Target is a real time gross settlement (RTGS) large value payment network operated by European central banks that eliminates systemic risk. Euro1 is a privately operated delayed net settlement (DNS) network that reduces substantially systemic risk but does not eliminate it. This difference makes...

Researchers have sometimes argued that the recent ascent in stock prices could be explained in some measure by changes in expectations about long-run future dividend growth. For example, Barsky and De Long (1993) argue that a small random walk component in the growth rate of dividends, when...

The paper presents a one-factor affine model of the term structure of Libor rates with autocorrelated measurement errors. It can be viewed as a central tendency model, with the theoretical arbitrage-free rates serving as stochastic means to which the observed rates revert. Two estimation...

The paper applies a reduced-form model to uncover from secondary market's Brady bond prices, together with Libor interest rates, how the risk of sovereign default is perceived to depend upon time. The methodology is implemented on a particular issue, a discount bond issued by Brazil and maturing...

When supervisors have imperfect information about the soundness of banks, they may be unaware of insolvency problems that develop in the interval between on-site examinations. Supervising banks more often will alleviate this problem but will increase the costs of supervision. This paper analyzes...

The paper applies a reduced-form model to uncover from secondary market's Brady bond prices, together with Libor interest rates, how the risk of sovereign default is perceived to depend upon time. The methodology is implemented on a particular issue, a discount bond issued by Brazil and maturing...