Financial cycles: how long and how certain?

How Credit Cycles across a Financial Crisis

We study the behavior of credit and output across a financial crisis cycle using information from credit spreads. We show the transition into a crisis occurs with a large increase in credit spreads, indicating that crises involve a dramatic shift in expectations and are a surprise. The severity of the subsequent crisis can be forecast by the size of credit losses (change in spreads) coupled wit...

How Long Are Product Cycles?

In this paper I identify new goods in U.S. imports data at the product levels of 7-digit TSUSA or 10-digit HS codes. I show that consistent with product cycles, the North’s new goods exports relative to old goods exports grow faster than the South’s, and then the South catches up with the North. The catch-up takes 13 ~ 18 years and happens in the 1990s, an age of globalization and outsourcing. ...

Clustering Financial Time Series: How Long Is Enough?

Researchers have used from 30 days to several years of daily returns as source data for clustering financial time series based on their correlations. This paper sets up a statistical framework to study the validity of such practices. We first show that clustering correlated random variables from their observed values is statistically consistent. Then, we also give a first empirical answer to th...

How to Define Certain Answers

The standard way of answering queries over incomplete databases is to compute certain answers, defined as the intersection of query answers on all complete databases that the incomplete database represents. But is this universally accepted definition correct? We argue that this “one-size-fitsall” definition can often lead to counterintuitive or just plain wrong results, and propose an alternati...

Adjuvant temozolomide: how long and how much?