Testing the asset pricing model of exchange rates with survey data

This paper proposes a new test for the asset pricing model of the exchange rate. It examines whether the way market analysts generate their forecasts is closer to the one implied by the asset pricing model, or to any of those implied by some alternative models. The asset pricing model is supported by the test since it has significantly better out-of-sample fit on survey data than simpler models including the random walk. The traditional test based on forecasting ability is applied as well. The asset pricing model proves to have better forecast accuracy in case of some exchange rates and forecast horizons than the random walk. JEL Classification: F31, F36, G13asset pricing exchange rate model, present value model of exchange rate, survey data

The iterative proportional fitting algorithm and the NM-method: solutions for two different sets of problems

In this paper, we identify two different sets of problems. The first covers the problems that the iterative proportional fitting (IPF) algorithm was developed to solve. These concern completing a population table by using a sample. The other set concerns constructing a counterfactual population table with the purpose of comparing two populations. The IPF is commonly applied by social scientists to solve problems not only in the first set, but also in the second one. We show that while it is legitimate to use the IPF for the first set of problems, it is not the right tool to address the problems of the second kind. We promote an alternative of the IPF, the NM-method, for solving problems in the second set. We provide both theoretical and empirical comparisons of these methods

A new method for identifying changing marital preferences for race and education level

In this paper, I generalize the Naszodi-Mendonca method in order to identify changes in marital preferences over multiple dimensions, such as the partners' race and education level. Similar to the original Naszodi-Mendonca method, preferences are identified by the generalized method through estimating their effects on marriage patterns, in particular, on the share of inter-racial couples, and the share of educationally homogamous couples. This is not a simple task because marriage patterns are shaped not only by marital preferences, but also by the distribution of marriageable males and females by traits. The generalized Naszodi-Mendonca method is designed for constructing counterfactuals to perform the decomposition. I illustrate the application of the generalized Naszodi-Mendonca method by decomposing changes in the prevalence of racial and educational homogamy in the 1980s using US data from IPUMS.Comment: Prelim result

The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?

This paper develops an option-based model to analyze the relationship between two insurances both providing protection against bank failures. One of these insurances is offered to European banks by the Single Resolution Fund on a compulsory basis in return for their contributions to the Fund, while the other is by the CDS market. The model provides a theoretical framework for testing whether the contributions of banks are fair in the Coasian sense relative to the CDS spreads

The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?

This paper develops an option-based model to analyze the relationship between two insurances both providing protection against bank failures. One of these insurances is offered to European banks by the Single Resolution Fund on a compulsory basis in return for their contributions to the Fund, while the other is by the CDS market. The model provides a theoretical framework for testing whether the contributions of banks are fair in the Coasian sense relative to the CDS spreads

Beyond averages - Fairness in an economy that works for people

Growing disparities on multiple socio-economic dimensions have contributed to a sense of unfairness and discontent in Europe. Fairness is a subjective phenomenon, but the far-reaching consequences of perceptions of unfairness warrant a closer look at its drivers and underlying dynamics. The report, written before the outbreak of the COVID-19 pandemic, analyses some of the most pertinent dimensions of fairness in relation to the agenda for a fair, inclusive and social European Union. Income inequality, educational inequality and the challenges facing existing welfare state arrangements are discussed from a pre-crisis perspective. Thus, the report gives a snapshot of the state of fairness in Europe before the COVID-19 outbreak and provides a benchmark against which some of the consequences of the current situation can be evaluated.JRC.I.1-Monitoring, Indicators & Impact Evaluatio