a zero mean martingale difference against the alternative that it is linearly predictable. Under the null of no …

This paper proposes a method of testing whether a time series is a martingale. The procedure develops an asymptotic …

article establishes a martingale representation for matching estimators. This representation allows the use of martingale …

simplest form implies that Bitcoin prices form a martingale. We derive conditions, under which Bitcoin speculation cannot …

-market liquidity …

Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time …-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model … to quantitatively similar degrees. The estimated liquidity premium between U.S. inflation-indexed and nominal yields is …

when countries cooperate in the face of a "global liquidity trap" - i.e., a situation where the two countries are … simultaneously caught in liquidity traps. Compared to the closed economy case, a notable feature of the optimal policy in the face of … a global liquidity trap is its international dependence. Whether or not a country's nominal interest rate is hitting the …