We extend Ross and Cooper (1998) and find an adequate liquidate provision as a function of liquidity cost in CRRA (Constant Relative Risk Aversion) environment. Our study shows that a RPC (run preventing contract) in a MMMF (money market mutual fund) requires a higher amount of liquidity...

In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, construction of a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables such as the level of...

In the financial crisis literature, it is usually argued that, contrary to the case of currency crises, construction of a time series index to identify banking crisis episodes is highly difficult, particularly because of the lack of reliable data on banking sector variables such as the level of...

In this paper we assess the predictive abilities of a Bayesian threshold vector autoregression (B-TVAR) to forecast the EUR/USD exchange rate. By introducing stochastic search variable selection priors (SSVS), we account for the inherent model uncertainty when it comes to modeling exchange...

This paper attempts to examine empirically the dynamic relationship between inflation, growth and interest rate under the presence of informal economy by employing panel VAR techniques over the period from 1960-Q1 to 2010-Q4. The size of the informal economy is quarterly estimated to uncover the...

The paper extracts housing bubble implications from the perspective of housing price predictability. Specifically, it examines predictive powers of the good-time-to-buy (GTTB) index and the federal funds rate in nationwide and state-level housing price returns by means of out-of-sample tests...

This paper proposes an assessment of the monetary policy performed by the European Central Bank (ECB) and, more specifically this paper investigates to what extent the ECB monetary policy decisions were guided by financial instability signals. Our assessment is achieved by estimating a Taylor's...

Several studies address the importance of the effect of real rigidity on macroeconomic variables. The presence of real rigidity might change the property of optimal monetary policy suggested by the canonical new Keynesian model. We examine optimal monetary policy in an economy with real...

This paper aims to address the empirical question of whether a country's level of manufacturing trade is affected by its financial sector development and to investigate the role of institutions in this relationship. Countries endowed with better-developed financial systems tend to specialize in...

Recent advances in nonlinear cointegration analysis find evidence for a nonlinear long-run relation between the U.S. interest rate and inflation. Employing the Breitung's (2001) rank tests for nonlinear cointegration, we find herein little evidence for cointegration in the U.S. data. We also...