Ruslan Bikbov

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We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The no-arbitrage framework also accommodates backward-looking and(More)
A symbolic language allowing one to solve statistical problems for the systems with non-Abelian braidlike topology in 2 + 1 dimensions is developed. The approach is based on the similarity between a growing braid and a "heap of colored pieces." As an application, the problem of a vortex glass transition in high-Tc superconductors is reexamined on a(More)
Existing models of the term structure of interest rate swap yields assume a unique regime for the data generating process and ascribe variations in swap-Treasury yield spread to default risk or to liquidity premium. However, the interest rate swap market has been marked by economic events and institutional changes that might have significant effects on the(More)
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