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Academic Deep Divessee more…

  1. Deep Dive – Greying America and the Great Disability Creep

    John Tierney

    Because of ageing and disabilities, labour force participation is set to fall to 60% in coming years (from 62.8% currently). Absent offsetting growth in productivity, that will lead to slower GDP growth and tax revenue to address the aging problem

  2. The Summer Research Surge

    Sam van de Schootbrugge

    The summer months are upon us. This means fewer office distractions and fewer short-term deadlines, creating the ideal opportunity for researchers to get stuck into meatier projects. In academia, this summer lull brings in a surge of publications in the months that follow (Chart 1).

  3. Modern Portfolio Theory Is Still Relevant Today

    Sam van de Schootbrugge

    A Review of Financial Studies paper examines the pitfalls of mean-variance portfolio optimisation. It confirms a well-known result - historical sample moments are suboptimal proxies for true means and variances, and that optimisation methods estimating these past values have poor forecasting performance.

  1. When Are Momentum Models Profitable?

    Sam van de Schootbrugge

    A new paper in the highly rated Review of Financial Studies journal explains how momentum profits are strongly linked to the performance of winners and losers during the formation period.

  2. Finding the Best Finfluencers: Do Not Follow the Crowd

    Sam van de Schootbrugge

    A popular Swiss Financial Institute research paper, co-authored by UC Berkeley researchers, reveals the importance of following the right Twitter accounts.

  3. Using Twitter to Predict Markets and Monetary Policy

    Sam van de Schootbrugge

    A new FEDS working paper uses Twitter chatter to build a measure of credit and financial market sentiment. The authors use Keyword Clustering alongside FinBERT to assign sentiment scores to tweets. They then average over tweets to create sentiment indices at different frequencies.

Part II: NLP in Economics – Solving Common Problems

Sam van de Schootbrugge

A new CEPR working paper, co-authored by UCL Professor Stephen Hansen provides an overview of the methods used for algorithmic text analysis in economics.

Part I: NLP in Economics – Touching Base With the Basics

Sam van de Schootbrugge

A new CEPR working paper, co-authored by UCL Professor Stephen Hansen provides an overview of the methods used for algorithmic text analysis in economics.

  1. Financial Crisis: What Is It and How to Detect it?

    Sam van de Schootbrugge

    An NBER working paper reviews the extensive literature on the measures, predictability and consequences of financial crises. It finds financial crises are predictable, non-random events forecastable 1-5 years ahead.

  2. When Will UK Food Price Inflation Fall?

    Sam van de Schootbrugge

    In May 2022, we summarised an International Monetary Fund (IMF) working paper that forecasted the impacts of supply-chain issues on inflation. Their analysis provided a good foundation for estimating the impact of rising global food prices.

  3. Capitalising on House Price Crashes

    Sam van de Schootbrugge

    A Federal Reserve Bank of New York paper examines the long-run returns on residential real estate in 15 countries over 150 years.

How to Predict US House Prices

Sam van de Schootbrugge

A Swiss Finance Institute research paper investigates the best variables for predicting US house prices. They asses the backcasting, nowcasting, and forecasting abilities of over 70 macroeconomic and financial variables at low and high frequencies.

UK Housing Market Crash: What to Expect From House Prices?

Sam van de Schootbrugge

A new European Central Bank (ECB) working paper estimates the impact of rising real rates on euro area house prices.

  1. Cracks Emerging in the US Banking System?

    Sam van de Schootbrugge

    A new National Bureau of Economic Research (NBER) working paper, co-authored by researchers from Stanford and Columbia, analyses the US banking system’s exposure to rising interest rates.

  2. Why Investors Should Not Ignore US Data

    Sam van de Schootbrugge

    A new NBER working paper investigates the correlation between US macroeconomic data releases and foreign stock markets.

  3. Budget 2023 to Avoid Causing Economic Slump?

    Sam van de Schootbrugge

    A new European Central Bank (ECB) working paper estimates the impact of rising real rates on euro area house prices.

The Mother of All House Price Crashes

Sam van de Schootbrugge

A new European Central Bank (ECB) working paper estimates the impact of rising real rates on euro area house prices.

Scared of Macroeconomic Uncertainty? Trade Bitcoin

Sam van de Schootbrugge

A new Federal Reserve Bank of New York paper investigates the link between bitcoin and macroeconomic fundamentals.

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