Cédric Okou
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View article: Monetary Policy Transmission to Household Credit
Monetary Policy Transmission to Household Credit Open
This paper examines the effectiveness of monetary policy transmission in developing countries using loan-level data from Uganda’s credit registry. We analyze more than 632,000 household loans issued by all commercial banks between 2017 and…
View article: Staple Food Prices in Sub-Saharan Africa: An Empirical Assessment
Staple Food Prices in Sub-Saharan Africa: An Empirical Assessment Open
This paper analyzes the domestic and external drivers of local staple food prices in Sub-Saharan Africa.Using data on domestic market prices of the five most consumed staple foods from 15 countries, this paper finds that external factors d…
View article: Good Volatility, Bad Volatility and Option Pricing
Good Volatility, Bad Volatility and Option Pricing Open
Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and high…
View article: Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models
Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models Open
This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumula…
View article: A Tale of Africa Today: Balancing the Lives and Livelihoods of Informal Workers During the COVID-19 Pandemic
A Tale of Africa Today: Balancing the Lives and Livelihoods of Informal Workers During the COVID-19 Pandemic Open
In Sub-Saharan Africa (SSA), more than 80 percent of workers find their livelihoods in the informal sector. They are artisans and shop owners, fishers and divers, tailors and weavers, truck drivers and market sellers, among many other info…
View article: Casting a Shadow: Productivity of Formal Firms and Informality
Casting a Shadow: Productivity of Formal Firms and Informality Open
Using firm-level survey data for a large
\n cross section of countries, the paper assesses the gap in
\n labor productivity between formal and informal firms in
\n developing countries for which comparable data are
\n available. It also in…
View article: Good Volatility, Bad Volatility, and Option Pricing
Good Volatility, Bad Volatility, and Option Pricing Open
Advances in variance analysis permit the splitting of the total quadratic variation of a jump-diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions and highl…
View article: Can Higher-Order Risks Explain the Credit Spread Puzzle?
Can Higher-Order Risks Explain the Credit Spread Puzzle? Open
We tweak the conventional Merton model to account for the asymmetric properties of assets returns and investors asymmetric behavior toward the upside potential of gain versus the downside risk of loss. Using an asymmetric split normal dist…
View article: Downside Variance Risk Premium
Downside Variance Risk Premium Open
We propose a new decomposition of the variance risk premium in terms of upside and downside variance risk premia. The difference between upside and downside variance risk premia is a measure of skewness risk premium. We establish that the …