This paper investigates the predictability of jumps in currency markets and shows the implications for carry trades. Formulating new currency jump analyses, we propose a general method to estimate the determinants of jump sizes and intensities. We employ a large panel of high-frequency data to...

The focus is upon equilibrium real exchange rates, optimal external debt and their interaction, in a world where both the return on investment and the real rate of interest are stochastic variables. These theoretically based measures are applied empirically to answer the following questions:...

The main contributions of this paper are to introduce growth into a crisis framework and to derive the contingency plans for consumption and investment in a manner consistent with the stochastic nature of the state of the economy. The conclusion is that expected deviations from trend in the...

We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms' profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...

In this paper, we explore a dynamical version of by Aoki and Yoshikawa model (AYM) for an economy driven by demand. We show that when an appropriate Markovian dynamics is taken into account, AYM has different equilibrium distributions depending on the form of transition probabilities. In the...

This paper analyses the constant elasticity of volatility (CEV) model suggested by Chan et al. (1992). The CEV model without mean reversion is shown to be the inverse Box-Cox transformation of integrated processes asymptotically. It is demonstrated that the maximum likelihood estimator of the...