This paper compares the goodness-of-fit and the stability of six methods used to extract risk-neutral probability density functions from currency option prices. We first compare five existing methods commonly employed to recover risk-neutral density functions from option prices. Specifically, we...

We show that in a representative agent model with a constant risk premium, the uncovered interest parity (UIP) test coefficient can be expressed as a function of the variables and parameters of the prevailing exchange rate expectations mechanism. Taking into account the market microstructure,...

In this paper we analyze dynamic incentives of a firm to invest in production facilities in a less developed country with lower wage costs and lower productivity. Foreign investment induces that, due to technological spillovers, productivity of local firms in the foreign country increases. Firms...

The goal of the paper is to analyze how financial and economic crises affect the relation between capital flows and their determinants. We develop a model of foreign portfolio investment (FPI) and foreign direct investment (FDI), and apply it to Turkey using an endogenous break analysis and...

This paper presents a multiregion modeling approach focussing on capital mobility and spillovers. The approach is based on a Ramsey type economic growth model, on the one hand, and on the balance of payment concept, on the other hand. The way to find an equilibrium solution is novel. It differs...

DEMOGRAPHIC TRANSITION AND INTERNATIONAL FLOWS OF CAPITAL: WHAT CAN AN OLG MODEL TELL US? INGENUE Team (Aglietta CEPII , Breton MODEM , Chateau CEPII , Fayolle OFCE , Juillard CEPREMAP , LeCacheux OFCE , Touze OFCE ) Demographic transition happens and will continue to unfold at different rythms...

We present a quantitative analysis of the effects of population aging and pension reform on international capital markets. First, demographic change alters the time path of aggregate savings within each country. Second, this process may be amplified when a pension reform shifts old-age provision...