial Frictions

http://www-personal.umich.edu/~jzhang/papers/Bai_Zhang_FHPaper.pdf

Added by John A Morrison on January 1, 2011 at 10:30pm — 2 Comments

Private Equity, Buy-outs, Leverage and Failure

Nick Wilson

Credit Management Research Centre

Leeds University Business School

 

Mike Wright

Centre for Management Buy-out Research

Nottingham University Business School

 

Ali Altanlar

Centre for Credit Management Research

Leeds University Business School

 

This draft May 19th, 2010

 

Abstract

We study the determinants of failure, defined as entering the bankruptcy process, in a unique dataset comprising the…

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Added by John A Morrison on December 31, 2010 at 12:24am — No Comments

The Unsentimental Case for the Long View in Evaluating Returns

 

Is Patience a Virtue?

The Unsentimental Case for the Long View in Evaluating Returns

David L. Donoho, Robert A. Crenian, and Matthew H. Scanlan

Renaissance

 

Are investors too impatient with their underperforming managers? Would they benefit from a longer time horizon in making manager hiring and firing decisions? Or, on the contrary, are they too patient? We observe that decision makers – plan CIOs, investment committees, and staff are becoming less…

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Added by John A Morrison on December 30, 2010 at 11:25pm — No Comments

ASYMPTOTICS FOR PRICING ASIAN OPTIONS



THE HARTMAN-WATSON DISTRIBUTION REVISITED



by



STEFAN GERHOLD



Abstract.



Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This re-finement can be applied to the pricing of Asian options in the Black-Scholes model.…



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Added by John A Morrison on December 7, 2010 at 5:01am — No Comments

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