This paper studies the short run correlation of inflation and money growth. We study whether a model of learning does better or worse than a model of rational expectations, and we focus our study on countries of high inflation. We take the money process as an exogenous variable, estimated from...

We investigate the prepayment option related to a corporate loan. The default intensity of the firm is supposed to follow a Cox-Ingersoll-Ross (CIR) process and the short interest rate is assumed constant. A liquidity term that represents the funding costs of the bank is introduced and modeled...

The present financial crises determines an increase in analysing the application of regime switching over portfolio investments. We applied the switching regimes to measurement of risk as presented in post-modern portfolio management theory. Post-modern portfolio theory include investor’s...

Many empirical studies on credit spread determinants consider a single-regime model over the entire sample period and find limited explanatory power. We model the credit cycle independently from macroeconomic fundamentals using a Markov regime switching model. We show that accounting for...

This paper empirically studies the dynamic relationship between monetary and fiscal policies by analyzing the comovements between the Fed funds rate and the primary deficit/output ratio. Simple economic thinking establishes that a negative correlation between Fed rate and deficit arises whenever...

We investigate in this paper a perpetual prepayment option related to a corporate loan. The default intensity of the rm is supposed to follow a CIR process. We assume the contractual margin of the loan is de ned by the credit quality of the borrower and the liquidity cost that re ects the...

The aim of this paper is to identify the fundamental factors that drive the allowances market and to built an APT-like model in order to provide accurate forecasts for CO2. We show that historic dependency patterns emphasis energy, natural gas, oil, coal and equity indexes as major factors...

We investigate in this paper a perpetual prepayment option related to a corporate loan.The default intensity of the firmis supposed to follow a CIR process. We assume that the contractual margin of the loan is defined by the credit quality of the borrower and the liquidity cost that reflects the...

Using US data for the period 1967:5-2002:4, this paper empirically investigates the performance of a Fed's reaction function (FRF) that (i) allows for the presence of switching regimes, (ii) considers the long-short term spread in addition to the typical variables, (iii) uses an alternative...

This paper studies the short run correlation of inflation and money growth. We study whether a model of learning can do better than a model of rational expectations, we focus our study on countries of high inflation. We take the money process as an exogenous variable, estimated from the data...