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Assessing the costs of protection in a context of switching stochastic regimes
Barrieu, Pauline; Bellamy, Nadine; Sahut, Jean-Michel - London School of Economics (LSE) - 2012
make advance provision, or hedge, for these costs at time 0. We evaluate the amount of provision, or the hedging premium …
Persistent link: https://www.econbiz.de/10010745247
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Optimal hedging strategies and interactions between firms
Loss, Frederic - London School of Economics (LSE) - 2002
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 between firms’ internal funds and investment opportunities. We show that when … the hedging demand of a firm is high in the case where investments are strategic substitutes, its hedging demand is low in …
Persistent link: https://www.econbiz.de/10010745252
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Flight to quality, flight to liquidity, and the pricing of risk
Vayanos, Dimitri - London School of Economics (LSE) - 2004
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
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Search and endogenous concentration of liquidity in asset markets
Vayanos, Dimitri; Wang, Tan - London School of Economics (LSE) - 2004
We develop a search-based model of asset trading, in which investors of different horizons can invest in two identical assets. The asset markets are partially segmented: buyers can search for only one asset, but can decide which one. We show that there exists a "clientele" equilibrium where one...
Persistent link: https://www.econbiz.de/10010928661
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A search-based theory of the on-the-run phenomenon
Vayanos, Dimitri; Weill, Pierre-Olivier - London School of Economics (LSE) - 2005
We propose a model in which assets with identical cash flows can trade at different prices. Agents enter into an infinite-horizon, steady-state market to establish long or short positions. Both the spot and the asset-lending market operate through search. Short-sellers can endogenously...
Persistent link: https://www.econbiz.de/10010745747
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Equilibrium analysis, banking, contagion and financial fragility
Tsomocos, Dimitrios P. - London School of Economics (LSE) - 2003
This paper contains a general equilibrium model of an economy with incomplete markets (GEI) with money and default. The model is a simplified version of the real world consisting of a non-bank private sector, banks, a central bank, a government and a regulator. The model is used to analyse...
Persistent link: https://www.econbiz.de/10010884714
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A model to analyse financial fragility: applications
Goodhart, Charles; Sunirand, Pojanart; Tsomocos, … - London School of Economics (LSE) - 2004
The purpose of our work is to explore contagious financial crises. To this end, we use simplified, thus numerically solvable, versions of our general model [Goodhart, Sunirand and Tsomocos (2003)]. The model incorporates heterogeneous agents, banks and endogenous default, thus allowing various...
Persistent link: https://www.econbiz.de/10010745587
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Strategic trading and welfare in a dynamic market
Vayanos, Dimitri - London School of Economics (LSE) - 1999
This paper studies a dynamic model of a financial market with N strategic agents. Agents receive random stock endowments at each period and trade to share dividend risk. Endowments are the only private information in the model. We find that agents trade slowly even when the time between trades...
Persistent link: https://www.econbiz.de/10011071211
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Spillover and backward linkage effects of FDI: empirical evidence for the UK
Harris, Richard - London School of Economics (LSE) - 2009
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
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The United Kingdom pension system: key issues
Blake, David - London School of Economics (LSE) - 2003
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