-pricing model in which ordinary consumption and gold services are imperfect substitutes for the representative household. Disaster … between gold services and ordinary consumption, the model can generate a mean real rate of price change within the (0.1%, 2 … appreciation. Nevertheless, the uncertainty in gold returns is concentrated in the price-change component. The model can explain …

We conduct a comprehensive analysis of unspanned stochastic volatility in commodity markets in general and the crude …-oil market in particular. We present model-free results that strongly suggest the presence of unspanned stochastic volatility in … the crude-oil market. We then develop a tractable model for pricing commodity derivatives in the presence of unspanned …

If commercial producers or financial investors use futures contracts to hedge against commodity price risk, the … structure to commodity futures prices, and develop new algorithms for estimation of such models using unbalanced data sets in …

size of this political distortion. In this paper we study the determination of government debt and deficits in a dynamic … model of debt which characterizes political distortions. We find that in our model the conventional wisdom always applies in … the long run, but only does so in the short run when economic volatility is low. Instead, when economic volatility is high …

This paper investigates whether the religious identity of state legislators in India influences development outcomes …

, liquidity providers lose. Since information generates volatility, and volatility co-moves across assets, liquidity providers … section of short-term reversals, which mimic the portfolios of liquidity providers. As predicted by the model, reversals have … in option markets, and their predictability by VIX in the time series. Volatility risk thus explains the liquidity …

increase volatility in order to exploit the implicit protection. However, if they increase volatility too much they may induce … that it allows high volatility choices, while net worth is high. However, risk limits tighten abruptly when the firm's net … worth declines below an endogenously determined threshold. Hence, the model reproduces the qualitative features of existing …

question, focusing on liquidity constraints and uninsurable idiosyncratic risk. We consider a search model where agents use … reserves and the response of the economy tends to be larger. In this case, agents expect to be liquidity constrained and, due …

.S. equities during the Great Depression. Both show increasing market volatility and a prolonged large co-movement in equity prices …. What is unique about the Japanese case is the surprising fall in firm-level volatility and turnover in Japanese stocks … after its market crash in 1990. This large decrease in firm-level volatility may have impeded Japan's capital formation …