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Dollarization Traps
Duffy, John; Nikitin, Maxim - Econometric Society - 2004
We study unofficial dollarization, i.e., the use of foreign money alongside the domestic currency, in an environment where spatial separation and limited communication create a role for currency and banks arise endogenously to provide insurance against liquidity preference shocks. Unofficial...
Persistent link: https://www.econbiz.de/10005129775
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Dollarization Traps
Duffy, John; Nikitin, Maxim - Econometric Society - 2004
We study unofficial dollarization, i.e., the use of foreign money alongside the domestic currency, in an environment where spatial separation and limited communication create a role for currency and banks arise endogenously to provide insurance against liquidity preference shocks. Unofficial...
Persistent link: https://www.econbiz.de/10005130227
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On the Friedman Rule with Heterogeneous Agents
Berentsen, A.; Strub, C. - Econometric Society - 2004
We consider a general equilibrium model where monetary policy has redistributive effects. Agents have stochastic preferences and face random buying and selling opportunities. We show that the Friedman rule is just the second best policy. However, the Friedman rule is Pareto optimal. It requires...
Persistent link: https://www.econbiz.de/10005130236
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Persistence in Monetary Policy Models: Indexation, Habits and Learning with Long-Horizon Expectations
Milani, Fabio - Econometric Society - 2004
What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory …
Persistent link: https://www.econbiz.de/10005342244
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Agency costs and asymmetric information in a small open economy: a dynamic general equilibrium model
Kim, Kunhong; Claus, Iris - Econometric Society - 2004
This paper assesses the effects of agency costs and asymmetric information in credit markets. Asymmetric information and agency costs occur whenever lenders delegate control over resources to borrowers, leading to adverse selection, moral hazard and monitoring costs because of the inability to...
Persistent link: https://www.econbiz.de/10005342290
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The Markovian Dynamics of "Smart Money"
Yang, J-H Steffi - Econometric Society - 2004
I develop a Markov model of samrt money chasing past winning funds while taking into account associated costs. The model also allows market capital entry and exit. The steady-state capital allocations re derived using constant transition probabilities. The results sugget that down side risk is...
Persistent link: https://www.econbiz.de/10005086415
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Long-run and Cyclical Dynamics in the US Stock Market
Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004
This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...
Persistent link: https://www.econbiz.de/10005063571
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Liquidity Premia in Dynamic Bargaining Markets
Weill, Pierre-Olivier - Econometric Society - 2004
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns. It abstracts from risk premia and focuses exclusively on liquidity. A float-adjusted return model (FARM) is derived, explaining the pricing of liquidity with a simple linear formula: In...
Persistent link: https://www.econbiz.de/10005063574
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Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature
Lund, Jesper; Andersen, Torben G.; Benzoni, Luca - Econometric Society - 2004
-factor settings with latent variables that are readily interpreted as the conditional mean and volatility of the interest rate, and … perform illustrative calibrations for the yield curve. We select a three-factor specification featuring stochastic volatility ….S. short rate dynamics. The inclusion of the stochastic volatility factor is critical, whereas the stochastic mean offers a …
Persistent link: https://www.econbiz.de/10005063579
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Media Frenzies in Markets for Financial Information
Veldkamp, Laura - Econometric Society - 2004
-information/low-asset-price and high-information/high-asset-price equilibria raise price volatility and create price paths resembling periodic … market volatility increases, news coverage intensifies, and that more news is correlated with higher asset prices …
Persistent link: https://www.econbiz.de/10005063589