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Complex financial networks and systemic risk: a review (2015)
Book Chapter
Bougheas, S., & Kirman, A. (2015). Complex financial networks and systemic risk: a review. In P. Commendatore, S. Kayam, & I. Kubin (Eds.), Complexity and Geographical Economics: Topics and Tools. Springer International Publishing. https://doi.org/10.1007/978-3-319-12805-4_6

In this paper we review recent advances in financial economics in relation to the measurement of systemic risk. We start by reviewing studies that apply traditional measures of risk to financial institutions. However, the main focus of the review is... Read More about Complex financial networks and systemic risk: a review.

The meta Taylor rule (2015)
Journal Article
Lee, K., Morley, J., & Shields, K. (2015). The meta Taylor rule. Journal of Money, Credit and Banking, 47(1), https://doi.org/10.1111/jmcb.12169

We characterise U.S. monetary policy within a generalized Taylor rule framework that accommodates uncertainties about the duration of policy regimes and the specification of the rule, in addition to the standard parameter and stochastic uncertainties... Read More about The meta Taylor rule.

Macroprudential and monetary policy rules: a welfare analysis (2015)
Journal Article
Rubio, M., & Carrasco-Gallego, J. A. (2015). Macroprudential and monetary policy rules: a welfare analysis. Manchester School, 83(2), https://doi.org/10.1111/manc.12078

This paper studies the interaction between macroprudential and monetary policies, using a DSGE model with a housing market and collateral constraints. Monetary policy follows a standard Taylor rule for the interest rate. The macroprudential authority... Read More about Macroprudential and monetary policy rules: a welfare analysis.

Recursive right-tailed unit root tests for an explosive asset price bubble (2015)
Journal Article
Harvey, D. I., Leybourne, S. J., & Sollis, R. (2015). Recursive right-tailed unit root tests for an explosive asset price bubble. Journal of Financial Econometrics, 13(1), https://doi.org/10.1093/jjfinec/nbt025

In this article, we compare the local asymptotic and finite sample power of two recently proposed recursive right-tailed Dickey–Fuller-type tests for an explosive rational bubble in asset prices. It is shown that the power of the two tests can differ... Read More about Recursive right-tailed unit root tests for an explosive asset price bubble.

Belief aggregation in financial markets and the nature of price fluctuations (2015)
Book Chapter
Schoch, D. (2015). Belief aggregation in financial markets and the nature of price fluctuations. In V.-N. Huynh, V. Kreinovich, S. Sriboonchitta, & K. Suriya (Eds.), Econometrics of risk. Springer Verlag. https://doi.org/10.1007/978-3-319-13449-9

We present a model of financial markets, where the belief of the market, expressed by a normal distribution over asset returns, is formed by aggregating in a dynamically consistent way individual subjective beliefs of the market participants, which a... Read More about Belief aggregation in financial markets and the nature of price fluctuations.

How to make experimental economics research more reproducible: lessons from other disciplines and a new proposal (2015)
Book Chapter
Maniadis, Z., Tufano, F., & List, J. A. (2015). How to make experimental economics research more reproducible: lessons from other disciplines and a new proposal. In C. A. Deck, E. Fatas, & T. Rosenblat (Eds.), Replication in Experimental Economics. Emerald Group Publishing Limited. https://doi.org/10.1108/S0193-230620150000018008

Efforts in the spirit of this special issue aim at improving the reproducibility of experimental economics, in response to the recent discussions regarding the “research reproducibility crisis.” We put this endeavour in perspective by summarizing the... Read More about How to make experimental economics research more reproducible: lessons from other disciplines and a new proposal.

With a little help from my friends?: quality of social networks, job finding and job match quality (2015)
Journal Article
Cappelari, L., & Tatsiramos, K. (2015). With a little help from my friends?: quality of social networks, job finding and job match quality. European Economic Review, 78, https://doi.org/10.1016/j.euroecorev.2015.04.002

This paper studies the effect of network quality on job finding and job match quality using longitudinal data and a direct measure of network quality, which is based on the employment of friendship ties. Various identification strategies provide robu... Read More about With a little help from my friends?: quality of social networks, job finding and job match quality.