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Limits to arbitrage in markets with stochastic settlement latency

Hautsch, Nikolaus; Scheuch, Christoph; Voigt, Stefan - 2018

Distributed ledger technologies rely on consensus protocols confronting traders with random waiting times until the transfer of ownership is accomplished. This time consuming settlement process exposes arbitrageurs to price risk and imposes limits to arbitrage. We derive theoretical arbitrage...

Persistent link: https://www.econbiz.de/10011944603

Does Trade Integration Alter Monetary Policy Transmission?

Cwik, Tobias J. - 2008

foreign competitors. We pin down key parameters of the model by matching impulse responses obtained from a vector …

Persistent link: https://www.econbiz.de/10012770290

The Mistake of 1937 : A General Equilibrium Analysis

Eggertsson, Gauti B. - 2017

This paper studies a dynamic general equilibrium model with sticky prices and rational expectations in an environment of low interest rates and deflationary pressures. We show that small changes in the public's beliefs about the future inflation target of the government can lead to large swings...

Persistent link: https://www.econbiz.de/10012746836

Gender- and Education-Related Effects of Financial Sophistication on Wealth Accumulation : Evidence from Heteroscedasticity-Based Instruments

Bannier, Christina E. - 2017

This study examines two dimensions of financial sophistication, actual and perceived, (i.e., financial literacy and confidence) and their effects on financial wealth accumulation. We employ a novel identification strategy introduced by Lewbel (2012) which utilizes a heteroscedastic covariance...

Persistent link: https://www.econbiz.de/10012945567

Monetary policy surprises and exchange rate behavior

Gürkaynak, Refet S.; Kara, Ali Hakan; Kısacıkoğlu, … - 2020

ask whether an information effect, where the public attributes the policy surprise to an unobserved state of the economy … that the central bank is signaling by its policy may explain the abnormality. It turns out that many informational … conditioning on possible information effects driving longer term interest rates, there appear to be other drivers of exchange rates …

Persistent link: https://www.econbiz.de/10012285739

Bayesian and Adaptive Optimal Policy Under Model Uncertainty

Svensson, Lars E. O. - 2007

includes an experimentation component reflecting the endogeneity of information. We develop algorithms to solve numerically for …

Persistent link: https://www.econbiz.de/10012777477

Robustly Optimal Monetary Policy With Near-Rational Expectations

Woodford, Michael - 2007

The paper considers optimal monetary stabilization policy in a forward-looking model, when the central bank recognizes that private-sector expectations need not be precisely model-consistent, and wishes to choose a policy that will be as good as possible in the case of any beliefs that are close...

Persistent link: https://www.econbiz.de/10012777478

Disentangling the Importance of the Precautionary Saving Motive

Kennickell, Arthur B. - 2008

We evaluate the importance of the precautionary saving motive by relying on a direct question about precautionary wealth from the 1995 and 1998 waves of the Survey of Consumer Finances. In this survey, a new question has been designed to elicit the amount of desired precautionary wealth. This...

Persistent link: https://www.econbiz.de/10012773932

A Two-Step Indirect Inference Approach to Estimate the Long-Run Risk Asset Pricing Model

Grammig, Joachim - 2018

The long-run consumption risk model provides a theoretically appealing explanation for prominent asset pricing puzzles, but its intricate structure presents a challenge for econometric analysis. This paper proposes a two-step indirect inference approach that disentangles the estimation of the...

Persistent link: https://www.econbiz.de/10012932803

Extended Yule-Walker Identification of Varma Models with Single- or Mixed-Frequency Data

Zadrozny, Peter A. - 2018

Chen and Zadrozny (1998) developed the linear extended Yule-Walker (XYW) method for determining the parameters of a vector autoregressive (VAR) model with available covariances of mixed-frequency observations on the variables of the model. If the parameters are determined uniquely for available...

Persistent link: https://www.econbiz.de/10012936603