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The well-known option pricing formula of Black and Scholes depends upon the assumption that price fluctuations are log-normal. However, this formula greatly underestimates the value of options with a low probability of being exercised if, as appears to be more nearly the case in most markets,...
Persistent link: https://www.econbiz.de/10012478885
U.S. labor markets became much less fluid in recent decades. Job reallocation rates fell more than a quarter after 1990, and worker reallocation rates fell more than a quarter after 2000. The declines cut across states, industries and demographic groups defined by age, gender and education....
Persistent link: https://www.econbiz.de/10012458189
This study measures the heterogeneity of establishment-level employment changes in the U.S. manufacturing sector over the 1972 to 1986 period. We measure this heterogeneity in terms of the gross creation and destruction of jobs and the rate at which jobs are reallocated across plants. Our...
Persistent link: https://www.econbiz.de/10012475277
We revisit the hypothesis that cyclical fluctuations in unemployment are caused by shocks to the discount rate. We use a rich search-theoretic model of the labor market in which the UE, EU and EE rates are all endogenous. Analytically, we show that an increase in the discount rate lowers the UE...
Persistent link: https://www.econbiz.de/10012481623
We study the relationship between unemployment, environmental policy, and business cycles. We develop a dynamic stochastic general equilibrium real business cycle model that includes both a pollution externality and congestion externalities from labor market search frictions, which generate...
Persistent link: https://www.econbiz.de/10012481640
has also possessed excess volatility' in the past century. It finds no evidence of excess volatility in the pre-World War … I German stock market. By contrast, there is some evidence of excess volatility in the post-World War II German stock … volatility of German stock indices before 1914 …
Persistent link: https://www.econbiz.de/10012474925
Like most Western European countries, Germany stringently regulates dismissals and layoffs. Critics contend that this … Germany. We find little evidence that inventories help to buffer demand fluctuations in either country. Our findings suggest …
Persistent link: https://www.econbiz.de/10012474430
We explore the consequences of safe asset scarcity on aggregate demand in a stylized IS-LM/Mundell Fleming environment. Acute safe asset scarcity forces the economy into a "safety trap" recession. In the open economy, safe asset scarcity spreads from one country to the other via capital flows,...
Persistent link: https://www.econbiz.de/10012456630
We develop an equilibrium model in which exchange rates, stock prices and capital flows are jointly determined under incomplete forex risk trading. Incomplete hedging of forex risk, documented for U.S. global mutual funds, has three important implications: 1) exchange rates are almost as...
Persistent link: https://www.econbiz.de/10012469305
In this paper we examine the relationship between exchange rate movements and firm value. We estimate the exchange rate exposure of publicly listed firms in a sample of eight (non-US) industrialized and emerging markets, and find that a significant percentage of these firms are indeed exposed....
Persistent link: https://www.econbiz.de/10012470265