In the Value Added Tax (VAT) system some goods and services, such as banking services, are exempted from taxes. Based on theoretical foundations, exempt treatment leads to several distortions and inefficiencies in the economy. In order to understand the importance of exemption on macroeconomic fluctuations as well as the fundamental role of financial intermediaries in economy shocks, this study...

Please do NOT distribute without permission! Comments and suggestions are welcome. 1 2 Chapter 1 Introduction These lecture notes cover a one-semester course. The overriding goal of the course is to begin provide methodological tools for advanced research in macroeconomics. The emphasis is on theory, although data guides the theoretical explorations. We build entirely on models with microfounda...

Free entry equilibria are usually determined by resorting to the zero profit condition. We plead instead for a strict application of the Nash equilibrium concept to a symmetric one-stage game played by actual and potential producers, who have a decreasing average cost function without sunk costs. Equilibrium then appears as typically indeterminate, with a number of active firms varying between ...

The paper develops a theory for equity premium around macroeconomic announcements. Stock returns realized around pre-scheduled macroeconomic announcements, such as the employment report and the FOMC statements, account for 55% of the market equity premium during the 1961-2014 period, and virtually 100% of it during the later period of 1997-2014, where more announcement data are available. We pr...

We present discrete time survival models of borrower default for credit cards that include behavioural data about credit card holders and macroeconomic conditions across the credit card lifetime. We find that dynamic models which include these behavioural and macroeconomic variables provide statistically significant improvements in model fit, which translate into better forecasts of default at ...

We propose linguistic associations mining as a technique to create the models of the multivariate time series. We define various linguistic evaluative expressions on the range of the values of the time series and variables derived from them. We mine linguistic associations then and interpret them as IF-THEN rules in the framework of Perception based Logic Deduction (PbLD). The mined rules provi...