Browsing Δημοσιεύσεις ΠΚ / UCY Publications by Type "Working Paper"
Now showing items 1-20 of 30
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Working Paper Open Access
Contingent convertible bonds for sovereign debt risk management
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2015-11)We consider convertible bonds that contractually stipulate payment standstill, contingent on a market indicator of a sovereign's creditworthiness breaching a distress threshold. This financial innovation limits ex-ante the ...
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Working Paper
Global versus local shocks in micro price dynamics
(2012)A number of recent papers point to the importance of distinguishing between the price reaction to micro and macro shocks in order to reconcile the volatility of individual prices with the observed persistence of aggregate ...
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Working Paper
Global versus local shocks in micro price dynamics
(2011)A number of recent papers point to the importance of distinguishing between the price reaction to micro and macro shocks in order to reconcile the volatility of individual prices with the observed persistence of aggregate ...
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Working Paper
Immigration and international prices
(2010-02)This paper considers the relation between immigration and prices for a large number of cities across the world over the period from 1990 to 2006. Aggregate immigration ratios are shown to have a negative impact on ...
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Working Paper Open Access
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Working Paper
Inflation expectations and monetary policy surprises
(2017-01)We use monthly data across fifteen euro-area economies for the period 1985:1-2015:3 to obtain monetary policy changes that can be regarded as surprises for different types of consumers. A novel feature of our empirical ...
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Working Paper Open Access
Integrated dynamic models for hedging international portfolio
(The Wharton Financial Institutions CenterThe Wharton School, University of Pennsylvania, PA, 2017-12)We develop scenario-based stochastic programming models for hedging the risks of international portfolios using options. The models provide an increasing level of integration in managing market and foreign exchange (FX) ...
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Working Paper
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Working Paper
International medical R&D spillovers
(2004)Does medical technology originating in countries close to the technology frontier have a significant impact on health outcomes in countries distant from this frontier? This paper considers a framework where lagging countries ...
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Working Paper
International medical technology diffusion
(2005-02)Does medical technology originating in countries close to the technology frontier have a significant impact on health outcomes in countries distant from this frontier? This paper considers a framework where lagging countries ...
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Working Paper
International price dispersion and the direction of trade
(2006)The importance of trade costs in segmenting product markets cannot be captured by considering aggregate prices or in the absence of information on the direction of trade. We address this problem by utilizing product-specific ...
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Working Paper
Longevity and education externalities: a macroeconomic perspective
(2008-12)We argue that education exerts positive external effects on health, beyond the standard internal effects documented in the literature. We put forward a model that clarifies the links between education and longevity in ...
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Working Paper
Longevity and education: a macroeconomic perspective
(2007-12)This paper investigates the determinants of longevity at a macroeconomic level, emphasizing the important role played by education. To analyze the determinants of longevity, we build a model where households intentionally ...
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Working Paper Open Access
Multiple Regimes in the Preferences for Redistribution
(2023-08-29)This paper provides novel evidence of nonlinearities in the formation of preferences for redistribution by uncovering evidence of multiple regimes consistent with the presence of multiple equilibria and multiple steady ...
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Working Paper Open Access
A Political Capital Asset Pricing Model
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2019-03)We construct a bivariate factor of political stability and economic policy confidence, and show that it commands a significant premium of up to 15% per annum, in the global, developed, and emerging markets, robust to ICAPM, ...
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Working Paper Open Access
Politics, policy, and international stock peturns
(2018-08)Politics and policy are distinct, though interrelated, factors affecting the economy. Using novel measures of political stability and confidence in economic policy we document predictable variation in stock market returns ...
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Working Paper Open Access
Portfolio diversification in the sovereign credit swap markets
(Springer, 2017-05)We develop models for portfolio diversification in the sovereign credit default swap (CDS) markets and show that, despite literature findings that sovereign CDS spreads are affected by global factors, there is sufficient ...
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Working Paper Open Access
Pricing and Hedging GDP-Linked Bonds in Incomplete Markets
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA, 2017-09)We model the super-replication of payoffs linked to a country's GDP as a stochastic linear program on a discrete time and state-space scenario tree to price GDP-linked bonds. As a byproduct of the model, we obtain a hedging ...
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Working Paper Open Access
Pricing sovereign contingent convertible debt
(The Wharton Financial Institutions Center. The Wharton School, University of Pennsylvania, PA., 2017-11)We develop a pricing model for sovereign contingent convertible bonds (S-CoCo) with payment standstills triggered by a sovereign's credit default swap CDS spread. One innovation is the modeling of CDS spread regime switching ...
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Working Paper
R&D, innovation, and technological progress: a test of the schumpeterian framework without scale effects
(2002)I use U.S. manufacturing industry data to estimate a system of three equations implied by a model of R&D-induced growth in steady state. These three equations relate R&D intensity to patenting, patenting to technological ...