The paper builds a two-country model of a monetary union with home bias and price stickiness. Incompleteness of financial asset markets is allowed. In this environment, we derive the solution for optimal behavior by the monetary policymaker and show that welfare can be higher under incomplete...

This paper shows that introducing habit persistence in a limited participation model allows to reproduce a persistent liquidity effect. Furthermore, the decomposition of the monetary effects on nominal interest rate allows to isolate the liquidity premium defined by Fuerst [1992]. Then, we show...

We consider dynamic models for analysing the holding rates of some durable goods, and especially for describing how these rates react to some modifications of prices. The feature of this paper is the introduction of individual heterogeneity. It allows to examine how the good will diffuse among...

This paper examines causality between the series of returns and transaction volumes in high frequency data. The dynamics of both series is restricted to transitions between a finite number of states. Depending on the state selection criteria, this approach approximates the dynamics of varying...

High frequency transaction prices exhibit two major characteristics: they are discrete in level and only exist at random transaction dates. In this paper, we seek to model transaction price dynamics, taking into account these two features. We specify the transaction price process as a Markov...