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Heterogeneous-Expectations Model of the Value of Bonds Bearing Call Options
Bodie, Zvi - 1977
This paper develops a dynamic programming model of the optimal refunding strategy and the corresponding value of a callable bond. The model differs from previous work on this subject primarily in that it explicitly admits the possibility of differences between the issuer's expectations of future...
Persistent link: https://www.econbiz.de/10012478918
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Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence
Constantinides, George M. - 2010
American options on the S&P 500 index futures that violate the stochastic dominance bounds of Constantinides and Perrakis (2007) from 1983 to 2006 are identified as potentially profitable trades. Call bid prices more frequently violate their upper bound than put bid prices do, while violations...
Persistent link: https://www.econbiz.de/10012462355
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Too-Systemic-To-Fail : What Option Markets Imply About Sector-wide Government Guarantees
Kelly, Bryan T. - 2011
Investors in option markets price in a substantial collective government bailout guarantee in the financial sector, which puts a floor on the equity value of the financial sector as a whole, but not on the value of the individual firms. The guarantee makes put options on the financial sector...
Persistent link: https://www.econbiz.de/10012461509
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Can Severe Fiscal Contractions be Expansionary? Tales of Two Small European Countries
Giavazzi, Francesco - 1990
According to conventional wisdom, a fiscal consolidation is likely to contract real aggregate demand. It has often been argued, however, that this conclusion is misleading as it neglects the role of expectations of future policy: if the fiscal consolidation is read by the private sector as a...
Persistent link: https://www.econbiz.de/10012475661
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The Euromarkets after 1992
Levich, Richard M. - 1989
variation in these factors across Europe. Competitive pressures should lead to a convergence of regulation, but national …
Persistent link: https://www.econbiz.de/10012476045
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Seigniorage in Europe
Grilli, Vittorio U. - 1988
In this paper, based on the experience of ten European countries, we study the relevance of seigniorage revenues in the recent past, and we speculate about their importance in the near future. We find that the members of the European community differ widely in the way they manage monetary...
Persistent link: https://www.econbiz.de/10012476282
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Monetary Policy and Performance in the U.S., Japan and Europe, 1973-86
Fischer, Stanley - 1987
Monetary policies in the U.S., Japan, Germany and the United Kingdom over the period 1973-1986 are compared and evaluated, with the aim of drawing lessons for monetary policy from the recent historical record. All four countries shifted during this period to money targeting, though with...
Persistent link: https://www.econbiz.de/10012476592
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The International Linkage of Real Interest Rates : The European - U.S. Connection
Cumby, Robert E. - 1984
rates has been widespread in the analyses by economic policymakers both in Europe and in the United States. In this paper we … been raised by the recent policy debates in Europe and the United States: Have ex ante real rates in the United States and … Europe been high during recent years? Has there been a link between U.S. real rates and those in other countries? Can this …
Persistent link: https://www.econbiz.de/10012477666
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Patents as Options : Some Estimates of the Value of Holding European Patent Stocks
Pakes, Ariel - 1984
In many countries holders of patents must pay an annual renewal fee in order to keep their patents in force. This paper uses data on the proportion of patents renewed, and the renewal fees faced by, post World War II cohorts of patents in France, the United Kingdom, and Germany, in conjunction...
Persistent link: https://www.econbiz.de/10012477754
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The Heights of Europeans Since 1750 : A New Source For European Economic History
Floud, Roderick - 1984
Economic and social historians have traditionally been concerned to measure changes in the income and welfare of populations in the past.Until recently, however, they have not recognized that anthropometric data, such as evidence on the average height achieved by a population at a particular...
Persistent link: https://www.econbiz.de/10012477779