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We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility and transaction costs. Our key assumption is that investors are fund managers, subject to withdrawals when fund performance falls below a threshold. This generates a preference for liquidity that is...
Persistent link: https://www.econbiz.de/10010928794
This paper studies corporate risk management in a context with financial constraints and imperfect competition on the product market. We show that the interactions between firms heavily affect their hedging demand. As a general rule, the firms’ hedging demand decreases with the correlation...
Persistent link: https://www.econbiz.de/10010745252
Recent work (including that of the author) on the impact of FDI has been based on microlevel (i.e. firms, establishments or plants) data, since this allows much greater control when examining such issues as whether FDI plants are more productive or innovative; whether there are spillovers to...
Persistent link: https://www.econbiz.de/10010884505
This paper examines the key issues relating to the UK pension system. It reviews the current system of pension provision, describes and analyses the reforms since 1980, examines the legal regulatory and accounting framework for occupational pension schemes, assesses the different types of risks...
Persistent link: https://www.econbiz.de/10010884512
Creditors of a distressed borrower face a coordination problem. Even if the fundamentals are sound, fear of premature foreclosure by others may lead to pre-emptive actions, undermining the project. Recognition of this problem lies behind corporate bankruptcy provisions across the world, and it...
Persistent link: https://www.econbiz.de/10010884521
This paper studies how the introduction of social learning with costs to delay affects coordination games with incomplete information. We present a tractable noisy dynamic coordination game with social learning and costs to delay. We show that this game has a unique monotone equilibrium. A...
Persistent link: https://www.econbiz.de/10010884536
In this paper, I first provide a unifying approach to Mean-Variance analysis and Value at Risk, which highlights both their similarities and differences. Then I use it to explain how fund managers can take investment decisions within the well-known Mean-Variance allocation framework that satisfy...
Persistent link: https://www.econbiz.de/10010884540
In this paper we introduce an analytic-interactive mediation approach to facilitate conflict resolution in collective bargaining. Based on field observations of labor-management negotiations in the German railway industry, we develop an approach which combines human mediation with IT-based...
Persistent link: https://www.econbiz.de/10010884564
Global accountability is commonly understood as a contractual mechanism between principals and agents where standards of behavior are objective and respond to functional needs, agents are autonomous, motivations are self-interested and practices are procedural. This paper theorizes an...
Persistent link: https://www.econbiz.de/10010884581
We develop a structural model of an industry with many entrepreneurial firms in order to investigate the cyclical behaviour of aggregate fixed investment, variable capital investment and output. In particular, we consider an environment in which the entrepreneur cannot borrow unless the debt is...
Persistent link: https://www.econbiz.de/10010884598