The role of movements in real rates in explaining the relationship between long and short-term interest rates is explored using a model of optimal government debt management.

We provide a unique test of trading behavior under asymmetric information with parallel markets characterized by different degrees of transparency for the same asset. We consider the Treasury bond market and show that the informed dealers simultaneously place bids in the primary market and sell...

This paper proposes a signaling model of fiscal stabilizations that offers a new perspective on why governments deviate from optimal tax smoothing. In our model, dependable -but not fully credible- governments have an incentive to tighten the fiscal regime when the signaling effect on credit...

The paper provides an empirical assessment of the market risk exposure of several portfolios representative of real life investment positions. We employ the notion of value at risk made popular by the recent debate on capital budgeting policies of financial intermediaries and by the new capital...

This paper introduces a new methodology for the estimation of demand trade elasticities based on an import intensity-adjusted measure of aggregate demand, with the foundation of a stylized theoretical model. We compute the import intensity of demand components by using the OECD Input-Output...

This article presents a range of tools and indicators for analysing fiscal vulnerabilities and risks for advanced economies. The analysis covers key short-, medium- and long-term dimensions. Short-term pressures are captured by assessing (i) gross funding needs, (ii) market perceptions of...