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general-equilibrium analysis in the presence of money illusion generates implications that are consistent with several …
Persistent link: https://www.econbiz.de/10005048554
opinion enter into security prices. In the determination of equilibrium, we employ a representative investor with stochastic …
Persistent link: https://www.econbiz.de/10005661585
, the extent of delegation and equilibrium prices are all determined endogenously within the model we consider. Symmetric … performance fees have more complex effects on equilibrium prices and Sharpe ratios, with the signs of these effects fluctuating …
Persistent link: https://www.econbiz.de/10008528548
We develop a simple model to analyse the ‘dual-track’ approach to transition to a market economy as a mechanism for implementing efficient Pareto-improving economic reform, that is, reform achieving efficiency without creating losers. The approach, based on the continued enforcement of the...
Persistent link: https://www.econbiz.de/10005504255
In the past few years the view has commonly been expressed that central banks follow `Taylor Rules' (as first promulgated by Henderson and McKibbin (1993)). We show that the appearance of such an interest rate rule – a ‘pseudo-Taylor rule’ – can be created by a standard macro model in...
Persistent link: https://www.econbiz.de/10005497796
configuration of firms in equilibrium. Whether or not equilibrium exists and whether or not it is locally unique depends crucially …
Persistent link: https://www.econbiz.de/10005498079
High frequency arbitrage opportunities sometimes arise when the price of one asset follows, with a lag, changes in the value of another related asset due to information arrival. These opportunities are toxic because they expose liquidity suppliers to the risk of being picked off by arbitrageurs....
Persistent link: https://www.econbiz.de/10011083979
This Paper studies equilibrium asset pricing with liquidity risk (the risk arising from unpredictable changes in …
Persistent link: https://www.econbiz.de/10005067543
unemployment) in which equilibrium selection is not conditioned on a sunspot variable. Instead, large temporary shocks initiate … the high-unemployment regime was the unique equilibrium outcome. …
Persistent link: https://www.econbiz.de/10005656314
We analyse risk-sharing and endogenous fiscal spending in a two-region model with sequentially complete markets. Fiscal policy is determined by majority voting. When policy setting is decentralized, regions choose pro-cyclical fiscal spending in an attempt to manipulate security prices to their...
Persistent link: https://www.econbiz.de/10005656441