Showing 1 - 10 of 11
An oft-neglected pattern of behavior occurs when firms time the release of their products so that they are not released on the same date. The practice is potentially collusive, so there may be legitimate antitrust concerns. This paper presents a model of this behavior, the alternating periods...
Persistent link: https://www.econbiz.de/10005134407
We propose an Instrumental Variable method for Generalised Accelerated Failure Time (GAFT) models that adjust for possible endogeneity of the intervention of interest, without suffering the problems of the intention-to-treat method. We develop an estimatiom procedure that collapses to the linear...
Persistent link: https://www.econbiz.de/10005062568
This paper aims at a better understanding of the factors influencing the decision of young graduates who entered teaching to stay in that profession. The field of research covers secondary education teachers in the French-Speaking Community of Belgium. The data analysed comes from an...
Persistent link: https://www.econbiz.de/10005556889
We present evidence on the duration of firm-bank relationships using a unique panel data set of connections between Oslo Stock Exchange-listed firms and their banks for the period 1979-1994. We focus on the determinants of the duration of a relationship and the causes for ending an existing bank...
Persistent link: https://www.econbiz.de/10005561575
Capital markets and their related financial instruments make an important contribution to the welfare of Canadians. The Bank of Canada is interested in the efficient functioning of capital markets through each of its responsibilities for monetary policy, the financial system, and funds...
Persistent link: https://www.econbiz.de/10005413072
A careful examination of interest rate time series from different U.S. Treasury maturities by Wavelet Multiresolution Analysis (MRA) suggests that the first differences of the term structure of interest rate series are periodic or, at least, cyclic, non-stationary, long-term dependent, in...
Persistent link: https://www.econbiz.de/10005125063
Dynamic term structure models (DTSMs) price interest rate derivatives based on the model­ implied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often...
Persistent link: https://www.econbiz.de/10005134665
We investigate whether the same finite dimensional dynamic system spans both interest rates (the yield curve) and interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the underlying yield curve. While three common factors are...
Persistent link: https://www.econbiz.de/10005134877
Expected inflation is a major decision factor of various economic agents. Since expected inflation is not directly observable, economists have been seeking ways of extracting market’s inflation expectations from observable variables. One of the most reliable sources of inflation expectations...
Persistent link: https://www.econbiz.de/10005412621
This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...
Persistent link: https://www.econbiz.de/10005413172