2012

Did inflation targeting make a difference during the financial crisis? by Jonathan Smith Abstract: This paper seeks to explore whether inflation targeters (ITers) fared better than non-ITers in the largest recession since the ‘Great Depression’. Early evidence by Roger (2010) and Carvalho-Filho (2011) has been rather...

Talk by Professor Teemu Pennanen Cash-flow based valuation of pension liabilities Abstract: This paper presents a computational framework for cash-flow based valuation of insurance liabilities in incomplete markets. It accounts for the risks associated with both insurance claims and investment returns over the lifetime of...

Talk by Lyudmyla Hvozdyk The Impact of Jumps and Thin Trading on Realised Hedge Ratios Abstract: The use of intradaily data to produce daily variance measures has resulted in increased forecast accuracy and better hedging for many markets. However, this paper shows that improved hedging ratios can depend on the behaviour...

Talk by Kevin Aretz* How Does A Firm’s Default Risk Affect Its Expected Equity Return? Abstract: In a Black and Scholes (1973) economy, a firm’s default risk and its expected equity return are non-monotonically related. This result may explain the surprising relation found between these two variables in recent empirical...

Talk by Gabor Pinter Capital in the Business Cycle: Renting versus Ownership : This paper studies how business cycle dynamics are affected by the possibility to rent as opposed to own productive capital. We provide empirical evidence based on firm-level data for the US which confirms the counter-cyclicality of the share of...