Inflation Risk and the Labor Market: Beneath the Surface of a Flat Phillips Curve ∗

More Money for Some: The Redistributive Effects of Open Market Operations

The Role of Ambiguity in the Monetary Policy Transmissions: Evidence from the European Repo Market

Fading Attention and the Pricing of Default Risk in the German Market for Structured Products

Structured retail products are unsecured bonds subject to the default risk of the issuer. We analyze the price‐setting policy of issuers with respect to this default risk. Using a long‐term data set of discount certificates in the German market, we apply a time series IVX‐approach to find that (i) quoted prices do de...

A Theoretical Analysis of Implied Volatility and Its Determinants under the Black-Scholes Framework

: Options have become indispensable instruments for both risk management and speculation, with volatility serving as a fundamental input in pricing structures. While Historical Volatility (HV) relies on past returns, it is inherently backward-looking and fails to reflect forward-looking market expectations, investor se...

The International Diversi fi cation Puzzle Is Not as Bad as You Think

Welfare Cost of Business Cycle and the Dynamics of Consumption Variance

Abstract This paper investigates the welfare cost of business cycles in the U.S. economy over the period 1959–2019. In contrast to the existing literature, we allow for both structural breaks in the unconditional variance of consumption shocks and conditional heteroskedasticity. Our results provide strong evidence of s...