Cambridge’s Economics and Econometrics recognised in REF 2021
The results from the latest Research Excellence Framework (REF) have highlighted the global impact of the University of Cambridge’s research in the field of economics, with an acknowledgement of the world leading quality of our overall research submission marked by both an increase in GPA, and an increase in the percentage of the submission scored as ‘world leading’.
Professor Sriya Iyer elected to RES Council
Professor Sriya Iyer at the Faculty of Economics has been elected to the Council of The Royal Economic Society, following ratification at the Society's Annual General Meeting.
Dynamic Early Warning and Action Model
Mueller, H., Rauh, C., Ruggieri, A.
JIWP Number: 2213
Supply Network Formation and Fragility
Elliott, M., Golub, B. and Leduc, M. V.
American Economic Review, accepted (2022)
On the Management of Population Immunity
Toxvaerd, F.M.O. and Rowthorn, R.
Journal of Economic Theory, forthcoming
Learning in Canonical Networks
Choi, S., Goyal, S., Moisan, F., To, Y. Y. T.
JIWP Number: 2212
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The Cambridge-INET led, COVID-19 Economic Research website has an extensive collection of special features, research papers, blogs and videos, by Cambridge Academics that look into the pandemic and it’s economics effects,
Dynamic Autoregressive Liquidity (DArLiQ)
Professor Oliver Linton has published a new Janeway Institute Working Paper with L. Wang and C.M. Hafner.
They introduce a new class of semiparametric dynamic autoregressive models for the Amihud illiquidity measure, which captures both the long-run trend in the illiquidity series with a nonparametric component and the short-run dynamics with an autoregressive component.
They develop a GMM estimator based on conditional moment restrictions and an efficient semiparametric ML estimator based on an iid assumption. They derive large sample properties for both estimators and further develop a methodology to detect the occurrence of permanent and transitory breaks in the illiquidity process.
Finally, they demonstrate the model performance and its empirical relevance on two applications. First, they study the impact of stock splits on the illiquidity dynamics of the five largest US technology company stocks. Second, they investigate how the different components of the illiquidity process obtained from their model relate to the stock market risk premium using data on the S&P 500 stock market index.
Prof Florin Bilbiie is visiting
Professor Florin Bilbiie (University of Lausanne) is being hosted at the Janeway Institute by Prof. Meredith Crowley
Florin’s research focuses on business cycles and the role, effects and optimal design of monetary and fiscal policies, in environments with: heterogeneous households (limited participation and incomplete markets); firm entry/product creation and market power and/or complementarities
01 Jan 2022 - 31 Jul 2022
SoFiE 2022 Annual Conference
Cambridge-INET Institute, Cambridge Endowment for Research in Finance (CERF), Centre for Microdata Methods and Practice (cemmap) & Society for Financial Econometrics (SoFiE) are sponsoring the SoFiE 2022 Annual Conference.
The event will take place at Churchill College, University of Cambridge, from the 24th-26th June 2022. The Post-Conference for Young Scholars will be held on 27th June 2022.