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Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; … - 2008

We consider the problem of portfolio selection within the classical Markowitz meanvariance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights....

Persistent link: https://www.econbiz.de/10003790940

Transaction costs and informational cascades in financial markets : theory and experimental evidence

Cipriani, Marco (contributor); Guarino, Antonio (contributor) - 2007

We study the effect of transaction costs (e.g., a trading fee or a transaction tax, like the Tobin tax) on the aggregation of private information in financial markets. We analyze a financial market à la Glosten and Milgrom, in which informed and uninformed traders trade in sequence with a...

Persistent link: https://www.econbiz.de/10003433593

Collateral damage? : micro-simulation of transaction cost shocks on the value of central bank collateral

Lennkh, Rudolf Alvise; Walch, Florian - 2015

Persistent link: https://www.econbiz.de/10011288721

Optimal portfolio choice with predictability in house prices and transaction costs

Corradin, Stefano; Fillat, José L.; Vergara-Alert, Carles - 2012

Persistent link: https://www.econbiz.de/10009765138

Excess reserves and the implementation of monetary policy of the ECB

Bindseil, Ulrich (contributor) - 2004

Persistent link: https://www.econbiz.de/10002125168

An investigation on the effect of real exchange rate movements on OECD bilateral exports

Berthou, Antoine (contributor) - 2008

The reaction of exports to real exchange rate movements can differ according to the nature of the destination country. We derive and estimate a gravity equation for 20 OECD exporting countries and 52 developed and developing importing countries. We test how trade costs dampen the effect of real...

Persistent link: https://www.econbiz.de/10003782671

Foreign direct investment and environmental taxes

De Santis, Roberto A. (contributor); … - 2008

This paper studies the effect of foreign direct investment (FDI) on environmental policy stringency in a two-country model with trade costs, where FDI could be unilateral and bilateral and both governments address local pollution through environmental taxes. We show that FDI does not give rise...

Persistent link: https://www.econbiz.de/10003782672

Internal devaluation in currency unions : the role of trade costs and taxes

Petroulakis, Filippos - 2017

This paper studies export adjustment to negative shocks in currency unions. I consider the hitherto ignored role of trade costs and taxes in internal devaluations, which have been brought to the fore of international policy during the recent euro periphery crisis. Trade costs can limit the...

Persistent link: https://www.econbiz.de/10011639619

Monetary policy, neutrality and the environment

Faria, João Ricardo; McAdam, Peter; Viscolani, Bruno - 2021

We study the interaction between monetary and fiscal policies in a Ramsey-Sidrauski model augmented with environmental capital. Equilibrium solutions are studied through the "Green Golden Rule". Despite the non-separability of money in utility and intertemporally nonseparable preferences, money...

Persistent link: https://www.econbiz.de/10012594070

Bank mergers, competition and liquidity

Carletti, Elena; Hartmann, Philipp; Spagnolo, Giancarlo - 2003

We model the impact of bank mergers on loan competition, banks' reserve holdings and aggregate liquidity. Banks compete … in liquidity risk and expected liquidity needs for each bank and for the banking system. Large mergers tend to increase … expected aggregate liquidity needs, and thus the liquidity provision by the central bank. Comparative statics suggest that a …

Persistent link: https://www.econbiz.de/10009635892

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