AMPF Papers

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Policy Note

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May 2023

Fiscal Events and Anchored Inflation Expectations

Ethan ILZETZKI
With inflation surging worldwide, some commentators have speculated whether inflation expectations have become unanchored. This policy note presents a framework to evaluate whether an inflationary spike is due to temporary shifts in policy or the real economy on one hand, or due to an unanchoring of...
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Institutional Collaborator

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Institutional Collaborator

Does Paying Passive Managers to Engage Improve ESG Performance?

Marco BECHT, Julian FRANKS, Hideaki MIYAJIMA, Kazunori SUZUKI
The paper studies a natural experiment in responsible investment conducted by the Japanese Government Pension Investment Fund (GPIF). In 2018 GPIF gave its largest passive manager a remunerated mandate to engage with portfolio companies to improve ESG and adopted best-in-class indexes, rewarding hig...
Keywords: ESG, active ownership, investor stewardship, engagement, ESG indexes, passive managers, portfolio tilting
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Growing the Efficient Frontier on Panel Trees

Lin William CONG, Guanhao FENG, Jingyu HE, Xin HE
We develop a new class of tree-based models (P-Trees) for analyzing (unbalanced) panel data using economically guided, global (instead of local) split criteria that guard against overfitting while preserving interpretability. To generalize security sorting and better estimate the efficient frontier,...
Keywords: Asset Pricing, Decision Tree, Factors, Interpretable AI, Investment
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Crypto Wash Trading

Lin William CONG, Xi LI, Ke TANG, Yang YANG
We present a systematic approach to detect fake transactions on cryptocurrency exchanges by exploiting robust statistical and behavioral regularities associated with authentic trading. Our sample consists of 29 centralized exchanges, among which the regulated ones feature transaction patterns consis...
Keywords: Bitcoin, CeFi, cryptocurrency, Forensic Finance, Fraud Detection, regulation
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Senior Fellows/Fellows

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Senior Fellows/Fellows

Sparse Modeling Under Grouped Heterogeneity with an Application to Asset Pricing

Lin William CONG, Guanhao FENG, Jingyu HE, Junye LI
Sparse models, though long preferred and pursued by social scientists, can be ineffective or unstable relative to large models, for example, in economic predictions (Giannone et al., 2021). To achieve sparsity for economic interpretation while effectively exploiting big data for superior empirical p...
Keywords: Asset Pricing, Bayesian Estimation, Decision Tree, Factors, Heterogeneity, Panel Data, Sorting, Spar
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