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Redding, Lee Scott - 1996

Recent developments in financial economics have included many explorations into market microstructure, that is, the internal functioning of markets and the ways in which they provide liquidity to traders. An important contribution of this literature is that prices can deviate from their...

Persistent link: https://www.econbiz.de/10014396062

Speculative Attacks

Guidotti, Pablo Emilio - 1991

A brief survey of the literature on speculative attacks is provided. The nature and causes of balance-of-payments crises, the implications for the behavior of the current account and the real exchange rate are discussed. Also, potential areas for future research on balance-of-payments crises are...

Persistent link: https://www.econbiz.de/10014396450

Noise Trading, Transaction Costs, and the Relationship of Stock Returns and Trading Volume

Kramer, Charles Frederick - 1994

The relationship of stock returns and trading volume is the focus of much recent interest. I examine an economic model of a rational trader who operates in a market with transactions costs and noise trading. The level of trading affects the rational trader’s marginal cost of transacting; as a...

Persistent link: https://www.econbiz.de/10014397789

Fundamental and speculative demands for housing

Lian, Weicheng - 2019

This paper separates the roles of demand for housing services and belief about future house prices in a house price cycle, by utilizing a feature of user-cost-of-housing that it is sensitive to demand for housing services only. Optimality conditions of producing housing services determine...

Persistent link: https://www.econbiz.de/10012009613

Rational Speculation, Financial Crises, and Optimal Policy Responses

Surti, Jay - 2004

This paper develops a theory of the onset of financial crises by solving for the optimal trading strategies of …

Persistent link: https://www.econbiz.de/10014401439

The Information Content of Prices in Derivative Security Markets

Scott, Louis O. - 1991

Prices in futures markets and option markets reflect expectations about future price movements in spot markets, but these prices can also be influenced by risk premia. Futures and forward prices are sometimes interpreted as market expectations for future spot prices, and option prices are used...

Persistent link: https://www.econbiz.de/10014395868

Optimal Monetary Policy in a Small Open Economy Under Segmented Asset Markets and Sticky Prices

Medina Guzman, Juan Pablo - 2007

This paper studies optimal monetary policy in a two-sector small open economy model under segmented asset markets and sticky prices. We solve the Ramsey problem under full commitment, and characterize the optimal monetary policy in a calibrated version of the model. The findings of the paper are...

Persistent link: https://www.econbiz.de/10014399992

Investment Banking and Security Market Development : Does Finance Follow Industry?

Anand, Bharat Narendra - 2001

Long-term relationships between business firms and investment banks are pervasive in developed security markets and there is evidence that better monitoring and information result from these relationships. Therefore, security markets should allocate resources better when an investment banking...

Persistent link: https://www.econbiz.de/10014401296

A quantitative model for the integrated policy framework

Adrian, Tobias; Erceg, Christopher J.; Lindé, Jesper; … - 2020

Many central banks have relied on a range of policy tools, including foreign exchange intervention (FXI) and capital flow management tools (CFMs), to mitigate the effects of volatile capital flows on their economies. We develop an empirically-oriented New Keynesian model to evaluate and quantify...

Persistent link: https://www.econbiz.de/10012299311

A Political Agency Theory of Central Bank Independence

Eggertsson, Gauti B. - 2003

We propose a theory to explain why, and under what circumstances, a politician gives up rent and delegates policy tasks … to an independent agency. We apply this theory to monetary policy by extending a standard dynamic ""New …-Keynesian"" stochastic general equilibrium model. This model gives a new theory of central bank independence that is unrelated to the …

Persistent link: https://www.econbiz.de/10014400234