We study the effects of different tax reporting mechanisms in experi-mental double auction markets in the laboratory. The sales tax is paidby the seller, and we compare market outcomes in a no-tax conditionto cases where (i) tax evasion is impossible, (ii) taxes can be evaded butthere is an...

I examine a rational expectations model of buyers and capacity con-strained sellers, where traders can choose between a cluster and a searchmarket. Sellers choose a market and post a price, and then buyerschoose which market to visit. There is a pure strategy equilibriumwhere all agents are in...

This study identifies empirically the impact of various macroeconomic factors on the default risk premium. Using monthly data for the period 1970-2010 for the U.S., our estimations indicate that the monetary policy aggregates, risk-free interest rate, term structure of interest rates, inflation,...

We investigate the role of currency risk on stock markets in two interlinked Nordic countries exhibiting a gradual move from fixed to floating exchange rates. We apply the Ding and Engle (2001) covariance stationary specification in a multivariate GARCH-M setup to test a conditional...

The objective of this paper is to figure out how the Economic and Monetary Union in Europe (EMU) has affected on its member's sovereign risk-premiums and long-term government bond yields. In order to estimate the effect, this paper utilizes synthetic control method. Contrary to the popular...

Economic research has shown that debt markets have an information sensitivity property that allows these markets to work properly when price discovery is absent and opaqueness is maintained. Dang, Gorton and Holmström (2015) argue that sufficiently 'bad news' can switch debt to become...

This paper contributes to the literature by identifying the response patterns of direct and indirect real estate returns to shocks in the market fundamentals. The response speeds are estimated with vector autoregressive models using TBI and NAREIT returns for the period 1994-2009 in the United...

CDS spreads are often used as market's view of credit risk. There is no popular alternative to it; perhaps only the distance-to-default measure based on Merton (1974) comes close to it. In this paper we investigate the relationship between these two measures for large European banks in post...