The paper deals with Alternative Risk Transfer (ART) through securitization of longevity and mortality risks in pension plans and commercial life insurance. Various types of such mortality-linked securities are described including methods of their pricing and real examples (e.g. CATM bonds, longevity bonds, mortality forwards and futures, mortality swaps, and others). Hypothetical calculations ...

This paper investigates forecasts of US in#ation at the 12-month horizon. The starting point is the conventional unemployment rate Phillips curve, which is examined in a simulated out-of-sample forecasting framework. In#ation forecasts produced by the Phillips curve generally have been more accurate than forecasts based on other macroeconomic variables, including interest rates, money and commo...

A semiparametric extension of the GJR model (Glosten et al., 1993. Journal of Finance 48, 1779–1801) is proposed for the volatility of foreign exchange returns. Under reasonable assumptions, asymptotic normal distributions are established for the estimators of the model, corroborated by simulation results. When applied to the Deutsche Mark/US Dollar and the Deutsche Mark/British Pound daily ret...

This paper argues that the existence of bank networks is important for banks ́ reaction to monetary policy. For the example of Germany, the VAR analysis shows that following a monetary contraction small banks access the interbank market indirectly through the head institutions of their respective network organisations. The interbank flows within these networks allow small banks to access funds t...

I investigate cointegrating relationships such that, even though the long-run attractors are assumed to be linear, the dynamics of the equilibrium errors depends on the business cycle. I postulate a Markov-switching common stochastic trends model to study both the short-run responses to permanent shocks and the e/ects of recessions in the long-run growth. I apply these 0ndings to explore the sh...

t his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in iran from 2002:03 to 2015:06. for this purpose, we have exploited sigma-point kalman filter (spkf) to extract the bubble component of assets prices in the aforementioned markets. then, in order to analyze the price bubbles spillover amon...

abstract this paper attempts to re-investigate the catching-up (stochastic convergence) hypothesis among the selected 16 oecd countries applying the time series approach of convergence hypothesis with annual data over one century. to reach this aim, we propose a model which specifies a trend function, incorporating both types of structural breaks – that is, sharp breaks and smooth shifts using ...

Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of linear restrictions than those in the existing literature. We show that the required computation is of an...

This paper establishes analytically what the asymptotic behavior of the DickeyFuller coefficient tests and the Dickey-Fuller t-statistic tests will be when the true data-generating process is a trigonometric function of an integrated process. Using some recently established limit theorems, it is shown that for such a data generating process, the asymptotic behavior of these unit root tests is r...

This paper establishes the link of microstructure and macroeconomic factors with the timevarying conditional correlation of foreign exchange and excess equity returns. By using the proposed DCC model with exogenous variables, capital flows and interest rate differentials are shown to be significant determinants of this correlation which is inclusive of the short-run variation of both asset retu...