propositions of modern asset pricing theory, namely, that the interaction between risk averse agents in a competitive market leads …-markets model, and the Sharpe-Lintner-Mossin Capital Asset Pricing Model (CAPM). This framework enabled us to measure how far our … discovered swift convergence towards equilibrium prices of Arrow and Debreu's model or the CAPM. This discovery is significant …

The theory and the data in this Paper challenge the view that there is no structure in prices and allocations when … markets are off equilibrium. Starting from the observation that price-taking usually applies only to small orders, a theory of … imbalance. In the context of mean-variance preferences, the theory predicts that a security’s price will correlate with excess …

how central bank preferences (and thereby monetary policy) affect the relation between nominal interest rates, inflation … estimated by maximum likelihood on quarterly US data. The policy experiments include stronger inflation targeting, more active …

A simple test of inflation target credibility is constructed by subtracting the maximum and minimum inflation rates … consistent with the inflation targets from the yields to maturity on nominal bonds. This results in a target-consistent range of … absolute credibility and credibility in expectation, are distinguished. The credibility of inflation targets of Canada, New …

We use evidence from the term structure of inflation expectations implicit in the nominal yields and survey forecasts … of inflation to address the question of whether or not monetary policy is effective. We construct a model that …-neutral, subjective, and objective probability measures. We extract private sector expectations of inflation from this model and establish …

stable rates of inflation in many countries. Consequently, the main goal of this Paper is to offer an overview of the main … policy issues arising in a low inflation environment and their practical relevance so as to identify the main challenges … nominal wage or price rigidities? What does the low inflation environment imply about the relative importance and effects of …

model, covering a panel of EU countries, and derives the implied long-run inflation-unemployment tradeoff. Our results …

competitiveness. A formal theory of inflation in the euro-zone based on an open-economy version of the New Keynesian model is used to … shown that, in effect, this is an inflation tax, requiring high inflation countries to make transfers to low inflation …