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Strategic complementarity, fragility, and regulation

Vives, Xavier - 2011 - Rev. May 2011

The paper analyzes a very stylized model of crises and demonstrates how the degree of strategic complementarity in the actions of investors is a critical determinant of fragility. It is shown how the balance sheet composition of a financial intermediary, parameters of the information structure...

Persistent link: https://www.econbiz.de/10009230899

Measuring financial asset return and volatility spillovers, with application to global equity markets

Diebold, Francis X.; Yılmaz, Kamil - In: The economic journal : the journal of the Royal … 119 (2009), pp. 158-171

Persistent link: https://www.econbiz.de/10003805251

A practical guide to the combinatorial clock auction

Ausubel, Lawrence M.; Baranov, Oleg - In: The economic journal : the journal of the Royal … 127 (2017) 605, pp. 334-350

Persistent link: https://www.econbiz.de/10011758271

Cross-border banking in regulated markets : is financial integration desirable?

Haufler, Andreas; Wooton, Ian - 2016

We set up a two-country, regional model of trade in financial services. Competitive firms in each country manufacture untraded consumer goods in an uncertain productive environment, borrowing funds from a bank in either the home or the foreign market. Duopolistic banks can choose their levels of...

Persistent link: https://www.econbiz.de/10011554376

Self-fulfilling crises in the Eurozone : an empirical test

De Grauwe, Paul; Ji, Yuemei - 2012

We test the hypothesis that the government bond markets in the Eurozone are more fragile and more susceptible to self-fulfilling liquidity crises than in stand-alone countries. We find evidence that a significant part of the surge in the spreads of the PIGS countries in the Eurozone during...

Persistent link: https://www.econbiz.de/10009540108

Does insider trading raise market volatility?

Du, Julan; Wei, Shang-jin - In: The economic journal : the journal of the Royal … 114 (2004) 498, pp. 916-942

Persistent link: https://www.econbiz.de/10002348813

Innovation contests

Pérez-Castrillo, J. David; Wettstein, David - 2014

We study innovation contests with asymmetric information and identical contestants, where contestants' efforts and innate abilities generate inventions of varying qualities. The designer offers a reward to the contestant achieving the highest quality and receives the revenue generated by the...

Persistent link: https://www.econbiz.de/10010260048

Late and multiple bidding in second price Internet auctions : theory and evidence concerning different rules for ending an auction

Ockenfels, Axel; Roth, Alvin E. - 2003

their bids in the closing minutes or seconds of an auction. Late bids of this sort are much less frequent in auctions that … show that sniping in a fixed deadline auction can occur even at equilibrium in auctions with private values, as well as in … that apply the automatic extension rule. The strategic differences in the auction rules are reflected in the field data …

Persistent link: https://www.econbiz.de/10011508091

A high-low model of daily stock price ranges

Cheung, Stephen Y. L. (contributor); … - 2008

We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...

Persistent link: https://www.econbiz.de/10003749656

Self-serving dictators and economic growth

Haile, Daniel; Sadrieh, Abdolkarim; Verbon, Harrie - 2003

present a model, a laboratory experiment, and a simple cross-country regression supporting this view. We model an economy with …

Persistent link: https://www.econbiz.de/10011404315

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